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Pricing Crop Revenue Insurance using Parametric Copulas

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  • Duarte, Gislaine Vieira
  • Ozaki, Vitor Augusto

Abstract

Crop revenue insurance has been widely discussed recently. It has become an important mechanism for risk management of crop yield and prices. However, a more comprehensive study is needed to investigate the dependence structure between the variables analyzed to calculate the premium rate actuarially fair for revenue insurance.This study proposes alternatives to calculate premium rates for revenue insurance using parametric copula functions. These methods were applied to data on soybean yield in the municipalities of Toledo, Cascavel Castro, and Guarapuava in Parana State (Brazil) and provided by the Institute of Economic and Social Development of Parana (IPARDES). Nominal prices received by producersin Parana State were provided by the Secretariat of Agriculture and Supply of Parana (SEAB).

Suggested Citation

  • Duarte, Gislaine Vieira & Ozaki, Vitor Augusto, 2019. "Pricing Crop Revenue Insurance using Parametric Copulas," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 73(3), September.
    • Handle: RePEc:fgv:epgrbe:v:73:y:2019:i:3:a:75672
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    References listed on IDEAS

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    4. Octavio A. Ramirez & Sukant Misra & James Field, 2003. "Crop-Yield Distributions Revisited," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 85(1), pages 108-120.
    5. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
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