贸易摩擦背景下“保险+期货”模式的管理创新与推广应用——基于关联增强相对估值AERV模型  

"Insurance+Futures"Model:Management Innovation and Promotion Strategies in the Context of Trade Frictions-Based on the Associated Enhanced Relative Value(AERV)Model

作　　者：徐亮 文婧 吴高炅 夏韵涵 郭艳红[4] 邓华林 杨舒然 XU Liang;WEN Jing;WU Gao-jiong;XIA Yun-han;GUO Yan-hong;DENG Hua-lin;YANG Shu-ran(School of Business Administrion,Southwestern University of Finance and Economics,Chengdu,Sichuan,610065,China;SWUFE-UD Institute of Data Science at SWUFE,Southwestern University of Finance and Economics,Chengdu,Sichuan,610065,China;School of Management Science and Engineering,Southwestern University of Finance and Economics;DUT School Of Economics And Management,Dalian University Of Technology,Dalian,Liaoning,116024;School of Financial Management,Gingko College of Hospitality Management,Chengdu,Sichuan,610039,China)

机构地区：[1]西南财经大学工商管理学院,四川成都610065 [2]西南财经大学特拉华数据科学学院,四川成都610065 [3]西南财经大学管理科学与工程学院,四川成都610065 [4]大连理工大学经济管理学院,辽宁大连116024 [5]成都银杏酒店管理学院财务管理学院,四川成都610039

出　　处：《西华大学学报(哲学社会科学版)》2025年第3期37-49,共13页Journal of Xihua University(Philosophy & Social Sciences)

摘　　要：近年来,国际经贸环境不确定性加剧,中美贸易摩擦引发的农产品关税调整和大宗商品价格波动风险传导,进一步凸显了农业风险管理的紧迫性。文章提出了一种基于相关上市品种的隐含波动率预测模型,即关联增强相对估值AERV(Associated Enhanced Relative Value)模型。实证分析表明,该模型通过引入与目标品种相关的其他金融工具的数据,提升了对目标品种隐含波动率的预测精度,为期权定价和风险管理提供了更加可靠的支持。基于此模型,文章开发了一套自动化场外期权对冲系统,用于指导和执行Delta对冲操作,以实现期权市场中的风险分散和控制。此外,结合“保险+期货”模式,文章探讨了该模式在农业风险管理中的应用,展示了期货市场和农业保险的联动效果,尤其在稳定农民收入和减少价格波动带来的风险方面具有显著作用。In recent years,increasing uncertainty in the global economic and trade environment—driven in particular by agricultur-al tariff adjustments and bulk commodity price fluctuations resulting from Sino-U.S.trade frictions—has significantly amplified the need for more effective agricultural risk management strategies.This study proposes a new model for predicting implied volatility based on related listed commodities,termed the Associated Enhanced Relative Value(AERV)model.Empirical results show that by in-tegrating data from financial instruments correlated with the target commodity,the AERV model significantly improves the accuracy of implied volatility predictions.This provides more reliable support for option pricing and risk mitigation.Building on this model,we design an automated over-the-counter(OTC)options hedging system capable of guiding and executing Delta hedging operations,ef-fectively enhancing risk diversification and control in the options market.Additionally,this paper explores the integration of the“Insur-ance+Futures”model into agricultural risk management,highlighting the complementary roles of futures markets and agricultural in-surance.The findings indicate that the model plays a vital role in stabilizing farmers’incomes and mitigating risks associated with price volatility.

关 键 词：保险+期货 AERV模型 场外期权 Delta对冲 农业风险管理 金融创新 贸易摩擦 对等关税 

分 类 号：K825.34[历史地理—历史学] F713.35[经济管理—产业经济]