{"created":"2021-03-01T07:20:34.922266+00:00","id":41137,"links":{},"metadata":{"_buckets":{"deposit":"b845b8b2-2485-4ab4-8048-0fd57ec83f4b"},"_deposit":{"id":"41137","owners":[],"pid":{"revision_id":0,"type":"depid","value":"41137"},"status":"published"},"_oai":{"id":"oai:tsukuba.repo.nii.ac.jp:00041137","sets":["3:62:5617:5896","469:5882"]},"item_5_biblio_info_6":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2006","bibliographicIssueDateType":"Issued"},"bibliographicIssueNumber":"1","bibliographicPageEnd":"78","bibliographicPageStart":"57","bibliographicVolumeNumber":"54","bibliographic_titles":[{"bibliographic_title":"統計数理"}]}]},"item_5_creator_3":{"attribute_name":"著者別名","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Yuji, Yamada"}],"nameIdentifiers":[{}]}]},"item_5_description_4":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"Weather derivatives are contracts written on the basis of weather indices, which in\nturn are variables whose values are constructed from weather data. This paper, focuses\non pricing of temperature-based weather derivatives, and demonstrate their hedge effect\non energy businesses.\nFirst, we categorize and review several pricing models, and develop another pricing\nmethod based on trend prediction. It is shown that the future price on the monthly\naverage temperature can be derived by fitting the generalized additive model with its\nnonparametric trend and residuals. We also show that the same idea can be applied to\nderivative contracts whose premiums are paid in advance when the contracts are carried\nout. We then analyze the hedge effect of weather derivatives on energy businesses. The\nhistorical simulation shows that the weather future is highly effective for hedging electricity\nrevenue when the revenue is proportional to the electricity sales in summer. Moreover,\nwe demonstrate an optimal revenue structure with respect to electricity sales when put\noptions are used. Finally, we perform a similar analysis based on gas sales data using\nweather derivatives.","subitem_description_type":"Abstract"}]},"item_5_publisher_27":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"統計数理研究所"}]},"item_5_rights_12":{"attribute_name":"権利","attribute_value_mlt":[{"subitem_rights":"© 2006 統計数理研究所"}]},"item_5_select_15":{"attribute_name":"著者版フラグ","attribute_value_mlt":[{"subitem_select_item":"publisher"}]},"item_5_source_id_7":{"attribute_name":"ISSN","attribute_value_mlt":[{"subitem_source_identifier":"0912-6112","subitem_source_identifier_type":"ISSN"}]},"item_5_source_id_9":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AN10043856","subitem_source_identifier_type":"NCID"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"山田, 雄二"},{"creatorName":"ヤマダ, ユウジ","creatorNameLang":"ja-Kana"}],"nameIdentifiers":[{},{},{}]},{"creatorNames":[{"creatorName":"飯田, 愛実"}],"nameIdentifiers":[{}]},{"creatorNames":[{"creatorName":"椿, 広計"}],"nameIdentifiers":[{}]}]},"item_files":{"attribute_name":"ファイル情報","attribute_type":"file","attribute_value_mlt":[{"accessrole":"open_date","date":[{"dateType":"Available","dateValue":"2017-05-15"}],"displaytype":"detail","filename":"PISM_54-1.pdf","filesize":[{"value":"680.5 kB"}],"format":"application/pdf","licensetype":"license_note","mimetype":"application/pdf","url":{"label":"PISM_54-1","url":"https://tsukuba.repo.nii.ac.jp/record/41137/files/PISM_54-1.pdf"},"version_id":"ad897a72-4f9f-4274-a3e1-f42763556283"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"journal article","resourceuri":"http://purl.org/coar/resource_type/c_6501"}]},"item_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","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_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"}]},"item_type_id":"5","owner":"1","path":["5882","5896"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-05-15"},"publish_date":"2017-05-15","publish_status":"0","recid":"41137","relation_version_is_last":true,"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"],"weko_creator_id":"1","weko_shared_id":5},"updated":"2022-04-27T09:11:57.565546+00:00"}