生猪利润保险产品设计与定价研究  

The Contract Design and Pricing of Margin Protection Insurance for Hog

作　　者：孙妍 Jing Yi 陈建成[3] SUN Yan;JING Yi;CHEN Jian-cheng

机构地区：[1]中央财经大学保险学院 [2]美国康奈尔大学Charles H.Dyson应用经济管理学院 [3]中央财经大学中国精算研究院

出　　处：《保险研究》2019年第10期19-34,共16页Insurance Studies

基　　金：教育部人文社会科学重点研究基地重大项目《基于多源数据融合的农业生产风险评估研究》(项目批准号:17JJD910002);高等学校学科创新引智111计划(项目批准号:B17050)

摘　　要：中国是世界上最大的猪肉生产和消费国家,生猪市场的价格稳定性对生猪养殖户、消费者和政府来说至关重要。近年来生猪价格的波动幅度加大,中国政府采取了一系列措施来调控生猪市场价格,其中就包括2013年5月以来由北京市政府开展试点的生猪价格指数保险(PI-Hog)。虽然PI-Hog保单设计具有承保标准和理赔相对简单的优势,但该保险也存在着对投保人的保障不足以及引发投保人的逆选择行为等缺点。因此本文提出生猪利润保险(MP-Hog)作为对PI-Hog进一步的改进,为生猪养殖户、保险公司和政府提供更为可行的生猪价格保障计划。本文首先对MP-Hog的保单进行了设计,然后通过Monte Carlo方法对MP-Hog进行精算公平定价,其中包括根据豆粕和玉米相应的期货价格,ARIMA模型所估计的代理生猪期货价格以及价格基差对生猪养殖的利润收入进行拟合,应用C-Vine Copula衡量豆粕、玉米和生猪价格之间的相关性并产生相应的随机变量。实证结果表明,与PI-Hog相比,MP-Hog能够对生猪养殖户进行更为有效的收入保障,并且在一定程度上消除投保人的逆选择行为。As China is the largest pork consumption and production country in the world,the price stability of the hog market is of paramount importance.With the volatility of hog prices got wider recently,the government has implemented a series of policies to regulate the hog market price,including the hog price index insurance(PI-Hog) program piloted by the Beijing government from May 2013.While the PI-Hog insurance design has the advantage of simplicity in underwriting selection and claims making,it suffers from a few shortcomings,including its deficiency in protection for and adverse selection of the policyholders.For improving on the PI-Hog program,this paper proposed a new insurance program known as the margin protection hog(MP-Hog) insurance.The proposed MP-Hog program provides a more viable hog insurance plan for hog producers,insurers and governments.The paper firstly designed the MP-Hog insurance plan,then applied the Monte Carlo method to derive its actuarial fair premium,taking into account corn and soybean meal futures prices.It calibrated the ARIMA model-derived proxy hog future prices and basis with profits of hog production,and used C-Vine Copula to measure the correlation among soybean meal,corn and hog prices and then generated random samples.The empirical evidences demonstrated that,in comparison with PI-Hog,MP-Hog program could provide more effective protection to hog raisers’ income and helped to eliminate adverse selection to some extent.

关 键 词：利润保险 精算公平定价 Monte CARLO模拟 C-Vine COPULA 

分 类 号：F840.66[经济管理—保险]