Modeling Multivariate Time Series with Copulas: Implications for Pricing Revenue Insurance

• Autor(a) principal: Duarte, Gislaine Vieira
• Data de Publicação: 2023
• Outros Autores: Augusto Ozaki, Vitor
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista Brasileira de Economia (Online)
• Texto Completo: https://periodicos.fgv.br/rbe/article/view/85496
• topic: Three-dimensional Parametric Copulas; Agricultural Risk Management; Revenue Insurance.; Artigo derivado de tese de doutorado

Much of the soybean produced in Brazil is exported and, consequently, the domestic soybean price (R$) is greatly influenced by the price traded at the Chicago Mercantile Exchange Group (CME Group) (US$). Therefore, to model the dependency structure between soybean yield and price,the exchange rate must be incorporated into the modeling. This studyaims to model the dependency structure between these three variables using the Copula methodology, calculate the crop revenue insurance rates,and compare with the rates offered in the insurance market. The rates  applied by the Brazilian insurance market are overpriced when compared to the methodology presented in this study with the incorporation of thedollar rate in the modeling, which could increase the problem of adverse selection exchange and hamper massification of agricultural insurance in the Brazilian territory.