Spatial Dependence & Aggregation in Weather Risk Hedging

2015 ◽  
Author(s):  
Wenjun Zhu ◽  
Ken Seng Tan ◽  
Lysa Porth ◽  
ChouuWen Wang
Keyword(s):  
Spatial Dependence ◽  
Risk Hedging ◽  
Weather Risk

SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH

2018 ◽  
Vol 48 (02) ◽  
pp. 779-815 ◽  
Author(s):  
Wenjun Zhu ◽  
Ken Seng Tan ◽  
Lysa Porth ◽  
Chou-Wen Wang
Keyword(s):  
Spatial Dependence ◽  
Crop Production ◽  
Archimedean Copula ◽  
Dependence Structure ◽  
Copula Model ◽  
Copula Models ◽  
Basis Risk ◽  
Risk Hedging ◽  
Adverse Weather ◽  
Weather Risk

AbstractAdverse weather-related risk is a main source of crop production loss and a big concern for agricultural insurers and reinsurers. In response, weather risk hedging may be valuable, however, due to basis risk it has been largely unsuccessful to date. This research proposes the Lévy subordinated hierarchical Archimedean copula model in modelling the spatial dependence of weather risk to reduce basis risk. The analysis shows that the Lévy subordinated hierarchical Archimedean copula model can improve the hedging performance through more accurate modelling of the dependence structure of weather risks and is more efficient in hedging extreme downside weather risk, compared to the benchmark copula models. Further, the results reveal that more effective hedging may be achieved as the spatial aggregation level increases. This research demonstrates that hedging weather risk is an important risk management method, and the approach outlined in this paper may be useful to insurers and reinsurers in the case of agriculture, as well as for other related risks in the property and casualty sector.

Weather‐risk hedging by farmers

2009 ◽  
Vol 10 (1) ◽  
pp. 54-66 ◽  
Author(s):  
Rajiv Seth ◽  
Valeed A. Ansari ◽  
Manipadma Datta
Keyword(s):  
Risk Hedging ◽  
Weather Risk

Convergence of regional population density in Russia over 120 years

2020 ◽  
pp. 133-158
Author(s):  
K. A. Kholodilin ◽  
Y. I. Yanzhimaeva
Keyword(s):  
Population Density ◽  
Spatial Dependence ◽  
Population Distribution ◽  
Regional Level ◽  
Capital City ◽  
County Level ◽  
Spatial Effects ◽  
Russian Regions ◽  
Regional Population ◽  
Regional Population Density

A relative uniformity of population distribution on the territory of the country is of importance from socio-economic and strategic perspectives. It is especially important in the case of Russia with its densely populated West and underpopulated East. This paper considers changes in population density in Russian regions, which occurred between 1897 and 2017. It explores whether there was convergence in population density and what factors influenced it. For this purpose, it uses the data both at county and regional levels, which are brought to common borders for comparability purposes. Further, the models of unconditional and conditional β-convergence are estimated, taking into account the spatial dependence. The paper concludes that the population density equalization took place in 1897-2017 at the county level and in 1926—1970 at the regional level. In addition, the population density increase is shown to be influenced not only by spatial effects, but also by political and geographical factors such as climate, number of GULAG camps, and the distance from the capital city.

Managing Weather Risk with the Use of Derivatives

2008 ◽  
Author(s):  
Constantine Cantzos ◽  
Nicos Sykianakis ◽  
Petros Kalantonis ◽  
Maria Rodosthenous
Keyword(s):  
Weather Risk
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