天气衍生品的运作机制与精算定价
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引用本文:谢世清,梅云云.天气衍生品的运作机制与精算定价[J].财经理论与实践,2011,(6):39-43
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作者单位
谢世清,梅云云 (1.北京大学经济学院北京100871
2. 北京大学 软件与微电子学院,北京100871) 
中文摘要: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。
中文关键词:天气风险  天气衍生品  风险管理  取暖指数
 
Operational Mechanisms and Actuarial Pricing of Weather Derivatives
Abstract: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.
keywords:Weather risk, Weather derivatives  Risk management  Heating degree days
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