Arbeitspapier
Dynamic valuation of weather derivatives under default risk
Weather derivatives are contingent claims with payo based on a pre-speci ed weather index. Firms exposed to weather risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for pricing baskets of weather derivatives in over-the-counter markets under counterparty default risk. In our model, agents maximise the expected utility of their terminal wealth, while they dynamically rebalance their weather portfolios over a nite investment horizon. Via partial market clearing, we obtain semi-closed forms for the equilibrium prices of weather derivatives and for the optimal strategies of the agents. We give an example on how to price rainfall derivatives on selected stations in China in the universe of a nancial investor and a weather exposed crop insurer.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2017-005
- Classification
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Wirtschaft
- Subject
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derivative securities
asset pricing models
- Event
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Geistige Schöpfung
- (who)
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Härdle, Wolfgang Karl
Osipenko, Maria
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2017
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang Karl
- Osipenko, Maria
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2017
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Dynamic Valuation of Weather Derivatives under Default Risk
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Weather forecasting for weather derivatives
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Derivatives and Default Risk
Valuation of Credit Derivatives
Weather risk management : CAT bonds and weather derivatives
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Valuation of convexity related derivatives
Derivatives : Markets, Valuation, Risk Management