Research On Agricultural Futures Price Insurance And Its Pricing Based On "Insurance+ Futures" Model

China is a big agricultural country.At present,maintaining the stability of agricultural product prices is of great significance to farmers.Agricultural product futures price insurance based on the “insurance + futures” model has become an important risk control measure.This article takes corn as an example to study agricultural product futures price insurance and its pricing.This paper starts from the price risk of agricultural products,expounds the connotation and operation mechanism of agricultural product futures price insurance,and analyzes the model of agricultural futures price insurance in China and its existing problems in combination with the pilot case of corn insurance and futures in Liaoning.Based on this,this paper improves the current "insurance + futures" model,in order to overcome the problems in the operation and improve the operation mode of China's agricultural product futures price insurance.The improved agricultural product futures price insurance in this paper consists of three parts:(1)price index insurance based on the spot market.In order to lock in the price of agricultural products,farmers purchase price index insurance.When the price of the agricultural product due to the insurance contract falls below the locked price,the insurance company pays the compensation,which is equivalent to the purchase of the put option by the farmer.(2)Reinsurance.Insurers are exposed to the risk of falling agricultural prices and can transfer risk by purchasing off-market put options from futures companies.(3)On-market futures.The futures company sells the corresponding number of futures contracts to the futures exchange for reverse copying off-exchange put options,and diversifies the risk taken by the insurance company into the futures market.Through the analysis of the nature of insurance products,it is found that agricultural price index insurance and off-market put options are arithmetic average European and Asian options.Calculating premiums is to calculate premiums.Therefore,this article uses the idea of option pricing to calculate insurance premiums.Before calculating the premium,this paper tests the validity of the agricultural product futures price discovery function,mainly to prove the rationality of the futures contract price of the corresponding month of the agricultural product as the insurance target price.This article takes corn futures price insurance as an example.Through unit root test,cointegration test,Granger causality test,etc.,it is found that corn futures market price and spot market price interact with each other,Granger causality,corn futures price and spot There is a two-way guiding relationship between prices;the estimated VAR model is also stable.The impulse response function indicates that the reflection of the spot price on the futures price is lagging behind,but the trend is basically the same.The corn futures price has a certain amount to the spot price.Influence.The empirical results of this part indicate that corn futures have the price discovery function,and the target price of corn futures price insurance is scientific and reasonable.Finally,this paper uses the idea of option pricing to price index insurance and offmarket put options.This paper sets the multi-level guarantee level and adopts Monte Carlo simulation for option pricing.The conclusions are as follows: First,the price index insurance based on the futures market insurance pure rate is less than the spot marketbased price index insurance pure rate,which is mainly based on The price index pure rate calculated by futures price does not take into account the basis risk and cannot completely avoid the risk of agricultural product price fluctuation.Second,unlike the 100% guarantee provided by the current model,this paper sets six different levels of protection,and the resulting insurance rates are significantly different.Insurance companies should set differentiated rates,and farmers can choose according to their own price risk and premium affordability.Third,the improved agricultural product futures price insurance can not only make the insurance company obtain profit opportunities,but also bear the risk of self-retaining and off-market put option hedging,no longer as a "middleman" role.Therefore,the insurance company adopts the futures price insurance model designed in this paper.Based on the research conclusions,this paper believes that to fully utilize the function of agricultural futures price insurance risk aversion,it is necessary for insurance companies to design insurance products that meet the actual operation and scientific premium determination methods.At the same time,the government also needs to provide insurance product design and premium calculation.Matching policy support.The insurance company should use the spot price of the agricultural product as the actual price to be settled.When designing the insurance product,the premium can be calculated by the idea of option pricing.At the same time,the multi-level guarantee level should be flexibly set for the farmers to choose.The government should improve the agricultural product price system,establish central financial premium subsidies,improve the futures market,and strengthen the coordinated supervision of financial markets.