Pricing Crop Revenue Insurance Using Parametric Copulas

Detalhes bibliográficos
Autor(a) principal: Duarte,Gislaine Vieira
Data de Publicação: 2019
Outros Autores: Ozaki,Vitor Augusto
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402019000300325
Resumo: Abstract Crop revenue insurance has been widely discussed recently. It has become an important mechanism for risk; management of crop yielO anp prices. However, a more comprehensive study is needed to investigate the dependence stmcture between thu variables analyzed ro celculate the premium rate actearially fair for revenue insurance. Tleis study proposes alternatives ao calculate premium rates for revenue insurance using parametric copula functions. The results nuuunsts that the average commnndal rates calculated by the insurer aru undnrestimftnd when compared to tce copula model. The underesSimation om rates can lead to seriou losses to insurers, sinca segy consiher a lower risk than should be tamen into account.
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spelling Pricing Crop Revenue Insurance Using Parametric CopulasCrop risk managementOLLN distributionparametric copulasrevenue insuranceAbstract Crop revenue insurance has been widely discussed recently. It has become an important mechanism for risk; management of crop yielO anp prices. However, a more comprehensive study is needed to investigate the dependence stmcture between thu variables analyzed ro celculate the premium rate actearially fair for revenue insurance. Tleis study proposes alternatives ao calculate premium rates for revenue insurance using parametric copula functions. The results nuuunsts that the average commnndal rates calculated by the insurer aru undnrestimftnd when compared to tce copula model. The underesSimation om rates can lead to seriou losses to insurers, sinca segy consiher a lower risk than should be tamen into account.Fundação Getúlio Vargas2019-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402019000300325Revista Brasileira de Economia v.73 n.3 2019reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.5935/0034-7140.20190015info:eu-repo/semantics/openAccessDuarte,Gislaine VieiraOzaki,Vitor Augustoeng2019-11-22T00:00:00Zoai:scielo:S0034-71402019000300325Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2019-11-22T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false
dc.title.none.fl_str_mv Pricing Crop Revenue Insurance Using Parametric Copulas
title Pricing Crop Revenue Insurance Using Parametric Copulas
spellingShingle Pricing Crop Revenue Insurance Using Parametric Copulas
Duarte,Gislaine Vieira
Crop risk management
OLLN distribution
parametric copulas
revenue insurance
title_short Pricing Crop Revenue Insurance Using Parametric Copulas
title_full Pricing Crop Revenue Insurance Using Parametric Copulas
title_fullStr Pricing Crop Revenue Insurance Using Parametric Copulas
title_full_unstemmed Pricing Crop Revenue Insurance Using Parametric Copulas
title_sort Pricing Crop Revenue Insurance Using Parametric Copulas
author Duarte,Gislaine Vieira
author_facet Duarte,Gislaine Vieira
Ozaki,Vitor Augusto
author_role author
author2 Ozaki,Vitor Augusto
author2_role author
dc.contributor.author.fl_str_mv Duarte,Gislaine Vieira
Ozaki,Vitor Augusto
dc.subject.por.fl_str_mv Crop risk management
OLLN distribution
parametric copulas
revenue insurance
topic Crop risk management
OLLN distribution
parametric copulas
revenue insurance
description Abstract Crop revenue insurance has been widely discussed recently. It has become an important mechanism for risk; management of crop yielO anp prices. However, a more comprehensive study is needed to investigate the dependence stmcture between thu variables analyzed ro celculate the premium rate actearially fair for revenue insurance. Tleis study proposes alternatives ao calculate premium rates for revenue insurance using parametric copula functions. The results nuuunsts that the average commnndal rates calculated by the insurer aru undnrestimftnd when compared to tce copula model. The underesSimation om rates can lead to seriou losses to insurers, sinca segy consiher a lower risk than should be tamen into account.
publishDate 2019
dc.date.none.fl_str_mv 2019-09-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402019000300325
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402019000300325
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.5935/0034-7140.20190015
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Fundação Getúlio Vargas
publisher.none.fl_str_mv Fundação Getúlio Vargas
dc.source.none.fl_str_mv Revista Brasileira de Economia v.73 n.3 2019
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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