Research On Insurance Pricing Of Hog Price Index Under "Insurance+Futures" Model

Pork is the main meat product for the daily consumption of the Chinese residents.670 million hogs will be produced in 2021 with a sales value in excess of 1.5 trillion yuan.However,in the last few years the market price of pork fluctuates widely.Large fluctuations in the price of pork increase uncertainty in the production and operation of farmers and livestock enterprises,which causes them to face greater reproductive risks and is not conducive to market health.The use of insurance products to reduce risk and protect farmers’ interests is an advantageous measure.With the development of our capital market,"insurance + futures" mode can further protect the interests of farmers and promote the development of agricultural insurance.In January 2021,live hogs were listed in Dalian Commodity Exchange,and "insurance +futures" projects of live hogs landed one after another.The pricing of the project is crucial.Based on the data of live hogs,this paper takes hog price index insurance under "insurance +futures" mode as the research object,and studies the pricing problem with the aid of option pricing theory.The empirical analysis firstly studies the fluctuation characteristics of the price of live hogs.It is found that the daily yield of live hogs has obvious fluctuation aggregation characteristics,and also proves that the daily rate of return of live hogs has self-exciting phenomenon.Monte Carlo simulation method based on Hawkes jump diffusion model was used to pricing.Hawkes jump diffusion model further improves insurance pricing stability and risk resistance ability.At the same time,The pricing results were compared with Merton jump diffusion model.The insurance pricing rate based on the former is lower,which is more favorable to farmers.The multi-file protection level also enables farmers to choose the appropriate protection level according to their situation.The paper concludes with specific suggestions from government,insurance companies and farmers: Strengthen policy support to incentivize insurance development;Improve risk management;Innovate insurance products to provide diversified choices;Strengthen financial knowledge.