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| Leuthold, Raymond M.; Noussinov, Mikhail A.. |
| Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size. |
| Tipo: Journal Article |
Palavras-chave: Cattle feeding; Hedge ratios; Hedging strategies; Multiproduct hedging; Optimal hedging; Marketing. |
| Ano: 1999 |
URL: http://purl.umn.edu/14679 |
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| Enjolras, Geoffroy; Kast, Robert. |
| High losses generated by natural catastrophes reduce the availability of insurance. Among the ways to manage risk, the subscriptions of participating and non-participating contracts respectively permit to implement the two major principles in risk allocation: the mutuality and the transfer principles. Decomposing a global risk into its idiosyncratic and systemic components, we show that: the participating contract hedges the individual losses under a variable premium and the systemic risk is covered with a non-participating contract under a fixed premium. Based on Doherty and Schlesinger (2002) and Mahul (2002) approaches, our model replaces the non-participating contract by a financial one based on an index closely correlated to the systemic risk, under a... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Catastrophe risk; Crop insurance; Optimal hedging; Securitization; Crop Production/Industries; Risk and Uncertainty. |
| Ano: 2007 |
URL: http://purl.umn.edu/9268 |
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