文章基本信息

标题："Zu welchem Preis können Versicherer „ineffektive“ Risikomanagementinstrumente anbieten? – Zur Analyse der Effizienz von Wetterderivaten –"
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作者：Norbert Hirschauer (Universität Halle-Wittenberg) ; Oliver Mußhoff (Universität Göttingen):
期刊名称：German Risk and Insurance Review
印刷版ISSN：1860-5400
出版年度：2008
卷号：2008
期号：4
出版社：Prof. Dr. Heinrich R. Schradin, University of Cologne
摘要：Since the mid-nineties, agro-economists discuss the relevance of “weather derivatives” as hedging instruments for volumetric risks in agriculture. Contrary to traditional insurance contracts, the payoffs of such derivatives are linked to weather indices (e.g. accumulated rainfall or temperature over a certain period) that are objectively measured at a defined meteorological station. Motivated by the question of how weather derivatives should be priced to agricultural firms, this paper describes a risk programming model which can be used to determine farmers’ willingness-to-pay (demand function) for weather derivatives. The model considers both the derivative’s farm-specific risk reduction capacity and the individual farmer’s risk acceptance. Applying it to the exemplary case of a Brandenburg farm reveals that even a highly standardized contract which is based on the accumulated rainfall at the capital’s meteorological station in Berlin-Tempelhof generates a relevant willingness-to-pay. We find that a potential underwriter could even add a loading on the actuarially fair price that exceeds the loading level of traditional insurances. Since transaction costs are low compared to insurance contracts, this indicates that there may be a relevant trading potential.