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Modeling the Tail Distribution and Ratemaking: An Application of Extreme Value Theory

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  • Hao, Jianqiang
  • Bathke, Arne
  • Skees, Jerry R.

Abstract

Economic analysis of weather risk often depends on accurate assessment of the probability (P) of tail quantiles (Q). Extreme value theory can provide a promising estimation of the tail part risk and this paper intends to apply the extreme value model to estimate the tail risk on India excess rainfall.

Suggested Citation

  • Hao, Jianqiang & Bathke, Arne & Skees, Jerry R., 2005. "Modeling the Tail Distribution and Ratemaking: An Application of Extreme Value Theory," 2005 Annual meeting, July 24-27, Providence, RI 19190, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea05:19190
    DOI: 10.22004/ag.econ.19190
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    References listed on IDEAS

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    1. Richard H. Day, 1965. "Probability Distributions of Field Crop Yields," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 47(3), pages 713-741.
    2. Jerry R. Skees & J. Roy Black & Barry J. Barnett, 1997. "Designing and Rating an Area Yield Crop Insurance Contract," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(2), pages 430-438.
    3. Podbury, Troy & Sheales, Terry & Hussain, Intizar & Fisher, Brian S., 1998. "Use of El Nino climate forecasts in Australia," 1998 Annual meeting, August 2-5, Salt Lake City, UT 269839, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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    11. Veeramani, Venkat N. & Maynard, Leigh J. & Skees, Jerry R., 2003. "Assessment Of The Risk Management Potential Of A Rainfall Based Insurance Index And Rainfall Options In Andhra Pradesh, India," 2003 Annual meeting, July 27-30, Montreal, Canada 22183, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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