Research On The Pricing Of Price Insurance Under The "Insurance+futures" Model

Since 2016,when the "insurance + futures" model was first proposed in the Central Government’s No.1 document,the government has always attached great importance to its development.In recent years,the "insurance+futures" model has gradually taken shape,combining the two instruments in the financial market to complement each other’s strengths.This thesis takes natural rubber as the research object,firstly,by clarifying the operation mechanism of price insurance under the "insurance + futures" model,analyzing the pricing essence of it,and then analyzing some problems in pricing under the existing model with actual cases.Using the problem-oriented approach as a starting point,we propose an optimisation design,reformulate the pricing strategy and ultimately verify whether the optimisation is effective.Before pricing rubber futures insurance,it is necessary to first verify the appropriateness of using futures prices as the basis for setting target prices,so an empirical analysis of the efficiency of the natural rubber market is first conducted.The validation was based on a time series of spot and futures prices of natural rubber in 2021.The smoothness of the VAR model is estimated through unit root tests,co-integration tests and Granger causality tests,followed by impulse response analysis.The function shows that although there is a lag in the reflection of the spot price to the movement of the futures price,the trend is generally the same,and the result shows that it is scientifically reasonable to use it as the target price for rubber futures insurance.In this thesis,the option pricing idea is used to calculate the premium for rubber futures price insurance.A Monte Carlo simulation is used to price the rubber futures price insurance under the "insurance + futures" model and the premium determination results are analysed.Based on a comparison of the pre-optimised and post-optimised premiums and ’reinsurance premiums’,it is found that the proposed pricing strategy achieves optimal pricing results: firstly,rubber farmers achieve full price protection.Secondly,the profitability of the insurance company is extended.The previous image of the "middleman" has been transformed,and the insurance company has been able to play a real role.Finally,based on the findings of the study,we propose to scientifically improve the details of insurance pricing,provide relevant institutional support,improve the futures option market and increase the enthusiasm of rubber farmers to take out insurance,so as to continuously improve the pricing of futures price insurance under the "insurance+ futures" model and provide income protection for more agricultural operators.