Insurance Pricing And Risk Hedging Of Agricultural Products Income Risk

The "insurance+futures" of agricultural products is a combined financial instrument which highly innovative.It can not only play the basic function of traditional agricultural policy insurance,but also play the risk dispersion function and risk management function of futures trading market to the spot market.Therefore,it is highly recognized and supported by the state and the government.From 2016 to 2022,the No.1 central document referred to"insurance+futures" for seven consecutive years.In 2022,the latest No.1 central document also put forward the "optimization of insurance+futures".It shows that the national policymaking department highly recognizes and supports the "insurance+futures".The "insurance+futures" of agricultural products is not only a tool of risk management,but also has more missions in the rural economic development and construction.Using the"insurance+futures" of agricultural products can effectively ensure the income of farmers and help the development of rural areas and agricultural industry.The exploration and Research on the "insurance+futures" of agricultural products is in line with the requirements of the economic development of the times,and has very important research value and practical significance.Because price insurance has certain limitations,the protection scope of income insurance is more comprehensive.After 2016,"insurance+futures" price insurance began to gradually transform into "insurance+futures" income insurance,and "insurance+futures" income insurance has become the main development direction of "insurance+futures" of agricultural products.More income insurance pilot projects of agricultural products are needed.The agricultural products income risk has become an important factor that seriously restricts agricultural development and farmers’ income.The agricultural products income risk can not be ignored in the development of "insurance+futures" of agricultural products.The insurance pricing and risk hedging of agricultural products income risk which reflect the professional risk management ability of financial institutions.Insurance pricing and risk hedging directly affect the implementation effect from"insurance+futures" of agricultural products.Therefore,this dissertation studies the insurance pricing and risk hedging of agricultural products income risk.In the risk management process of "insurance+futures" of agricultural products,agricultural products risk is transmitted along the chain of farmers or agricultural enterprises->insurance companies->futures companies->futures market.Therefore,this dissertation also follows this risk transmission process to study the insurance pricing and risk dispersion of agricultural products income risk.The main work of this dissertation is as follows:Firstly,this dissertation studies the formation mechanism of agricultural products income risk.This dissertation establishes the influencing factors analysis model of agricultural products price risk,the yield risk influencing factors analysis model of agricultural products and the regional correlation model between price and yield of agricultural products.The dissertation takes the corn data of Heilongjiang Province as an example to verify the effectiveness of the model.The empirical results show that there is a close negative correlation between corn futures price and corn yield,which affects each other and can form a hedge in risk.Secondly,this dissertation studies the insurance pricing of agricultural products income risk.In view of previous research,this dissertation constructs a copula function based on state transition to fit the distribution characteristics of income risk.Using the joint distribution characteristics of income risk,this dissertation calculates the net premium level and gross premium level of corn income insurance in Heilongjiang Province.This dissertation creatively puts forward an exponential income insurance scheme that predicted by macroeconomic variables.This dissertation estimates the income distribution,and determines the net premium,compared with the traditional income insurance premium rate.Finally,this dissertation studies the risk hedging of agricultural product income risk based on OTC options.This dissertation studies the risk hedging of agricultural product price risk,and designs corn yield index futures and option contracts.This dissertation creatively puts forward the delta-gamma neutral hedging strategy of corn option.The results show that considering hedging gamma risk can more effectively avoid the risk caused by the short-term rapid fluctuation of the underlying asset price.This dissertation designs a yield weighted China corn yield index,and puts forward the design scheme of corn yield index futures contract and corn yield index option contract.The development of China’s futures market is short,it is still in the primary stage,and there is still a long way for development in the future.The "insurance+futures" project of agricultural products is still in the pilot stage,which needs continuous exploration and improvement.In view of the current development status about "insurance+futures" of agricultural products,combined with the research conclusions of this dissertation,this dissertation puts forward relevant suggestions on optimizing "insurance+futures" products of agricultural products and accelerating the construction of OTC market of agricultural derivatives.The research of this dissertation can provide some valuable references for"insurance+futures" of agricultural products,as an innovative financial tool,on how to better serve the development and practice of agricultural economy.