Research On Product Design And Pricing Of "Revenue Insurance+Futures" In China

China began to gradually cancel the temporary collection and storage policy for crops in 2014,and implemented the separation of price and compensation and market pricing.This has forced farmers and other production and operation entities that used to rely on the national collection and storage system to achieve income stability to face the risk of market price fluctuations,and their income stability is no longer guaranteed.In this context,the "insurance+futures" model emerged at the historic moment,playing a role in hedging the risk of agricultural product price fluctuations,stabilizing the income of agricultural producers,improving the enthusiasm of farmers in agricultural production and the enthusiasm of insurance companies to underwrite.At present,the products of the "insurance+futures" model in China are mainly price index insurance,and the research and pilot of the "revenue insurance+futures" model are few.However,natural risk and market risk coexist in agricultural production.Price insurance only considers the risk of price fluctuation alone,and cannot completely resist the risk of farmers’ income reduction,and cannot provide protection for farmers’ most concerned income;The agricultural income insurance takes into account the correlation between output and price,which can resist both risks and directly guarantee the income of farmers.Therefore,it is urgent to develop and promote the "revenue insurance+futures" model.In view of the above background,this paper mainly studies the product design and pricing under the "revenue insurance+futures" model in China.First of all,we will sort out the advanced experience of developing crop income insurance abroad and making full use of the price discovery function and hedging function of futures market to promote the maturity and perfection of income insurance.Taking the current pilot operation of the "revenue insurance+futures" model of maize in Huachuan County,Heilongjiang Province,as an example,this paper summarizes the problems of "revenue insurance+futures" in China.Then the income insurance scheme(RP-HPO)with price option in harvest period is designed based on the common factor model to adjust the target price,and the insurance rate is determined.In the pricing stage,firstly,the price discovery function of the futures market is studied based on the vector error correction model,and the contribution ratio of the futures market and the spot market in the process of the formation of the actual price of corn is calculated respectively,and the target price is determined accordingly.Then we study the correlation between the spot price and the yield of corn.After determining the marginal distribution of the spot price and the yield of corn,we use five Copula connection functions to connect the two and select the optimal Copula function according to the minimum square Euclidean distance.Finally,using Monte Carlo simulation of income,the rates of RP-HPO insurance scheme and RP-HPE insurance scheme are determined respectively after the common factor model adjusts the target price and only uses the average spot price over the years as the target price;By comparing the premium rates and exploring the principles,the paper demonstrates the feasibility and necessity of developing the "revenue insurance+futures" model of corn,the feasibility of promoting the income insurance with the price option in the harvest period,and the applicability of the common factor model to adjust the target price in the income insurance.The main findings and values of this paper are as follows: there is a long-term cointegration relationship between the spot price and the futures price of corn,and China’s corn futures market plays a major role in the formation of corn price,so the futures market price can be used as the main reference for income insurance to determine the target price;The common factor model is introduced into the determination of the target price of the income insurance scheme to reduce the basis risk brought to farmers by using futures or spot as the basis alone;The income insurance with the price option in the harvest period can provide farmers with an additional right to enjoy the benefits of the rising market price without significantly increasing the premium,and has the promotion value.In view of the development of the "revenue insurance+futures" model in China,this paper proposes that the relevant government departments should collect detailed output and price data of units at and below the county level,that insurance companies should cultivate professional agricultural insurance pricing personnel who master the principles of financial risk hedging and futures options,and that other financial institutions should grasp the development opportunities of the "revenue insurance+futures" model to innovate business and improve profits.