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Sind „ineffektive“ Wetterderivate effiziente Risikomanagementinstrumente?
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Datum
2008
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Gesellschaft für Informatik e. V.
Zusammenfassung
We describe a risk programming model that can be used to determine farmers’ willingness-to-pay for weather derivatives. Applying it to a Brandenburg farm reveals that even a highly standardized contract based on accumulated rainfall generates a relevant willingness-to-pay. We find that an underwriter could even add a loading (on the actuarially fair price) which exceeds the level of traditional insurances. Since transaction costs are low compared to insurances, this indicates a relevant trading potential.