Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts

Masashi Egi, Shun Takahashi, Takeshi Ieshima and Kaoru Hijikata
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Masashi Egi: Hitachi, Ltd.
Shun Takahashi: Hitachi, Ltd.
Takeshi Ieshima: Hitachi, Ltd.
Kaoru Hijikata: Hitachi, Ltd.

A chapter in Practical Fruits of Econophysics, 2006, pp 241-245 from Springer

Abstract: Summary We examined the effectiveness of long-range weather forecasts applied to analyze weather derivatives. We carried out 651 back tests for different historical periods and confirmed that the accuracy of evaluating the risk of weather derivatives could be drastically improved by using long-range weather forecasts.

Keywords: weather derivative; weather forecast; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_44

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DOI: 10.1007/4-431-28915-1_44

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