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| Shen, Zhiwei; Odening, Martin. |
| The implementation of index-based crop insurance is often impeded by the existence of systemic risk of insured losses. We assess the effectiveness of two strategies for coping with systemic risk: regional diversification and securitization with catastrophe (CAT) bonds. The analysis is conducted in an equilibrium pricing framework which allows the optimal price of the insurance and the number of traded contracts to be determined. We also explore the role of basis risk and risk aversion of market agents. The model is applied to a hypothetical area yield insurance for rice producers in northeast China. If yields in two regions are positively correlated, we find that enlarging the insured area leads to an increasing insurance premium. Unless capital market... |
| Tipo: Presentation |
Palavras-chave: Crop insurance; Systemic risk; Risk pooling; Securitization; Risk and Uncertainty; Q11; Q14. |
| Ano: 2012 |
URL: http://purl.umn.edu/122555 |
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| Ozaki, Vitor Augusto. |
| This paper analyses the spatial pattern of the agricultural yield data. Using the spatial statistics, it is possible to estimate some parameters of the semivariogram to study the problem of the systemic risk, which has great implications for the crop insurance program in Brazil. In particular, the “range” parameter was estimated. This parameter measures the distance, in which the spatial correlation tends to zero. For the empirical analysis, county yield data was used provided by IBGE, for soybean and corn, in the state of Paraná, through 1990 and 2002. The results showed that there is spatial dependence in every year analysed, going to zero in relatively long distances (in km). |
| Tipo: Journal Article |
Palavras-chave: Crop insurance; Systemic risk; Spatial correlation; Semivarioram.; Agribusiness; Q19. |
| Ano: 2008 |
URL: http://purl.umn.edu/61239 |
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| Woodard, Joshua D.; Garcia, Philip. |
| Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find that better weather hedging opportunities may exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using relatively simple weather derivatives. The aggregation effect suggests that the potential for weather derivatives in agriculture may be greater than previously thought, particularly for aggregators of risk such as reinsurers. |
| Tipo: Journal Article |
Palavras-chave: Crop insurance; Hedging; Reinsurance; Spatial aggregation; Systemic risk; Weather derivatives; Risk and Uncertainty. |
| Ano: 2008 |
URL: http://purl.umn.edu/36705 |
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