教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第132期讲座-肖宇谷(4月11日)

报告题目：Double Trigger Agricultural Insurance Products withWeather Index and Yield Index  

报告时间：2018年4月11日  上午11:00—12:00

报告人：

     肖宇谷副教授，中国人民大学统计学院，中科院数学与系统科学研究院博士。主要研究方向: 随机精算模型、风险管理。论文曾在《China Agricultural EconomicReview》、《ScandinavianActuarial Journal》、《Quantitative Finance》上发表。  

摘要：As amajor institutional innovation for small farmers to decrease the income shocksdue to crop yield losses, agricultural weather index insurance has beenintroduced in pilot or experimental form in many countries. However, theeffective demand for weather index insurance is often limited by the impact ofthe basis risk. In order to reduce the basis risk, we propose a new type ofdouble trigger product based on combinations of the weather index and thearea-yield index, named “supplement” type, where the yield index-basedindemnity is added to the weather index insurance as an enhancement. Throughthe simulation and empirical study, we compare the performance of three typesof double trigger products, including a “superposition” type, a “supplement”type, and a “rebate” type. Our results demonstrate that the new “supplement”type of double trigger product can significantly improve the performance of thestandalone weather index product, especially for reducing the downside basisrisk and the catastrophic basis risk.

报告地点：中央财经大学学术会堂南楼506（精算院会议室）

欢迎各位老师和同学积极参加！