基于Copula模型的棉花收入保险费率测算研究  

A Study on Estimation of Premium for Cotton Revenue Insurance based on Clayton Copula Function

作　　者：晁娜娜[1] 杨汭华[2] 罗少凡 

机构地区：[1]中国农业大学中国农村政策研究中心 [2]中国农业大学经济管理学院 [3]中银富登村镇银行总部产品部

出　　处：《统计研究》2017年第8期92-99,共8页Statistical Research

基　　金：国家自然科学基金项目"农业规模化经营进程中的农作物收入保险需求及应对机制研究"(71473252);农业部软科学项目"我国棉花收入保险制度研究"(201608-2)资助

摘　　要：推行棉花收入保险有助于维护我国棉花产业的稳定发展。本文以新疆棉花为研究对象,设定棉花期货市场为有效市场,采用棉花单产及11月棉花期货合约价格,测算了棉花单位面积产量风险及价格风险,运用Clayton Copula模型模拟了两变量的联合风险分布,测算了4种不同保障收入及其不同保障水平下的收入保险费率。研究发现:模拟的每亩棉花期望收入具有合理性,在棉花总成本75%的保障水平以下试行收入保险具有可行性,测算结果具有一定的实践指导价值。The cotton revenue insurance promoted in Xinjiang is helpful for the steady development of cotton industry in China. Focusing on the cotton in Xinjiang, this paper measures the cotton revenue premium rates under 4 scenarios with various secured incomes and revenue premium rates under these secured income by using the cotton yield and cotton futures prices in November contracts, estimating the production risks of unit cotton area and price risks, and simulating the joint risk distribution with these two variables in Clayton Copula function, with the assumption that the cotton futures market is effective. It shows that the simulated revenue is reasonable and at the level of 75% of the total cotton cost to be secured the revenue insurance to be applied is much practical. The measurement results achieved is quite applicable in reality.

关 键 词：新疆棉花 棉花期货价格 收入保险 COPULA函数 费率测算 

分 类 号：C812[社会学—统计学]