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Richards, Timothy J.; Manfredo, Mark R.. |
Revenue insurance represents an important new risk management tool for agricultural producers. While there are many farm-level products, Group Risk Income Protection (GRIP) is an area-based alternative. Insurers set premium rates for GRIP on the assumption of a continuous revenue distribution, but discrete events may cause the actual value of insurance to differ by a significant amount. This study develops a contingent claims approach to determining the error inherent in ignoring these infrequent events in rating GRIP insurance. An empirical example from the California grape industry demonstrates the significance of this error and suggests an alternative method of determining revenue insurance premiums. |
Tipo: Journal Article |
Palavras-chave: Black-Scholes; Contingent claim; Grapes; Insurance; Jump-diffusion; Option pricing; Risk and Uncertainty. |
Ano: 2003 |
URL: http://purl.umn.edu/31094 |
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Musshoff, Oliver; Odening, Martin; Xu, Wei. |
The importance of weather as a production factor in agriculture is well established long time and a significant portion of yield fluctuations is caused by weather risks. Traditionally, farmers have tried to hedge against unfavorable weather using insurance, such as crop insurance. In recent years a new class of instruments, so called weather derivatives, have emerged. They allows to reduce weather based risks as well. Weather derivatives are financial market products such as forwards, futures, options and swaps, that have a weather component such as temperature or rainfall. Although weather derivatives have some advantages compared to traditional insurance, their trading volume is still rather small. One reason (among others) for why potential users... |
Tipo: Journal Article |
Palavras-chave: Weather derivatives; Option pricing; Actuarial methods; Financial methods; Financial Economics; Risk and Uncertainty. |
Ano: 2005 |
URL: http://purl.umn.edu/97216 |
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