| 摘要 |
The amount of risk in weather derivatives is calculated properly by taking into account a correlation between weather observation sites and a correlation between meteorological elements. A weather prediction method by creating a weather scenario from historical weather data includes a first step of estimating parameters of a weather time-series model based on historical weather data including past plural meteorological elements, a meteorological element correlation between sites, and a correlation between meteorological elements, and a second step of converting random numbers into meteorological elements based on the estimated parameters. The second step is executed a given number of times to create a plurality of weather scenarios.
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