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

摘要：

创新性地从全链条视角研究“保险+期货”模式中风险转移与对冲方法。针对生猪“保险+期货”，构建农户与保险公司、保险公司与期货公司、期货公司与外部市场之间的决策模型，并通过Monte Carlo方法进行数值分析。结果表明：在本文所构建的风险分担机制下，农户可以获得正收益。这说明，“保险+期货”模式在提高农户收益方面可以发挥积极作用。为实现VaR（Value-at-Risk）风险最小化目标，保险公司购买的看跌期权敲定价格应大于保险价格；在资金约束下，期货公司采取不足对冲策略能实现完全风险中性对冲目标，且还能获得一定的利润。政府对农户进行保费补贴可以提高农户的养殖积极性，减轻农户的资金压力，从而提高农户的收益。保险额外费率是影响“保险+期货”模式运营效率的一个客观因素，建议保险公司适当降低保费率或通过外部渠道对保险费进行适当补贴。通过模拟不同的波动性发现，即使生猪价格风险增大，农户仍然具有养殖积极性，且各方收益并不会因价格的不确定性增大而受到影响。这进一步体现了“保险+期货”模式在抵御农产品价格风险、保护各方利益方面具有积极作用。

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