Approaching rainfall-based weather derivatives pricing and operational challenges

DOI10.1007/S11147-019-09161-0MaRDI QIDQ2211007zbMATH OpenOpenAlexWikidataFDO

Authors Andrea Martínez Salgueiro, Maria-Antonia Tarrazon-Rodon

Publication date 10 November 2020

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-019-09161-0

zbMATH Keywords

geographical basis riskindex value simulation techniquerainfall modelingweather derivatives

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• On modelling and pricing rainfall derivatives with seasonality
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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• On modelling and pricing rainfall derivatives with seasonality
• On modelling and pricing weather derivatives
• Randomization, bootstrap and Monte Carlo methods in biology
• Statistical distributions.

Cited in

(2)

• A fair pricing approach to weather derivatives
• Weather rebate contracts for different risk attitudes of supply chain members

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