“保险+期货”模式价格保险定价研究——以玉米为例

›› 2020, Vol. 32 ›› Issue (4): 35-47.

“保险+期货”模式价格保险定价研究——以玉米为例

余方平¹, 刘宇², 王玉刚³, 尹航⁴

1. 大连海事大学航运经济与管理学院, 大连 116026;
2. 中国银行保险监督管理委员会财会部(偿付能力部), 北京 100033;
3. 大连商品交易所上海发展与服务总部, 上海 200127;
4. 中国人民银行大连市中心支行, 大连 116001

收稿日期:2019-05-23 出版日期:2020-04-28 发布日期:2020-05-07
通讯作者: 余方平(通讯作者),大连海事大学航运经济与管理学院讲师,博士
作者简介:刘宇,中国银行保险监督管理委员会财会部(偿付能力部)副处长;王玉刚,大连商品交易所上海发展与服务总部副总监,高级经济师,博士研究生;尹航,中国人民银行大连市中心支行,博士。
基金资助:
国家自然科学基金重点项目（71831002）；国家自然科学基金项目（71672016）；长江学者和创新团队发展计划资助项目（IRT_17R13）；中央高校基本科研业务费专项资金（3132019501；3132019502）；中国博士后科学基金项目（2019M651101）；2019年度辽宁省自然科学基金计划指导计划项目（2019-ZD-0153）。

Pricing of “Insurance + Futures” Mode Price Insurance: A Case Study of Corn

Yu Fangping¹, Liu Yu², Wang Yugang³, Yin Hang⁴

1. School of Maritime Economics and Management, Dalian Maritime University, Dalian 116026;
2. FinancialAccounting Department(Solvency Department), China Banking and Insurance Regulatory Commission, Beijing 100033;
3. Shanghai Development and Service Headquarters, Dalian Commodity Exchange, Shanghai 200127;
4. Dalian Central Sub-branch, the People's Bank of China, Dalian 116001

Received:2019-05-23 Online:2020-04-28 Published:2020-05-07

摘要/Abstract

摘要：

“保险+期货”模式是当前农业保险转型升级的重大利器，对于我国农业供给侧结构性改革具有重大意义。为此，本文对“保险+期货”模式核心问题——价格保险定价展开研究。首先，实地调研了受农户欢迎的欧亚、美式、美亚、蝶式和障碍等期权类型的6种价格保险，结合我国农产品期货特征和“保险+期货”模式试点经验，解析了价格保险设计原则、定价思路和适用性，丰富了我国“保险+期货”模式价格保险产品谱系和定价理论。其次，借助含季节性和均值回归特征的随机方程（SMRS）拟合农产品期货价格，构建了基于延期式场外复制期货期权的“保险+期货”模式6种价格保险定价模型，并给出了最大似然法求解拟合参数、对偶变量蒙特卡罗法模拟厘定单位保费的步骤，解决了期货价格拟合和保险定价方法契合不够的问题。最后，对玉米“保险+期货”模式价格保险案例进行了分析，计算得出“保险+期货”模式6种价格保险单位保费，并对比不同的目标价格和波动率情形下的单位保费差异，结果表明：目标价格接近保险合同签订时点期货价格、定价波动率偏保守的欧亚期权保险和美亚期权保险的性价比高、更适合农户。

关键词: &ldquo, 保险+期货&rdquo, 模式, 价格保险, 定价, 延期式场外复制期货期权, 玉米

Abstract:

"Insurance + futures" mode is a major tool for the transformation and upgrading of agricultural insurance, which is of great significance for the supply-side structural reform of agriculture in China. Therefore, this paper studies the core problem of "insurance + futures" mode-price insurance pricing. Firstly, we investigate the option-based price insurance in Eurasian, America, American-Asian, Butterfly and Barrier, which is popular among farmers. Based on the characteristics of agricultural futures and the pilot experience of "insurance + futures" mode in China, we analyses the design principles, pricing ideas and applicability of price insurance, and enriches the pricing theory and product spectrum of "insurance + futures" mode in China. Secondly, the agricultural futures price is fitted by means of stochastic equation with seasonal and mean reversion characteristics (SMRS). Based on this, six OTC replication forward-starting futures options price insurance pricing models of the corresponding "insurance + futures" mode are constructed. The steps of calculating fitting parameters by maximum likelihood method and pricing unit premium by dual variable Monte Carlo method are clarified, which effectively solves the disadvantage of price fitting of agricultural futures and insurance pricing methods combining inadequacy. Finally, a case study on the corn price insurance of "insurance + futures" mode is carried out. Six insurance unit premiums of "insurance + futures" model are calculated, and the differences of unit premiums under different target prices and volatility are compared. The results show that the Eurasian option insurance and American Asian option insurance, whose target price is close to the futures price when the insurance contract is signed and pricing volatility is conservative, are more cost-effective and suitable for farmers.

Key words: “insurance + futures&rdquo, mode, price insurance, pricing, OTC replication forward-starting futures options, corn

余方平, 刘宇, 王玉刚, 尹航. “保险+期货”模式价格保险定价研究——以玉米为例[J]. , 2020, 32(4): 35-47.

Yu Fangping, Liu Yu, Wang Yugang, Yin Hang. Pricing of “Insurance + Futures” Mode Price Insurance: A Case Study of Corn[J]. , 2020, 32(4): 35-47.

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