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Registros recuperados: 13
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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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Basis Risk and Weather Hedging Effectiveness AgEcon
Woodard, Joshua D.; Garcia, Philip.
Basis risk has been cited as a primary concern for implementing weather hedges. This study investigates several dimensions of weather basis risk for the U.S. corn market at various levels of aggregation. The results suggest that while the degree of geographic basis risk may be significant in some instances, it should not preclude the use of geographic cross-hedging. In addition, the degree to which geographic basis risk impedes effective hedging diminishes as the level of spatial aggregation increases. In fact, geographic basis risk is actually negative in the case most representative of a reinsurance hedge, and the reduction in risk from employing straightforward temperature derivatives is significant. Finally, precipitation hedges are found to introduce...
Tipo: Conference Paper or Presentation Palavras-chave: Weather Derivatives; Basis Risk; Spatial Aggregation; Insurance; Hedging Effectiveness; Agricultural Finance; Marketing; Risk and Uncertainty.
Ano: 2007 URL: http://purl.umn.edu/9254
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Effect of Agricultural Activity on River Water Quality: A Case Study for the Lower Colorado River Basin AgEcon
Adusumilli, Naveen C.; Lacewell, Ronald D.; Rister, M. Edward; Woodard, Joshua D.; Sturdivant, Allen W..
This case study investigates the effect of a change in cropping pattern involving expanded acres of crops for biofuel feedstock, on the discharge of nutrients to rivers. Annual data from 1968-2008 on stream flow, cropped acres, and precipitation for Wharton County, Texas are used. A positive impact of increased corn acreage over this period on river discharge is identified.
Tipo: Conference Paper or Presentation Palavras-chave: Biofuels; Stream Flow; Discharge; Production Economics; Resource /Energy Economics and Policy.
Ano: 2010 URL: http://purl.umn.edu/98805
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Efficient Estimation of Copula Mixture Model: An Application to the Rating of Crop Revenue Insurance AgEcon
Ghosh, Somali; Woodard, Joshua D.; Vedenov, Dmitry V..
The association between prices and yields are of paramount importance to the crop insurance programs. Proper estimation of the association is highly desirable. Copulas are one such method to measure the dependence structure. Five single parametric copulas, a non- parametric copula and their fifteen different combinations taking a mixture of two different copulas at a time have been used in the crop insurance rating analysis. Using data of corn from 1973-2009 for 602 counties in the Mid-West area two different efficient methods have been proposed to generate the optimal mixtures using the cross validation approach. A resampling technique is used to check for the significance of the expected indemnities.
Tipo: Conference Paper or Presentation Palavras-chave: Copulas; Crop Insurance; Cross-Validation; Empirical distribution; GRIP; Indemnities; Out-Of-Sample Log-Likelihood; Agricultural Finance; Q14.
Ano: 2011 URL: http://purl.umn.edu/103738
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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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Impacts of Weather and Time Horizon Selection on Crop Insurance Ratemaking: A Conditional Distribution Approach AgEcon
Woodard, Joshua D..
An important issue in the agricultural actuarial literature is the extent to which sample period selection affects the accuracy of insurance rating. A conditional Weibull distribution approach is developed which explicitly models the interaction of weather, technology, and other variables on probabilistic yield outcomes to address this issue. Results from an application with an extensive producer-level yield dataset representing commercial-scale Illinois firms suggest that the impact of weather heterogeneity on risk estimation across reasonable samples is likely not as great as is often claimed. The results also suggest that yield risk is decreasing significantly through time, and indicate the presence of trend acceleration. A rating analysis indicates...
Tipo: Conference Paper or Presentation Palavras-chave: Conditional Weibull Distribution; Conditional Production Function; Catastrophic Risk Modeling; Sample Selection; Yield Risk; Crop Insurance; Ratemaking; Crop Production/Industries; Risk and Uncertainty.
Ano: 2011 URL: http://purl.umn.edu/103929
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Portfolio Diversification with Commodity Futures: Properties of Levered Futures AgEcon
Egelkraut, Thorsten M.; Woodard, Joshua D.; Garcia, Philip; Pennings, Joost M.E..
This study extends previous work on the impact of commodity futures on portfolio performance by explicitly incorporating levered futures into the portfolio optimization problem. Using data on nine individual commodity futures and one aggregate index from 1994-2003, we find that collateralized and levered futures strategies perform similarly in an ex-post context. Significant differences between the approaches emerge however when constraints on investment behavior exist. Further, levered futures do not result in a prohibitive number of margin calls. The investment performances of the collateralized and the levered strategies vary little across different rebalancing intervals, and frequent portfolio rebalancing does not necessarily result in superior...
Tipo: Conference Paper or Presentation Palavras-chave: Marketing.
Ano: 2005 URL: http://purl.umn.edu/19047
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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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Seawater Desalination for Municipal Water Production AgEcon
Leidner, Andrew J.; Lacewell, Ronald D.; Rister, M. Edward; Woodard, Joshua D.; Sturdivant, Allen W.; White, Jacob M..
This paper examines the optimal allocation of several inputs in the context of seawater desalination by reverse osmosis (RO) as a source of municipal (or commercial or industrial) water. A cost-minimization model is developed, a production function is estimated, and sensitivity analyses are conducted using the optimization model to investigate the effect of environmental conditions and economic factors on the optimal input portfolio and the cost of operating a modeled seawater desalination facility. The objectives of this paper are to better understand the effect on the seawater desalination facility’s costs and input portfolio from changes in water quality, membrane lifespan, daily operations schedule, and energy prices. Findings include that lower...
Tipo: Conference Paper or Presentation Palavras-chave: Water; Production; Seawater desalination; Resource /Energy Economics and Policy.
Ano: 2011 URL: http://purl.umn.edu/98827
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Spatial Aggregation and Weather Risk Management AgEcon
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 using straight forward temperature contracts that better weather hedging opportunities exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic (i.e. localized or region specific) risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using 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...
Tipo: Conference Paper or Presentation Palavras-chave: Weather derivatives; Spatial aggregation; Corn; Yield risk; Crop insurance; Hedging; Risk and Uncertainty.
Ano: 2007 URL: http://purl.umn.edu/9832
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Spatial Analysis of Illinois Agricultural Cash Rents AgEcon
Woodard, Shannon; Paulson, Nicholas D.; Baylis, Katherine R.; Woodard, Joshua D..
Tipo: Conference Paper or Presentation Palavras-chave: Agribusiness; Agricultural Finance.
Ano: 2010 URL: http://purl.umn.edu/61865
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The Causality of Foreign Direct Investment and Its Effects on Economic Growth: Re-estimated by a Directed Graph Approach AgEcon
Li, Yarui; Woodard, Joshua D.; Leatham, David J..
This paper uses the directed acyclic graph approach to analyze the causal patterns among foreign direct investment and other economic, social, and political variables, including GDP per capita as a proxy for economic growth. We find that economic growth causes FDI inflows for developing countries, while FDI induces economic growth for developed countries. Also, stock market is found to be an intermediary that amplifies the influence on FDI from many causal variables of FDI.
Tipo: Conference Paper or Presentation Palavras-chave: FDI; Economic growth; DAG; Financial Economics.
Ano: 2011 URL: http://purl.umn.edu/98791
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Weather Derivatives, Spatial Aggregation, and Systemic Risk: Implications for Reinsurance Hedging AgEcon
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
Registros recuperados: 13
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