CVaR准则下“公司+农户”模式的天气看跌期权契约  

Weather put option contract for“company&farmer”pattern under CVaR criterion

作　　者：伏红勇 但斌[2] 王磊 徐鹏 FU Hong-yong;DAN Bin;WANG Lei;XU Peng(Business School,Southwest University of Political Science and Law,Chongqing 401120,China;School of Economics and Business Administration,Chongqing University,Chongqing 400030,China)

机构地区：[1]西南政法大学商学院,重庆401120 [2]重庆大学经济与工商管理学院,重庆400030

出　　处：《管理科学学报》2020年第11期59-73,共15页Journal of Management Sciences in China

基　　金：国家社会科学基金重大资助项目(15ZDB169);国家自然科学基金资助项目(71501162);中国博士后科学基金资助项目(2015M580770);重庆市教委人文社会科学研究资助项目(19SKGH061);西南政法大学2019年校级科研资助项目(2019XZZD-10).

摘　　要：农业是对天气变化最为敏感的行业之一,不利天气影响农业生产并使“公司+农户”模式面临着低履约率的窘境.为此,以倒春寒的低温不利天气为例,建立了天气影响下由风险厌恶农户与风险中性公司组成的“公司+农户”型农产品供应链决策模型,并运用条件风险价值(CVaR)准则构建了农户的决策目标函数,进而提出了改进的保护价格契约.研究发现该契约可以克服农资投入水平的扭曲问题,但不能消除不利天气对公司与农户双方利润的不利影响.对此,基于改进保护价格契约设计了天气看跌期权契约.研究发现该契约能够实现供应链的完美协调,并且在该契约下不利天气的变化不会改变供应链的协调状态,这意味着公司购买天气看跌期权能够外化不利天气风险,从而保障公司与农户的稳定增收.Agriculture is one of the most weather-sensitive industries.Adverse weather affects agricultural productions,and compels the“company&farmer”pattern to face high default rates.To solve this issue,this paper considers an example of late spring coldness,and builds a decision model for a two-stage agricultural supply chain consisting of a risk-averse farmer and a risk-neutral company.By employing the CVaR criterion,a decision function is constructed for the risk-averse farmer.Further,an improved price protection contract is put forward based on adverse weather index.The results show that the improved price protection contract can solve the distortion in agricultural material input levels.However,it cannot eliminate the negative impacts of adverse weathers.Hence,a weather put option contract is developed based on the improved price protection contract.It is found that the weather put option contract can fully coordinate the supply chain,and the coordination will not be affected by the change of adverse weathers.In addition,the weather put option can help the company transfer the adverse weather risks,so that the relative stable revenues of both the company and the farmer are guaranteed.

关 键 词：农产品供应链 “公司+农户”模式 协调契约 天气期权 看跌期权 风险厌恶 

分 类 号：F224[经济管理—国民经济]