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Optimum crop insurance under joint yield and price risk

Author

Listed:
  • Olivier Mahul

    (ESR - Unité de recherche d'Économie et Sociologie Rurales - INRA - Institut National de la Recherche Agronomique)

Abstract

Le contrat optimal contre un risque assurable en présence d'un second risque non assurable est examiné. Dans ce contexte de marchés incomplets, des indemnités sont versées lorsque l'indice assurable est inférieur ou supérieur à un seuil critique, selon que le revenu de l'assuré croît ou décroît avec cet indice. Ces résultats sont illustrés dans un contexte agricole où le risque de production est assurable alors que le risque de prix ne peut pas être couvert. Si le principe d'incertitude croissante est vérifié, la présence d'un risque de prix incite le producteur prudent à réduire le prix auquel les pertes sur récoltes sont indemnisées. L'effet du versement de subventions directes sur ce prix dépend du comportement de tempérance du producteur.

Suggested Citation

  • Olivier Mahul, 2000. "Optimum crop insurance under joint yield and price risk," Post-Print hal-01952116, HAL.
    • Handle: RePEc:hal:journl:hal-01952116
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    Citations

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    Cited by:

    1. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March.
    2. Anderson, Jock R., 2003. "Risk in rural development: challenges for managers and policy makers," Agricultural Systems, Elsevier, vol. 75(2-3), pages 161-197.
    3. Kapphan, Ines, 2011. "Weather insurance design with optimal hedging effectiveness," MPRA Paper 35861, University Library of Munich, Germany.
    4. Bharat Ramaswami & Terry L. Roe, 2002. "Aggregation in area yield insurance:The linear additive model," Discussion Papers 02-08, Indian Statistical Institute, Delhi.
    5. Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.
    6. Ramaswami, Bharat & Roe, Terry L., 2001. "Structural Models Of Area Yield Crop Insurance," 2001 Annual meeting, August 5-8, Chicago, IL 20638, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé, 2022. "Dynamic optimal hedge ratio design when price and production are stochastic with jump," Annals of Finance, Springer, vol. 18(3), pages 419-428, September.
    8. Zant, Wouter, 2008. "Hot Stuff: Index Insurance for Indian Smallholder Pepper Growers," World Development, Elsevier, vol. 36(9), pages 1585-1606, September.
    9. Mahul, Olivier, 2002. "Hedging Price Risk In The Presence Of Crop Yield And Revenue Insurance," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19070, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    10. Mahul, Olivier, 2002. "Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24881, European Association of Agricultural Economists.
    11. repec:dau:papers:123456789/698 is not listed on IDEAS
    12. Mahul, Olivier, 2003. "Hedging With Individual And Index-Based Contracts," 2003 Annual meeting, July 27-30, Montreal, Canada 22007, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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