This study analyzes rainfall weather index insurance used for forage crops, in the Province of Ontario, Canada. The first objective of the study was to examine factors affecting the willingness of farmers to pay for forage rainfall index insurance, and a survey was undertaken. Some factors found to influence farmers' willingness to pay were knowledge and attitude regarding insurance, their risk profile, and socio-economic factors. A second objective of the study was to examine basis risk reduction approaches. Basis risk is the difference between the actual loss on a farm and the index measured loss payments that are determined by weather station data. The focus was to capture changing yield and weather relationships over crop growth stages. Using farm level forage yield and daily weather station data from Ontario, a multi-trigger index was designed using weighted crop cycle optimization, and results show that basis risk was substantially reduced. / May 2016

<p> The fire weather index (FWI), useful as a measure of forest fire danger, is calculated from precipitation and other weather variables. In the present environmental study, precipitation, fuel moisture codes, and fire behavior indices were available for a reference site and 4 higher elevation sites around Smithers, British Columbia. The objective of the study was to determine whether the use of local precipitation would lead to a different FWI than obtained from precipitation at the reference site.</p> <p> The features of the series of daily FWI values which needed to be taken into account were: peaks following dry periods, serial correlation, and heteroscedasticity. Two types of models were developed to characterize the record as a smooth component, for the upward and downward movements of the index, and a component of correlated error terms. The first type was a parametric Fourier series in a context of a generalized linear model (GLS) that allowed for serial correlation and heteroscedasticity. The second form was a smoothing cubic spline with a bootstrap procedure for estimation of standard errors and confidence bands. The question, of whether FWI on a particular day differed between a higher elevation station and the reference station, was addressed by adding a station effect to the GLS model and by graphical comparison of the smooth curves with confidence bands for the spline method.</p> <p> The Model-3 for the combined station effect is not able to capture the sharpness of the peak and found insignificant while cubic spline smoothing curves fitted to the bootstrap behave well to capture peaks and troughs in the index but it encounter some difficulties for few lower index values.</p> / Thesis / Master of Science (MSc)

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Shandong Province, renowned as China’s greatest agricultural province, is dominated by smallholders growing rain-fed crops and vulnerable to severe weather shocks that can increase poverty rates. Weather index insurance, an innovative agricultural risk management product, may be an effective mechanism to address vulnerability to catastrophic weather risk in rural regions of China, including Shandong. This project evaluated current household livelihood and risk management strategies and farmer interest in weather index insurance. Data from 174 participants were collected using a methodology that included focus groups, questionnaires, and personal interviews. Despite limited access to formal financial services, Shandong farmers generally employ informal, well-diversified income strategies and rely on no-interest informal loans from community members to manage adverse impacts of natural disasters, such as drought. Households sometimes rely on reducing consumption as a risk coping strategy; however, unlike many regions of the world, Shandong farmers do not tend to sell livelihood assets to manage weather shocks. A majority of interviewed participants were interested in weather index insurance after they understood its basic concept; however, participants expressed concerns regarding basis risk and program implementation.

Die Beiträge der vorliegenden Dissertationsschrift untersuchen zum einen, inwieweit Wetterindexversicherungen einen Beitrag zur Stabilisierung von wetterbedingten Einkommensschwankungen in der Landwirtschaft leisten können. In der Landwirtschaft ist trotz bedeutender wetterbedingter Einkommensschwankungen bisher nur ein sehr verhaltener Einsatz von Indexversicherungen zu beobachten. Allerdings gibt es bislang kaum Studien, die Möglichkeiten zur Reduzierung des mit dem Einsatz von Wetterindexversicherungen verbundenen Basisrisikos untersuchen. Zum anderen wird untersucht, inwieweit Wetterrisiken das Rückzahlungsverhalten landwirtschaftlicher Mikrokreditnehmer beeinflussen. Das Risiko bei der Kreditvergabe an landwirtschaftliche Klein-Betriebe in Entwicklungs- und Schwellenländern gilt aus Bankensicht aufgrund der vergleichsweise hohen Einkommensschwankungen in der landwirtschaftlichen Produktion als besonders hoch. In der Literatur wird das wetterbedingte Einkommensrisiko als wesentlicher Grund für das vergleichsweise hohe Kreditrisiko von landwirtschaftlichen Mikrokrediten angeführt. Allerdings wurde dies bislang noch nicht empirisch verifiziert. Die Dissertationsschrift widmet sich dem Thema in vier Beiträgen, die unterschiedliche Aspekte der übergeordneten Problematik behandeln.

Táto diplomová práca sa zaoberá novým prístupom k zhlukovaniu časových rád na základe dynamického faktorového modelu. Dynamický faktorový model je technika redukujúca dimenziu a rozširuje klasickú faktorovú analýzu o požiadavku autokorelačnej štruktúry latentných faktorov. Parametre modelu sa odhadujú pomocou EM algoritmu za použitia Kalmanovho filtra a vyhladzovača a taktiež sú aplikované nevyhnutné podmienky na model, aby sa stal identifikovateľným. Po tom, ako je v práci predstavený teoretický koncept prístupu, dynamický faktorový model je aplikovaný na skutočné pozorované časové rady a práca skúma jeho správanie a vlastnosti na jednomesačných meteorologických dátach požiarneho indexu (Fire Weather Index) na 108 požiarnych staniciach umiestnených v Britskej Kolumbii. Postup výpočtu modelu odhadne záťažovú maticu (loadings matrix) spolu so zodpovedajúcim malým počtom latentných faktorov a kovariačnou maticou modelovaných časových rád. Diplomová práca aplikuje k-means zhlukovanie na výslednú záťažovú maticu a ponúka rozdelenie meteorologických staníc do zhlukov založené na redukovanej dimenzionalite pôvodných dát. Vďaka odhadnutým priemerom zhlukov a odhadnutým latentným faktorom je možné získať aj priemerné trendy každého zhluku. Následne sú dosiahnuté výsledky porovnané s výsledkami získanými na dátach z rovnakých staníc avšak iného mesiaca, aby sa stanovila stabilita zhlukovania. Práca sa taktiež zaoberá efektom varimax rotácie záťažovej matice. Diplomová práca naviac navrhuje metódu detekovania odľahlých časových rád založenú na odhadnutej kovariačnej matici modelu a rozoberá dôsledky odľahlých hodnôt na odhanutý model.

学位プログラム名: 京都大学大学院思修館 / 京都大学 / 新制・課程博士 / 博士(総合学術) / 甲第24056号 / 総総博第25号 / 新制||総総||4(附属図書館) / 京都大学大学院総合生存学館総合生存学専攻 / (主査)教授 山敷 庸亮, 教授 寶 馨, 教授 池田 裕一, 佐藤 達彦 / 学位規則第4条第1項該当 / Doctor of Philosophy / Kyoto University / DFAM

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