Systemic Risk in U.S. Crop Reinsurance Programs
This study develops a method to estimate the probability density function of the Federal Risk Management Agency's (RMA's) net income from reinsuring crop insurance for corn, wheat, and soybeans. When calibrated using 1997 data, results from the advocated method show that in 1997 there was a 5% probability RMA would have had to reimburse at least $1 billion to insurance companies, and the fair value of RMA's insurance services to insurance firms in 1997 was $78.7 million. Key words: crop insurance, reinsurance, Risk Management Agency, systemic risk, value at risk
|Date of creation:||01 Apr 2003|
|Date of revision:|
|Publication status:||Published in Agricultural Finance Review, Spring 2003, vol. 63 no. 1, pp. 23-39|
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- Octavio A. Ram�rez, 1997. "Estimation and Use of a Multivariate Parametric Model for Simulating Heteroskedastic, Correlated, Nonnormal Random Variables: The Case of Corn Belt Corn, Soybean, and Wheat Yields," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 191-205.
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"Are Crop Yields Normally Distributed?,"
Staff General Research Papers
5064, Iowa State University, Department of Economics.
- Mario J. Miranda & Joseph W. Glauber, 1997. "Systemic Risk, Reinsurance, and the Failure of Crop Insurance Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(1), pages 206-215.
- Bruce A. Babcock & Joseph A. Herriges, 1994.
"Input Demand Under Yield and Revenue Insurance,"
Center for Agricultural and Rural Development (CARD) Publications
94-wp127, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-70, March.
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