Spatial Aggregation and Weather Risk Management

Table 3^a. Hedging Results of Historical Simulation,

Out-of-Sample Estimates, 1987-2002

Hedged: Call Option	Average of Districts_______	State (Aggregated)
MRSL	25.56	19.65
Change MRSL	-5.93	-6.78
% Change MRSL	-16.85	-25.66
ES 6%	268.41	291.85
ES 9%_____________	279.96	______________296.17
^aThe table presents out-of-sample estimates for the

second half of the data period (1987-2002) when
hedging with call options. Out-of-sample estimates are
obtained by applying the optimal hedge estimated from
the first half of the data period to the second.

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