摘要
天气衍生品是为了规避天气风险给天气敏感行业带来收入的不稳定性而兴起的创新型风险管理工具,其实质是通过衍生合约对天气风险进行分割、重组和交易的证券化产品。不同于传统金融衍生品,天气衍生品的价值取决于温度、湿度或降雨量等天气指数。本文在分析天气衍生品市场发展的基础上,重点探讨了最常见的天气期货和天气期权的运作机制及其精算定价。
Weather derivatives are innovative risk management tools for the weather-sensitive industries to hedge against income volatility due to weather risk. They are essentially securitization instruments in derivative contracts by dividing, restructuring, and trading of weather risks. Different from traditional financial derivatives, the value of weather derivatives depends on the weather index of temperature, humidity or rainfall and so on. Having analyzed the development of weather derivatives market, the operational mechanisms and actuarial pricings of the most popular weather futures and weather options are discussed in the paper.
出处
《财经理论与实践》
CSSCI
北大核心
2011年第6期39-43,共5页
The Theory and Practice of Finance and Economics
关键词
天气风险
天气衍生品
风险管理
取暖指数
Weather risk, Weather derivatives
Risk management
Heating degree days
