关键词: 保险+期货, 场外期权, 风险中性对冲, Monte Carlo 模拟

Abstract:

This paper innovatively studies the risk transfer and hedging methods in the “insurance plus futures” model from the perspective of the whole chain. Aimed at the “insurance plus futures” of hogs, this paper constructs the decision-making models between farmers and insurance companies, insurance companies and futures companies, and futures companies and external markets, and makes numerical analysis by adopting the Monte Carlo method. The research results show that under the risk-sharing mechanism proposed in this paper, farmers get positive returns, which indicates that the the “insurance plus futures” model can play a positive role in improving farmers’ returns. To minimize the risk measured by VaR (Value-at-Risk), the strike price of the put option purchased by insurance companies is greater than the insurance price. Under capital constraint, futures companies can achieve the goal of fully risk-neutral hedging by adopting an under-hedging strategy. In addition, futures companies can also get a certain amount of gain accordingly and make a reasonable profit. Government premium subsidies to farmers can increase farmers’ motivation to farm and reduce their financial pressure, thus increasing their profitability. The additional premium rate is an objective factor affecting the operational efficiency of the “insurance plus futures” model. It is recommended that insurance companies reduce premium rates appropriately or subsidize insurance premiums through external channels. By simulating different volatility, it is found that farmers are still motivated to breed even if the price of hogs increases, and the profit of each party is not affected by the increased price uncertainty. This further demonstrates the positive role of the “insurance plus futures” model in counteracting the price risk of agricultural products and protecting the interests of all parties.

Key words: insurance plus futures, over the counter options, risk neutral hedging, Monte Carlo simulation