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

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

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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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
Contact details of provider: Web page: http://waeaonline.org/

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  1. David A. Hennessy & Bruce A. Babcock & Dermot J. Hayes, 1995. "Budgetary and Resource Allocation Effects of Revenue Assurance," Center for Agricultural and Rural Development (CARD) Publications 95-wp130, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  2. 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).
  3. Hart, Chad E. & Hayes, Dermot J. & Babcock, Bruce A., 2003. "Insuring Eggs in Baskets: Should the Government Insure Individual Risks?," Staff General Research Papers 10669, Iowa State University, Department of Economics.
  4. 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).
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