Research On Agricultural Insurance Pricing And Risk Hedging Based On Seasonal Model Under "Insurance+ Options" Mode

Since 2016,the "insurance+futures" mode has been written into No.1 central document to reduce the losses suffered by farmers in the price fluctuation of agricultural products.Nowadays,the "insurance+futures" mode has developed rapidly and achieved good results,but there’s still room for further improvement on how to price fairly and hedge underwriting risk.Based on this,this paper introduces the "insurance+options" mode,which will optimize the futures price model and explore how insurance companies transfer underwriting risk in the exchange-traded option market,so as to provide suggestions for insurance companies to optimize agricultural product insurance risk management.Firstly,this paper establishes the seasonal model of cotton futures price to fit the seasonal fluctuation and non-seasonal fluctuation.Based on the monthly settlement price data of cotton dominant future from June 2004 to June 2019,this paper first analyzes the annual and monthly fluctuation characteristics of cotton price,and qualitatively explains the reasons for market fluctuation.On this basis,this paper successively establishes X12-ARIMA model and SARIMA model,and predicts the cotton futures price from July to December 2019.For X12-ARIMA model,the monthly price of cotton futures is decomposed by CensusX12 method.The ARIMA model is established,and the predicted price of ARIMA model multiplied by monthly seasonal index will be taken as the final predicted price.For SARIMA model,the first-order 12 step difference is used to stabilize the logarithm of futures price,and then the optimal model parameters are selected according to AC diagram,PAC diagram and AIC criterion.Through comparative analysis,the prediction accuracy of SARIMA model is higher than X12-ARIMA model on the whole.In order to further characterize the random volatility in cotton futures price,this paper uses MCMC method and Gibbs sampling method to estimate the random volatility model.Secondly,this paper uses the cotton futures and options price data to empirically simulate the "insurance+options" mode.When pricing insurance,this paper regards price insurance as Asian put option and price insurance with SARIMA model and random volatility model.Next,this paper analyzes and compares the risk hedging effectiveness of the simple put strategy and the inverse vertical ratio put spread strategy,and finds that the inverse vertical ratio put spread strategy can not only lock in the lowest price but also make the insurance company gains from the Exchange-traded option market.Finally,by analyzing the profits and losses of insured households and insurance companies in the project,the risk management effectiveness of"insurance+options" mode is verified.According to the above research,the "insurance+options" mode can help insurance companies better provide agricultural insurance services.Even if the current "insurance+options" mode can’t be carried out on a large scale in China and popularized to most agricultural products,this paper still has a certain reference significance for the development of agricultural insurance system in the future.