The paper explores the concept of weather derivatives: what it is, what its features are, and in what areas they can be applied. It has been established that there can be several types of weather derivative instruments – options and swaps. The use of weather derivatives has also been found to be very broad and attractive for tourism, construction, agriculture and heating companies. Companies operating in Lithuania do not use weather derivatives, although they do provide insurance against the risks associated with adverse weather conditions. The paper is conducting a study to determine which heating companies should apply weather derivatives to improve their performance. The study is conducted using multi-criteria assessment methods – SAW and TOPSIS. The multi-criteria assessment showed that AB Šiaulių energija and UAB Varėnos šiluma could use the opportunity to apply weather derivatives in their activities.