Wind Put Barrier Options Pricing Based on the Nordix Index

Rodríguez, Yeny E.; Pérez-Uribe, Miguel A.; Contreras, Javier

doi:10.3390/en14041177

Cited by 19 publications

(16 citation statements)

References 48 publications

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“…Sustainable energy production is vulnerable to variability and uncertainty of climate conditions (Bessa et al, 2014). We have discussed the problem of hydrological droughts in the drought section, and here we further explore the problem of wind (Rodríguez et al, 2021) and solar power (Boyle et al, 2021) production. Here we explore the wind index with a low threshold.…”

Section: Hazard Identificationmentioning

confidence: 99%

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Review article: Design and Evaluation of Weather Index Insurance for Multi-Hazard Resilience and Food Insecurity

Benso

Gesualdo²,

Silva³

et al. 2022

Preprint

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Abstract. The urgency of accelerating disaster risk resilience also promotes preferred systematic reviews of the methods for design and evaluation of risk transfer tools. This paper aims to provide a state-of-art weather index insurance design, thereby including methods for natural hazards’ indices calculation, vulnerability assessment and risk pricing. We applied the Preferred Reporting Items for Systematic reviews and Meta-Analyses (PRISMA) using the Scopus database. First, 364 peer-reviewed articles from 2010 to present were screened for a bibliometric analysis and then, the 34 most cited articles from the past five years were systematically analyzed. Our results demonstrate that despite a great research effort on index insurance, the majority of them focused on food insecurity through agricultural and crop insurance. Also, climate change and basis risks were found highly relevant for weather index insurance, but weakly developed, suggesting challenges around food insecurity. Special focus was given to drought hazards, while other hazards such as temperature variation, excessive rainfall and wildfires were slightly covered. Emerging areas, namely agricultural, hydrological, and sustainable index insurance found promissory for insurance. Also, current state-of-the-art lacks methods for incorporating multi-hazard risk evaluation in vulnerability assessment and risk pricing. Most studies considered only single-hazard risk, and the multi-hazard risk studies assumed independence between hazards. Thus, we summarized the most common methods for calculating indices, estimating losses using indices, pricing risks, and evaluating insurance index policies. This review promotes a starting point in weather index insurance design towards a multi-hazard resilient society.

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Section: Hazard Identificationmentioning

confidence: 99%

“…Wind power energy depends on average wind speed. Therefore, the lack of wind can cause income reduction (Rodríguez et al, 2021). A similar impact is faced by solar panels that depend on enough solar radiation to meet energy yield goals.…”

Section: Vulnerability Analysismentioning

confidence: 99%

Review article: Design and Evaluation of Weather Index Insurance for Multi-Hazard Resilience and Food Insecurity

Benso

Gesualdo²,

Silva³

et al. 2022

Preprint

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“…As for weather derivatives, various studies have been carried out, mainly on pricing methods. There are a wide range of indices that can be used as underlying assets for weather derivatives, such as temperature [10][11][12][13][14][15][16][17][18][19][20], wind [21][22][23][24], solar radiation [25], and rainfall [26]; thus, the applicability of weather derivatives has been demonstrated by many researchers. Recently, the research on the investigation of hedging effects has gained attention as well.…”

Section: Introductionmentioning

confidence: 99%

Going for Derivatives or Forwards? Minimizing Cashflow Fluctuations of Electricity Transactions on Power Markets

Yamada

Matsumoto

2021

Energies

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In a competitive electricity market, both electricity retailers and generators predict future prices and volumes and execute electricity delivery contracts through power exchange. In such circumstances, they may suffer from uncertainties caused by fluctuations in spot prices and future demand due to their high volatility. In this study, we develop a unified approach using derivatives and forwards on the spot electricity price and weather data to mitigate the cashflow fluctuation for power utilities. We aim to clarify the applicability of our proposed methods and provide a new and useful perspective on hedging schemes involving various electricity utilities, such as power retailers, solar photovoltaic (PV) generators, and thermal generators. Moreover, we analyze the risk of risk takers (such as the insurance companies in this study) in the derivatives market. In addition, we perform empirical simulations to measure out-of-sample hedging effects on their cashflow management using actual data in Japan.

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“…This approach is based on relatively weak assumptions that only place exogenous constraints on the variance of the stochastic discount factor. Furthermore, the existing literature mentioned above including recent studies (Rodríguez, Pérez-Uribe, and Contreras, 2021;Hess, 2021) does not conduct detailed empirical analyses of wind power load factors, which are the underlying variables of wind power futures contracts. Since wind power futures prices are based on wind power load factors, such an analysis is one of important applied value because one cannot obtain correct wind power futures prices without an appropriate stochastic model.…”

Section: Introductionmentioning

confidence: 99%