基于“保险+期货”模式的糖料蔗价格保险定价研究  

A Study of Pricing of Sugarcane Price Insurance Under the“Insurance+Futures”Model

作　　者：李荷雨 陶建平[1] 何琳[2] LI Heyu;TAO Jianping;HE Lin

机构地区：[1]华中农业大学经济管理学院,湖北武汉430070 [2]仲恺农业工程学院管理学院,广东广州510225

出　　处：《华中农业大学学报（社会科学版）》2023年第6期96-106,共11页Journal of Huazhong Agricultural University(Social Sciences Edition)

基　　金：国家自然科学基金面上项目“基于保险主体效用与互动博弈的最优农业保险契约形成机制研究”(71173086);广东省社科联“仲恺农业工程学院粤港澳大湾区农村金融与农业投资研究中心”项目(粤社科联函[2022]5号)。

摘　　要：以地方特色农产品糖料蔗为例,基于2006-2022年我国白糖期货和现货价格日度数据,以及广西百色市右江区糖料蔗“保险+期货”试点项目实际数据,通过采用亚式期权定价模型和Monte Carlo模拟方法,对基于白糖期货合约的价格保险费率进行数值模拟,并完善“保险+期货”模式的价格保险定价机制。研究显示,随着我国白糖期货的功能逐步发挥,其定价体系已从现货市场转为期货市场为主导,为“保险+期货”模式提供关键的定价基准。在“保险+期货”模式下,白糖现货价格的波动性小于期货价格的波动性,导致基于现货价格设定的保险费率相对较低,农户承担的基差风险显著降低。再保险费率低于价格指数保险费率,保险公司作为风险承保主体,在风险管理中发挥更主动的作用,而不是仅作为“中介”。在不同的保障水平下,价格指数保险纯保费存在较大差异。因此,保险公司应进一步提高“保险+期货”模式价格保险定价的精确度,推动“保险+期货”产品的多样化和差异化,并构建“保险+期货+N”的地方特色农业风险管理服务体系。Taking local specialty agricultural product sugarcane as an example and utilizing daily data of China’s sugar futures and spot prices from 2006 to 2022 and actual data from the“Insurance+Futures”pilot project of sugarcane in Youjiang District,Baise City,Guangxi Zhuang Autonomous Region,this study applies Asian option pricing models and Monte Carlo simulations to numerically assess insurance premium rates associated with sugar futures contracts,which optimizes the pricing strategy of the“Insurance+Futures”model.The research shows that as China’s sugar futures gain momentum,the pricing system has shifted from the spot market to the futures market as the dominant factor,cementing its importance in the“Insurance+Futures”model.In this framework,spot sugar prices demonstrate reduced volatility compared to futures,resulting in comparatively lower insurance premiums based on spot prices,thereby considerably diminishing the basis risk borne by farmers.The reinsurance premium is lower than the price index insurance rate,allowing insurance companies to play a more proactive role in risk mitigation instead of just being“intermediaries”.Marked variations are observed in the pure premium of price index insurance across different coverage tiers,which underlines the need for insurance firms to improve the precision of price insurance within the“Insurance+Futures”model,promote the diversification and differentiation of“insurance+futures”products,and build a local agricultural risk management framework that integrates“Insurance+Futures+N”.

关 键 词：“保险+期货”模式 价格保险 定价 糖料蔗 

分 类 号：F842.66[经济管理—保险] F323.7