基于CVaR的农业自然灾害保险机制研究  

Agricultural Natural Disaster Insurance Mechanism Designwith CVaR Risk Measurement Criterion

作　　者：林强[1] 刘煌 许俊鑫 林晓刚 周永务[2] LIN Qiang;LIU Huang;XU Junxin;LIN Xiaogang;ZHOU Yongwu(School of Management,Guangdong University of Technology,Guangzhou 510520,China;School of Business Administration,South China University of Technology,Guangzhou 510641,China)

机构地区：[1]广东工业大学管理学院,广东广州510520 [2]华南理工大学工商管理学院,广东广州510641

出　　处：《运筹与管理》2023年第4期169-176,共8页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71601053,72001048);广东省基础与应用基础研究基金(2019A1515011767,2019A1515110848);广东省哲学社会科学规划项目(GD19YGL12)。

摘　　要：农业自然灾害是影响我国众多小农户收入的重要因素,而农业保险是应对自然灾害的有效手段。本文运用条件风险估值(Conditional Value-at-Risk, CVaR)风险度量准则刻画农户的风险规避特性,构建风险规避农户和风险中性保险公司之间的Stackelberg博弈模型,对比分析了产量保险和气象指数保险机制下农户和保险公司的最优决策行为以及双方的险种选择。研究发现:(1)产量保险会抑制农户生产投入的努力水平,气象指数保险却能激励农户提升努力水平进而增加市场中农产品的供应量,但是气象指数保险下农户的效用并不一定优于产量保险。(2)农户的风险规避程度是影响其是否参保的关键因素——风险规避程度较高的农户才会选择投保农业自然灾害保险,而且随着农户风险规避程度的增加其最优险种选择将由产量保险转为气象指数保险。数值分析也进一步证实了上述结论。Agricultural natural disasters have become a key factor that influences the incomes of a tremendous number of small farmers.An effective lever,agricultural insurance,thus emerges to deal with the natural disasters.Insurance companies have successfully promoted and implemented such insurance types as output insurance and weather index insurance.Output insurance is one of the most common kinds of insurance in the market.The insured takes the output of the crops planted by the insured as the insured object and the insurer pays compensation according to the loss value of the actual output of the insured which is lower than the insured output,while weather index insurance is the innovation of agricultural insurance,which can meet the farmers’security demand and effectively protect the farmers’interests.This insurance refers to the insurance mechanism that takes weather index as the trigger condition.When the trigger condition is reached,the insurance company will pay insurance benefits to the insured according to the weather index regardless of whether the insured is affected by the disaster.The existing literature has not considered the use of agricultural insurance to transfer uncertain risks,and the literature of agricultural insurance has only considered the impact of single insurance mechanism.However,various kinds of agricultural insurance in practice bring farmers trouble in the choice.Therefore,from the perspective of farmers,considering how farmers with risk aversion transfer the natural disaster risk in the production process through agricultural insurance when weather conditions and effort level jointly affect output,this paper analyzes how farmers make insurance participation decisions and insurance choices,as well as the impact of different insurance mechanisms on farmers’production decisions.This paper employs the conditional value-at-risk(CVaR)risk measurement criterion to characterize farmers’risk aversion and builds a Stackelberg game model between risk aversion farmers and risk-neutral insura

关 键 词：产量保险 气象指数保险 参保决策 险种选择 CVAR 

分 类 号：F323[经济管理—产业经济]