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Registros recuperados: 24
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Actuarial Impacts of Loss Cost Ratio Ratemaking in U.S. Crop Insurance Programs AgEcon
Woodard, Joshua D.; Sherrick, Bruce J.; Schnitkey, Gary D..
This study examines the actuarial implications of the loss cost ratio (LCR) ratemaking methodology employed by the Risk Management Agency as a component of base rates for U.S. crop insurance programs, and identifies specific conditions required for the LCR methodology to result in unbiased rates when liabilities trend. Specifically, constant relative yield risk resulting in growing absolute variance through time and other restrictive requirements are required for the LCR to result in unbiased rates. These requirements are tested against a large farm-level data set for Illinois corn. Our findings indicate that the conditions required for appropriate use of the LCR methodology are violated for this high premium volume market, resulting in large implied rate...
Tipo: Journal Article Palavras-chave: Actuarially fair; Crop insurance; Insurance rating; Loss cost ratio; Risk growth; Risk Management Agency; Yield trends; Crop Production/Industries; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/105550
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An Examination of Farm Asset Returns AgEcon
Miller, Lynn H.; Sherrick, Bruce J..
A multi-factor capital asset pricing model is used to examine the return characteristics of physical assets comprising the farm asset portfolio. Physical assets analyzed are: 1) farm real estate; 2) machinery and motor vehicles; 3) crops stored on farm; and 4) livestock and poultry. Results for the years 1950-1990 indicate that unexpected inflation is more appropriate than the more commonly used realized inflation factor; and that the systematic risk component to these asset classes is, in general, low. Further, excess returns measures are significant for farmland, machinery, and crops stores on farm but not for livestock and poultry.
Tipo: Journal Article Palavras-chave: Capital asset pricing model (CAPM); Farm assets; Multi-factor models; Unexpected inflation; Agribusiness; Farm Management; Financial Economics.
Ano: 1994 URL: http://purl.umn.edu/62342
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CROP INSURANCE VALUATION UNDER ALTERNATIVE YIELD DISTRIBUTIONS AgEcon
Zanini, Fabio C.; Sherrick, Bruce J.; Schnitkey, Gary D.; Irwin, Scott H..
Considerable disagreement exists about the most appropriate characterization of farm-level yield distributions. Yet, the economic importance of alternate yield distribution specifications on insurance valuation, product designs and farm-level risk management has not been investigated or documented. The results of this study demonstrate that large differences in expected payments from popular crop insurance products can arise solely from the parameterization chosen to represent yields. The results suggest that the frequently unexamined yield distribution specification may lead to incorrect conclusions in important areas of insurance and risk management research such as policy rating, and assessment of expected payments from policies.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2001 URL: http://purl.umn.edu/18953
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Empirically Evaluating the Flexibility of the Johnson Family of Distributions: A Crop Insurance Application AgEcon
Lu, Yue; Ramirez, Octavio A.; Rejesus, Roderick M.; Knight, Thomas O.; Sherrick, Bruce J..
This article examines the flexibility of the Johnson system of distributions by assessing its per-formance in terms of modeling crop yields for the purpose of setting actuarially fair crop in-surance premiums. Using data from corn farms in Illinois coupled with Monte Carlo simula-tion procedures, we found that average crop insurance premiums computed on the basis of the Johnson system provide reasonably accurate estimates even when the data are normal or come from a non-normal distribution other than the Johnson system (i.e., a beta). These results sug-gest that there is potential for using the Johnson system to rate previously uninsured crops that do not have historical insurance performance data upon which to base premium calculations.
Tipo: Journal Article Palavras-chave: Crop insurance; Crop yield modeling; Johnson distribution; Premium rate setting; Risk and Uncertainty.
Ano: 2008 URL: http://purl.umn.edu/44740
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ESTIMATING FARM-LEVEL YIELD DISTRIBUTIONS FOR CORN AND SOYBEANS IN ILLINOIS AgEcon
Zanini, Fabio C.; Irwin, Scott H.; Schnitkey, Gary D.; Sherrick, Bruce J..
Many yield modeling approaches have been developed in attempts to provide accurate characterizations of farm-level yield distributions due to the importance of yield uncertainty in crop insurance design and rating, and for managing farm-level risk. Competing existing models of crop yields accommodate varying skewness, kurtosis, and other departures from normality including features such as multiple modes. Recently, the received view of crop yield modeling has been challenged by Just and Weninger who indicate that there is insufficient evidence to reject normality given data limitations and potential methodological shortcomings in controlling for deterministic components (trend) in yields. They point out that past empirical efforts to estimate and...
Tipo: Conference Paper or Presentation Palavras-chave: Productivity Analysis; Research Methods/ Statistical Methods; Teaching/Communication/Extension/Profession.
Ano: 2000 URL: http://purl.umn.edu/21720
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Evaluating Yield Models for Crop Insurance Rating AgEcon
Lanoue, Christopher; Sherrick, Bruce J.; Woodard, Joshua D.; Paulson, Nicholas D..
Generated crop insurance rates depend critically on the distributional assumptions of the underlying crop yield loss model. Using farm level corn yield data from 1972-2008, we revisit the problem of examining in-sample goodness-of-fit measures across a set of flexible parametric, semi-parametric, and non-parametric distributions. Simulations are also conducted to investigate the out-of-sample efficiency properties of several competing distributions. The results indicate that more parameterized distributional forms fit the data better in-sample due to the fact that they have more parameters, but are generally less efficient out-of-sample–and in some cases more biased–than more parsimonious forms which also fit the data adequately, such as the Weibull. The...
Tipo: Conference Paper or Presentation Palavras-chave: Yield distributions; Crop Insurance; Weibull Distribution; Beta Distribution; Mixture Distribution; Out-of-Sample Efficiency; Goodness-of-Fit; Insurance Rating Efficiency; Farm Management; Financial Economics; Land Economics/Use.
Ano: 2010 URL: http://purl.umn.edu/61761
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EVALUATION OF RISK REDUCTIONS ASSOCIATED WITH MULTI-PERIOL CROP INSURANCE PRODUCTS AgEcon
Schnitkey, Gary D.; Sherrick, Bruce J.; Irwin, Scott H..
This research examines risk-return tradeoffs across a full range of crop insurance products and coverage levels. Results indicate that farm-level products reduce risk for low probability events, but that risk reductions often are not large for events that occur with more regularity. Risk reductions vary with yield variability; with counties that have higher yield variability also experiencing greater risk reductions through the use of crop insurance.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2002 URL: http://purl.umn.edu/19778
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Factors Affecting Farmers’ Utilization of Agricultural Risk Management Tools: The Case of Crop Insurance, Forward Contracting, and Spreading Sales AgEcon
Velandia, Margarita M.; Rejesus, Roderick M.; Knight, Thomas O.; Sherrick, Bruce J..
Factors affecting the adoption of crop insurance, forward contracting, and spreading sales are analyzed using multivariate and multinomial probit approaches that account for simultaneous adoption and/or correlation among the three risk management adoption decisions. Our empirical results suggest that the decision to adopt crop insurance, forward contracting, and/or spreading sales are correlated. Richer insights can be drawn from our multivariate and multinomial probit analysis than from separate, single-equation probit estimation that assumes independence of adoption decisions. Some factors significantly affecting the adoption of the risk management tools analyzed are proportion of owned acres, off-farm income, education, age, and level of business risks.
Tipo: Journal Article Palavras-chave: Adoption decisions; Crop insurance; Forward contracting; Multinomial probit; Multivariate probit; Risk management; Spreading sales; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Risk and Uncertainty; G22; Q12; Q18.
Ano: 2009 URL: http://purl.umn.edu/48751
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Farmers’ Subjective Perceptions of Yield and Yield Risk AgEcon
Egelkraut, Thorsten M.; Sherrick, Bruce J.; Garcia, Philip; Pennings, Joost M.E..
Using survey responses of Illinois corn farmers to differently framed yield questions, we examine their subjective information by relating stated yields and risk to the corresponding objective county measures. The results show that farm-level yields can be best characterized by soliciting probabilistic information, which provides more accurate yield assessments than an open-ended frame and consistent estimates of producers’ subjective risk. Moreover, we find that overconfidence can be confused with differences in relevant information and that using recent data may be more appropriate in examining subjective risk statements. Our results are important for agricultural policy-makers and researchers, particularly those who work with surveys that include...
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2006 URL: http://purl.umn.edu/18991
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Farmers' Subjective Yield Distributions: Calibration and Implications for Crop Insurance Valuation AgEcon
Umarov, Alisher; Sherrick, Bruce J..
This paper examines the role of overconfidence in explaining farmer crop insurance purchasing decisions. The authors hypothesize that overconfidence could influence the participation decision and test this hypothesis. The preliminary results indicate that farmers are overconfident; however, the relationship between overconfidence and the insurance use remains uncertain.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2005 URL: http://purl.umn.edu/19396
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INCOME AND CAPITALIZATION RATE RISK IN AGRICULTURAL REAL ESTATE MARKETS AgEcon
Schnitkey, Gary D.; Sherrick, Bruce J..
Tipo: Journal Article Palavras-chave: Farmland Prices; Farmland Returns; Capitalization Rates; Risk; Asset Bubbles; Land Economics/Use; Q14.
Ano: 2011 URL: http://purl.umn.edu/109472
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Measuring the Credit Risk of AgriBank Loans under the New Basel Capital Accord: A Logit Regression Approach AgEcon
Hennings, Enrique; Sherrick, Bruce J..
Tipo: Conference Paper or Presentation Palavras-chave: Financial Economics; Q21; G21.
Ano: 2007 URL: http://purl.umn.edu/9987
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New Generation Grain Marketing Contracts AgEcon
Hagedorn, Lewis A.; Irwin, Scott H.; Martines-Filho, Joao Gomes; Good, Darrel L.; Sherrick, Bruce J.; Schnitkey, Gary D..
The purpose of this research report is to summarize the features of several types of "new generation" grain marketing contracts. Over the last several years, new types of grain marketing contracts have been developed by the grain industry in an attempt to improve the results of the marketing process for farmers. These products use automated pricing rules, discretionary marketing on the part of a professional advisor, options strategies, or some combination of all three; their goal is to achieve a price for the farmer near or above the "average" price offered by the market over a given time. Reports in the farm media suggest interest in new generation contracts has increased rapidly in recent years. This publication describes some of the contracts...
Tipo: Working or Discussion Paper Palavras-chave: Crop Production/Industries; Marketing.
Ano: 2003 URL: http://purl.umn.edu/14782
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PORTFOLIO DIVERSIFICATION USING FARMLAND INVESTMENTS AgEcon
Hennings, Enrique; Sherrick, Bruce J.; Barry, Peter J..
This study examines the impact of farmland investments on the risk-efficiency of mixed asset portfolios. Traditional asset classes considered available for investment include various equity market indices, commercial REITs, corporate bonds of investment- and sub investment grade, government bonds and treasury bills, corporate bonds, ex-U.S. equity indices, short term interest rate indexes, and commodity investments. Unlevered farmland returns were constructed at the state level as the sum of cash rent and capital gains less property taxes as a fraction of asset values. In addition, a unique, high quality data set comprised of the returns to all managed farmland properties in the NCREIF Farmland Index was also considered. A traditional optimal E-V...
Tipo: Conference Paper or Presentation Palavras-chave: Land Economics/Use.
Ano: 2005 URL: http://purl.umn.edu/19273
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Producers' Yield and Yield Risk: Perceptions versus Reality and Crop Insurance Use AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Pennings, Joost M.E.; Sherrick, Bruce J..
Using survey data from 258 Illinois corn farmers, we investigate the relationship between subjective and objective yield measures and their effect on the use of crop insurance. Our findings show that producers view themselves as better than average with respect to yields and in terms of their variability, and that over- and underconfidence also influence their use of crop insurance. The effects are not symmetric, overconfidence is primarily reflected in the larger-than-average yield, while underconfidence emerges mainly in the larger-than-average variability. Crop insurance use is further affected by risk preferences and county yield variability.
Tipo: Conference Paper or Presentation Palavras-chave: Risk and Uncertainty.
Ano: 2006 URL: http://purl.umn.edu/21369
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RECENT TRENDS AFFECTING FARM AND RURAL BUSINESS FINANCE AgEcon
Sherrick, Bruce J..
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural Finance.
Ano: 1998 URL: http://purl.umn.edu/33220
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Revenue Risk Reduction Impacts of Crop Insurance in a Multi-Crop Framework AgEcon
Woodard, Joshua D.; Sherrick, Bruce J.; Schnitkey, Gary D..
This study develops a multi-crop insurance model which is employed to evaluate crop insurance decisions when several crops are produced jointly. The results suggest that the diversification effects derived from producing multiple crops can substantially alter the risk reduction impacts of crop insurance versus if the decision is viewed from the perspective of a single crop. Further, the relatedness of crop production and price responses among crops differs considerably across insurance products and strategies. As a result, insurance strategies that might provide the maximum risk reduction for an individual crop do not necessarily carry over to the multi-crop case.
Tipo: Conference Paper or Presentation Palavras-chave: Multi-Peril Crop Insurance; Revenue risk; Crop yield distributions; Multi-crop; Insurance strategies; Hedging effectiveness; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53043
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Testing for Yield Persistency: Is It Skill or is It Luck? AgEcon
Urcola, Hernan A.; Schnitkey, Gary D.; Irwin, Scott H.; Sherrick, Bruce J..
This study uses corn yield data from McLean County, Illinois to test whether farmer skill influences yields. This analysis is conducted by performing persistency tests on unadjusted, soil productivity adjusted (PA), and productivity and input intensity adjusted (PIA) yields. Correlation analysis and winner/loser tables indicate that unadjusted, PA, and PIA yields exhibit persistency across time. PIA yields exhibiting persistency is consistent with farmer skill influencing yield. Hence, our results support the hypothesis that farmer skill influences yields.
Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries.
Ano: 2004 URL: http://purl.umn.edu/19991
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THE ACCURACY OF PRODUCERS' PROBABILITY BELIEFS: EVIDENCE AND IMPLICATIONS FOR INSURANCE VALUATION AgEcon
Sherrick, Bruce J..
The accuracy of producers' subjective probability beliefs is examined through a survey of large cash-grain farmers in Illinois. Findings reveal that their subjective probability beliefs about important weather variables are systematically mis-calibrated. The nature and extent of differences between subjective probability beliefs and probabilities based on long-term historic weather data are shown empirically, and through fitted calibration functions. The economic significance of inaccurate subjective probability beliefs is established in the context of insurance valuation. The results demonstrate that significant errors in producers' risk assessments and insurance valuation arise as a consequence of producers’' systematically inaccurate probability...
Tipo: Journal Article Palavras-chave: Risk and Uncertainty.
Ano: 2002 URL: http://purl.umn.edu/31076
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THE EFFECTS OF RISK ON FARMLAND VALUES AND RETURNS AgEcon
Katchova, Ani L.; Sherrick, Bruce J.; Barry, Peter J..
The effect of risk on farmland values and returns is analyzed using a capitalization model. County-level models are estimated using spatial econometric techniques. Our results show that riskier regions and growing conditions have both lower land values and higher risk-adjusted rates of return to farmland.
Tipo: Conference Paper or Presentation Palavras-chave: Land Economics/Use; Risk and Uncertainty.
Ano: 2002 URL: http://purl.umn.edu/19660
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