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| Mahul, Olivier. |
| We examine the optimal hedging strategy with an individual insurance policy, sold at an unfair price, and a fair contract based on an index, which is imperfectly correlated with the individual loss. The tradeoff between transaction costs and basis risk is first analyzed in the expected utility framework in order to highlight the role of the agent's attitude toward risk, and then in the linear mean-variance model to stress the importance of the degree of correlation between the individual loss and the index. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agribusiness. |
| Ano: 2003 |
URL: http://purl.umn.edu/22007 |
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| Mahul, Olivier. |
| The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries; Marketing. |
| Ano: 2002 |
URL: http://purl.umn.edu/19070 |
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| Mahul, Olivier; Wright, Brian D.. |
| The optimal crop revenue insurance contract is designed from recent developments in the theory of insurance economics under incomplete markets. The message is two-fold. Firstly, when the indemnity schedule is contingent on individual price and individual yield, the optimal contract depends only on the individual gross revenue. Secondly, this policy is shown to fail if the indemnity function is based on aggregate price and/or aggregate yield. A closed-form solution, in which basis risks are ignored, is proposed. It differs from actual revenue insurance programs proposed to the U.S. farmers. When insurance and capital markets are unbiased, it can be replicated with existing crop yield and revenue insurance policies and hedging contracts if the decision... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Agricultural Finance; Risk and Uncertainty. |
| Ano: 2000 |
URL: http://purl.umn.edu/21729 |
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| Mahul, Olivier; Vermersch, Dominique. |
| This paper analyses the optimal hedging decisions for risk-averse producers facing crop risk, assuming crop yield insurance futures and options can be used. The first-best optimal hedge requires a futures position or an option position proportionate to the individual beta depending on whether the financial markets are perceived unbiased or biased. Using yield data for a sample of wheat producers in France, the producers' hedge ratios are derived. These new hedging instruments are more effective to reduce farm yield variability than the individual yield contracts, except if the individual yield guarantee is at least equal to the individual average yield. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop insurance; Hedging position; Incomplete markets; Marketing; Risk and Uncertainty. |
| Ano: 1999 |
URL: http://purl.umn.edu/21672 |
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| Mahul, Olivier. |
| The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for two French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Crop insurance; Hedging; Producer welfare; Simulation; Risk and Uncertainty. |
| Ano: 2002 |
URL: http://purl.umn.edu/24881 |
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