The Dynamic Risk Measurement Of "Insurance + Future" Portfolio Under Delta Interval Hedging Strategy

The "insurance+futures" mechanism started in 2015.It has been referred in document of the Central Committee for 8 years continuously which has been strongly supported by the Central Committee.The "insurance+futures" mechanism is apparently agricultural insurance,but the essence is price options.Therefore,risk hedging strategies and effects are fundamental.It determines the success of "insurance+futures" mechanism.In our country,the most widely used product is Turnbull-Wakeman option,a forward-starting arithmetic average Asian option.Due to the lack of academic research on this type of option hedging theory.The industry mainly adopts Black-scholes option pricing model and uses Delta-neutral hedging strategy to reinsure.Such models may result in inadequate risk hedging and large exposures.The frequent hedging under the Delta-neutral hedging strategy will increase operational difficulties and hedging costs.This shortcoming will become more prominent as the "insurance+futures" mechanism expands.A more reliable Turnbull-Wakeman option risk hedging strategy and dynamic exposure measurement model are urgently needed to more fully hedge risks and test the hedging effects.Therefore,based on Turnbull-Wakeman option,we establish a dynamic risk exposure measurement model of "insurance+futures" mechanism hedging portfolio under the Delta bandwidth hedging strategy.We study the dynamic hedging effect of "insurance+futures".First,we give 6 sensitivity parameter analytical formulas of Turnbull-Wakeman option considering the underlying asset price,volatility and time factors.They are Δ,Γ,v,θ,Vanna and Vomma for call and put option.It is the complement of sensitivity parameters of Turnbull-Wakeman option.Second,we derive Ft-σA-t second-order mixed approximation method to construct the measurement model of hedging exposure.By adding second-order mixed sensitivity parameters,we improve the existing Delta-gamma approximation method.The new risk measurement model of "insurance+futures" hedging portfolio is more accurate.This model solves the problem of how to improve the accuracy of risk measurement of"insurance+futures" portfolio.The third is to construct the dynamic measurement model of"insurance+futures" hedging portfolio risk exposure under the different hedging strategy.We extend it with Delta fixed bandwidth hedging strategy and Whalley-Wilmott bandwidth hedging strategy.It further enhances the applicability of the model.In this thesis,the applicability and reliability of the model are tested by the cases.We selecte 3 corn "insurance+futures" projects with rising,fluctuating and declining price trends.Their dynamic risk exposure was measured by our model.The results show our risk exposure measurement model in this study is more accurate than the traditional Delta-gamma approximation method.It can measure the dynamic changes of portfolio risk exposure accurately.It is suitable for the "insurance+futures" project with different futures price trends.The model not only further deepens risk management theory of forward-starting arithmetic average Asian option,but also provides a basis for the large-scale promotion of"insurance+futures" mechanism to measure the risk effect.It is beneficial to select a more reliable risk hedging strategy.