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Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance /доклад на 10 конгрессе ЕААЕ, Exploring Diversity in the European Agri-Food System, Zaragoza, Spain, 28-31 August 2002

Опубликовано на портале: 30-11-2003
The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for two French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased.

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См. также:
Darrell J. Bosch, Wei Peng
Journal of Agricultural and Applied Economics. 2001.  Vol. 33. No. 1.
О.В. Богданова, Ю.А. Леметти
Экономические исследования. 2011.  № 5.