不同保障水平下鸡蛋“保险+期货”定价研究

Study on Egg "Insurance+Futures" Pricing Under Different Guarantee Levels

为保障养殖者收益,促进鸡蛋“保险+期货”发展,对传统鸡蛋“保险+期货”的定价方式进行改进,试验采用ADF检验、协整检验、格兰杰因果检验等方法验证鸡蛋期货市场有效性;采用Monte Carlo模拟法测算五档保障水平下的保险费率。结果显示:鸡蛋期货市场基本具备价格发现功能,但鸡蛋期货市场与现货市场存在基差风险;不同保障水平下的保险费率存在较大差异;定价机制优化后的保险费率相对较低。因此,应提供多重保障标准的保险合约,根据期货与现货价格充分测算基差风险,以提高对养殖者的保障水平。

In order to ensure the benefits of farmers and promote the development of"Insurance+Futures",the traditional egg"Insurance+Futures"pricing method was improved in this paper.ADF test,cointegration test and Granger causality test were used to verify the effectiveness of egg futures market;Monte Carlo simulation method was used to calculate the insurance premium rate under the five levels of guarantee level.The results showed that:The egg futures market had the function of price discovery,but there was base risk between egg futures market and spot market;The premium rate varied greatly under different protection levels;After the optimization of pricing mechanism,the premium rate was relatively lower.Therefore,insurance contracts with multiple levels of protection should be set up and base risk should be fully calculated according to futures and spot prices to improve the guarantee level for farmers.