Pricing Weather Insurance with a Random Strike Price: The Ontario Ice‐Wine Harvest
提出一种针对天气保险的新定价方法，适用于收益不仅取决于天气事件发生、还取决于其发生时间的情况，并用蒙特卡洛方法为安大略冰酒收获的天气保险估算保费。
Weather insurance within the agricultural sector has been limited by the difficulty in defining the appropriate weather event and in pricing the product. We develop a new pricing method for weather insurance under situations where returns depend not only on the occurrence of the weather event, but also its timing. The method is used to price weather insurance for ice wine. Because the harvest quantity of grapes for ice wine degrades over time, the strike value on the weather event measured as harvestable hours is random. We develop a Monte Carlo method to estimate the premium.