Research of utilizing the weather derivatives, relation between the major companies and the risk of unseasonable weather in Iwate Prefecture

本研究以岩手县某公司的天气风险为分析对象，分析利用天气衍生品的避险效果，并运用燃烧成本法及机率分布法计算温度衍生品的保费。燃烧成本法是利用过去的数据计算保险费的方法。概率分布法是假设数据的分布，根据分布进行模拟，根据模拟结果计算保费的方法。本文还考虑了两个公司之间为了转移不利天气风险而进行的天气衍生产品交易，称为风险互换交易。本文利用Hellinger距离对风险互换交易的权益性进行了验证，发现两种方法计算的衍生品的溢价不同，无法得到风险互换交易的权益性。

The purpose of this research is analysis of the weather risk of a company in Iwate Prefecture, and analyzing the hedge effect when utilizing weather derivatives.I used burning cost method and probability distribution method to calculating the premium of the temperature derivatives. Burning cost method is the method of calculating the premium using the past data. And probability distribution method is the method of assuming about the distribution of the data, performing the simulation based on the distribution, and calculating the premium based on the result of the simulation. I also consider weather derivative transaction between two companies in order to transfer the risks of adverse weather, called risk swap transaction. I used Hellinger distance to verify the equity of the risk swap transaction.I found that the premium of the derivatives calculated by the two methods was different and the equity of the risk swap transaction is not obtained.