@article{oai:tsukuba.repo.nii.ac.jp:00041137,
 author = {Yuji, Yamada and 山田, 雄二 and 飯田, 愛実 and 椿, 広計},
 issue = {1},
 journal = {統計数理},
 month = {},
 note = {Weather derivatives are contracts written on the basis of weather indices, which in
turn are variables whose values are constructed from weather data. This paper, focuses
on pricing of temperature-based weather derivatives, and demonstrate their hedge effect
on energy businesses.
First, we categorize and review several pricing models, and develop another pricing
method based on trend prediction. It is shown that the future price on the monthly
average temperature can be derived by fitting the generalized additive model with its
nonparametric trend and residuals. We also show that the same idea can be applied to
derivative contracts whose premiums are paid in advance when the contracts are carried
out. We then analyze the hedge effect of weather derivatives on energy businesses. The
historical simulation shows that the weather future is highly effective for hedging electricity
revenue when the revenue is proportional to the electricity sales in summer. Moreover,
we demonstrate an optimal revenue structure with respect to electricity sales when put
options are used. Finally, we perform a similar analysis based on gas sales data using
weather derivatives.},
 pages = {57--78},
 title = {トレンド予測に基づく天候デリバティ ブの価格付けと事業リスクヘッジ},
 volume = {54},
 year = {2006},
 yomi = {ヤマダ, ユウジ}
}