鸡蛋期货价格保险设计以及农户最优投保选择——以湖北省为例

The Contract Design of Egg-Future-Price-Insurance and The Best Risk Management Strategy——Take Hubei Province as an example

鸡蛋价格波动已成为影响养殖户收入的主要因素,而鸡蛋期货价格保险可通过平抑价格风险保障农户收入。本文借鉴美国畜牧业收益保险的设计方案,以湖北省"典型养殖户"为例,首先从承保人角度对我国当前的鸡蛋期货保险合约做出以下改进:拓展目标价格的范围,以鸡蛋期货价格为标的,保险分三期结算,每期的投保产量可调整。利用鸡蛋期货期权(场外)的数据,提出了利用加权BS隐含波动率法预测鸡蛋期货波动率的范围,并使用蒙特卡洛模拟厘定该保险单位净保费和单位总保费范围的方法。之后,以2017年12月20日签订的保险合约为例,计算出了上述变量的值。其次,本文从投保人角度,根据其对保费的负担能力以及了解程度,设定了两种不同的投保目标,分别为追求保险绝对收益最大以及追求既定目标价格下保费支出最小化,并求解出不同目标下购买该保险的"最优投保选择"。经比较本文认为,在本例中,若湖北省典型蛋鸡养殖户对鸡蛋期货价格保险足够了解,最优的投保选择就是100%投保。但是,在其它情况下,蛋鸡养殖户需结合签订保险合约时的费率水平、目标价格以及其对保费支出的负担能力,选择合适的保险数量。本文的研究成果可为保险公司研发相关畜产品期货价格保险提供依据,并为投保人的风险管理策略提供参考。

The fluctuation of egg prices has become one of the major factors affecting the farmers ＇ income. And Egg-Future-Price-Insurance can restrain the price risk to guarantee farmer＇ s income. Drawing on experiences of the contract design of American Livestock Gross Margin Insurance （ LGM ） and taking a ＇ typical farmer＇ in Hubei Province as an example,this paper improved on the current Egg-Future-Insurance in three aspects： （1） widening the range of target prices, （2） using the price of the egg future as an insurance subject, （3） dividing the whole duration of insurance into three parts and allowing the policy-holders to adjust the amount of production insured in each part. Based on the contract design and the data of egg future options, this paper proposed to use the method of Weighted BS Implied Volatility Method to predict the range of volatility of egg future, and the Monte Carlo method to calculate the range of net premium and total premium per unit. By using the methods abovementioned, this paper calculated those variables taking the date of 2017.12.20 as when the insurance contract was signed. Besides, in line with the policyholder＇ s premium affordability and level of understanding, this paper also set two goals of pur- chasing insurance, namely maximization of absolute insurance benefit and minimization premium expenditure for target price, and calculated the best strategy for each goal. From these comparative analyses, the paper held that, for a typical hen farmer in Hubei province who had adequate understanding of Egg-Future-Price-Insurance, the best strategy was 100% insurance. But in other cases ,the hen farmer should take the premium rate ,target price and the premium affordability into consideration to decide the optimal insurance amount. The research result in this paper can offer a reference for insurance companies to develop livestock future price insurance and for policyholders to decide on the risk management strategy.