Research On Product Design And Pricing Of "Order+insurance+Futures"

Ensuring food security is a national strategy,the key to which is to improve farmers’ grain income and mobilize farmers’ enthusiasm.China began to pilot the "insurance + futures" model in 2016.The types and scale of agricultural products involved in the pilot are constantly enriched,but the difference between spot price and futures price still makes farmers face basis risk,and the characteristics of small scale and dispersion of farmers make it difficult to obtain stable grain sales channels.To solve these problems,the No.1 central document first proposed in 2018 the "order + insurance + futures" mode,and on the basis of traditional mode,the "order agriculture" was introduced,that is,farmers bought insurance transfer price risk from insurance companies,while the "basic order" sales contract was signed with the agricultural processing enterprises,locking the sales price and channels.Taking soybean meal varieties as an example,this paper plans to design "order + price insurance + futures" insurance products to improve the risk guarantee level of farmers and escort the "price" of national food security.This paper designs insurance products around the "order + insurance + futures" model.The research and design part includes contract design,pricing model and delta neutral hedging strategy.Product pricing is the focus of the research.(1)Contract design involves insurance contract,option contract and "basis order" sales contract,in which the target price and target basis are the key,which are determined according to historical data.(2)Pricing model,based on the historical volatility data of soybean meal futures,uses GARCH models to predict the volatility of futures contracts with insurance period,and compares the fitting effects of each model.Furthermore,the Monte Carlo technique under the dual variable method is used to simulate the price path of the underlying futures contract and determine the premium amount.(3)Delta neutral hedging strategy constructs a combination of futures and option positions,and adjusts the futures position according to the delta change value,so that the combination value is not affected.Based on the empirical results,this paper analyzes the cost-benefit situation of each participant(farmers,insurance companies,futures companies and agricultural product processing enterprises).Based on the empirical data,this paper analyzes the cost-benefit situation of each participant(farmers,insurance companies,futures companies and agricultural product processing enterprises).The results show that under the new mode of "order + insurance+ futures",each participant can make profits to a certain extent;Compared with the traditional "insurance + futures" model,the new model can disperse the basis risk and provide a stable channel for grain salesThe "order + insurance + futures" model can effectively solve the problems of farmers’ price risk,basis risk and unstable sales channels,and help insurance companies better provide agricultural insurance services.At present,this model is still in the pilot stage in China.The research and analysis of this paper may have a certain reference significance for the development of agricultural insurance system in the future.