This chapter focuses on risk analysis methods aiming to develop a methodological base to understand drought risks in agriculture and formulate conceptual basis that allows rigorous drought impacts attribution. The method integrates both climate and agricultural system's characteristics to measure the rainfed agriculture risk to drought in a way that allows making comparisons between different places with different potential yields. Monte Carlo simulations are used to obtain the probability distributions allowing the characterization of risk. Finally, risk premium has been estimated by using statistical and risk evaluation models for some selected sites in Spain.