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Techniques for Multivariate Simulation from Mixed Marginal Distributions with Application to Whole-Farm Revenue Simulation

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Author Info

  • Anderson, John D.
  • Harri, Ardian
  • Coble, Keith H.

Abstract

Alternative techniques for representing dependencies among variables in multivariate simulation are discussed and compared in the context of rating a whole-farm insurance product. A procedure by lman and Conover (IC) that is common in actuarial applications is compared to a new technique detailed by Phoon, Quek, and Huang (PQHl. Results suggest that rates derived from the IC procedure may be inaccurate because the procedure produces biased estimates of correlation between simulated variables. This situation is improved with the PQH procedure.

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File URL: http://purl.umn.edu/50076
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Bibliographic Info

Article provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.

Volume (Year): 34 (2009)
Issue (Month): 1 (April)
Pages:

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Handle: RePEc:ags:jlaare:50076

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Web page: http://waeaonline.org/
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Related research

Keywords: correlation; crop insurance; multivariate simulation; whole-farm revenue; Agricultural Finance; Risk and Uncertainty;

References

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  1. Zhang, Rui (Carolyn) & Houston, Jack E. & Vedenov, Dmitry V. & Barnett, Barry J., 2007. "Hedging Downside Risk to Farm Income with Futures and Options: Effects of Government Payment Programs and Federal Crop Insurance Plans," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9911, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  2. Hennessy, David A. & Babcock, Bruce A. & Hayes, Dermot J., 1997. "Budgetary and Producer Welfare Effects of Revenue Insurance," Staff General Research Papers 1100, Iowa State University, Department of Economics.
  3. Chad E. Hart & Dermot J. Hayes & Bruce A. Babcock, 2006. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 54(1), pages 121-137, 03.
  4. Paulson, Nicholas D. & Babcock, Bruce A., 2007. "The Effects of Uncertainty and Contract Structure in Specialty Grain Markets," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9856, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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Cited by:
  1. Davis, Todd D. & Anderson, John D. & Young, Robert E., 2013. "Evaluating the Interaction between Farm Programs with Crop Insurance and Producers' Risk Preferences," 2013 AAEA: Crop Insurance and the Farm Bill Symposium, October 8-9, Louisville, KY 156753, Agricultural and Applied Economics Association.
  2. Adhikari, Shyam & Knight, Thomas O. & Belasco, Eric J., 2013. "Yield Guarantees and the Producer Welfare Benefits of Crop Insurance," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 38(1), April.
  3. Wang, Yang & Barnett, Barry J. & Coble, Keith H. & Harri, Ardian, 2012. "Yield Aggregation Impacts on a “Deep Loss” Systemic Risk Protection Program," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124875, Agricultural and Applied Economics Association.
  4. Coble, Keith H. & Barnett, Barry J. & Riley, John Michael, 2013. "Challenging Belief in the Law of Small Numbers," 2013 AAEA: Crop Insurance and the Farm Bill Symposium, October 8-9, Louisville, KY 156958, Agricultural and Applied Economics Association.
  5. Anderson, John D. & Barnett, Barry J. & Coble, Keith H., 2009. "Impacts of the SURE Standing Disaster Assistance Program on Producer Risk Management and Crop Insurance Programs," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49304, Agricultural and Applied Economics Association.

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