“保险+期货”模式下保险公司期权持仓动态管理研究——以棉花为例

Research on Dynamic Management of Option Positions of Insurance Companies under“Insurance+Futures”Model:Taking Cotton as an Example

近年来“保险+期货”模式下保险公司出现收益有限、获利渠道单一、承保积极性不足等问题,在一定程度上阻碍了该模式的顺利开展。本文以棉花“保险+期货”为例,运用概率统计等研究方法测算棉花看跌期权价值并分析其与标的资产价格之间的关系,为保险公司提出适当的期权持仓策略。研究发现:距到期日越近,期权价值越容易发生损失,并且损失程度会逐渐扩大;将2019—2022年棉花期权价格数据代入本文提出的期权持仓策略并对保险公司收益进行评估,证明该策略具有一定的可行性。

In recent years,under the mode of“insurance+futures”,insurance companies have limited income,single profit channels and lack of underwriting enthusiasm,which have hindered the smooth development of the mode to a certain extent.Taking cotton“insurance+futures”as an example,the research methods such as probability statistics are used to calculate the value of options and analyze the relationship between the options and the underlying asset price,so as to put forward the appropriate option holding strategy for insurance companies.It is found that the closer to the maturity date,the more likely the option value is to lose,and the degree ofloss will gradually expand.When substituting the cotton option data from 2019-2022 into the option holding strategy proposed in this paper and assessing the earnings of the insurance company,it proves that the strategy is feasible.