Pricing Crop Revenue Insurance using Parametric Copulas

Duarte, Gislaine Vieira; Ozaki, Vitor Augusto

doi:10.5935/0034-7140.20190015

Cited by 6 publications

(4 citation statements)

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“…In the field of actuarial science, copulas have started to obtain a preponderance at the end of the last century and the first decade of the current century, due to their benefits, in particular the high flexibility of modeling the joint distribution of a random n-tuple [7,8,14,15]. This statistical technique has been applied in several fields of investigation related to the payment of claims, pricing, active valorization and, with less relevance, stockpile computation, highlighting the opportunity to model the asymmetric dependence in the tails [11,19,20,46,47,51]. More recently, copulas have been applied in collective risk models and deductible price-fixing, furthermore, improvements in the computational efficiency and how to provide intuitive interpretations of the dependence structure have been investigated [13,39,48].…”

Section: Pricing With Statistical Copulasmentioning

confidence: 99%

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021

et al. 2023

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The Capitation Payment Unit (CPU) financing mechanism constitutes more than 70% of health spending in Colombia, with a budget allocation of close to 60 trillion Colombian pesos for the year 2022 (approximately 15.7 billion US dollars). This article estimates actuarially, using modern techniques, the CPU for the contributory regime of the General System of Social Security in Health in Colombia, and compares it with what is estimated by the Ministry of Health and Social Protection. Using freely available information systems, by means of statistical copulas functions and artificial neural networks, pure risk premiums are calculated between 2015 and 2021. The study concludes that the weights by risk category are systematically different, showing historical pure premiums surpluses in the group of 0–1 years and deficits (for the regions normal and cities) in the groups over 54 years of age.

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Section: Pricing With Statistical Copulasmentioning

confidence: 99%

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021

et al. 2023

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“…Nesse sentido, não se sabe ao certo o saldo líquido, em termos de faturamento, quando se observam apenas a produção ou os preços. Em outras palavras, uma elevada produção pode ser contrabalanceada por preços baixos, e vice-versa, reduzindo o ganho de faturamento pelo produtor (Duarte & Ozaki, 2019).…”

Section: Introductionunclassified

Efeito de alterações no preço de referência sobre as indenizações do Seguro Agrícola de Faturamento da soja no Brasil

Adami

Ozaki

Miquelluti

2022

Rev. Econ. Sociol. Rural

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Resumo: O seguro agrícola de faturamento possui vantagens e desvantagens frente ao seguro agrícola tradicional e, apesar de sua grande penetração no mercado norte-americano, no Brasil essa modalidade ainda é incipiente. Diante disso, o objetivo deste estudo foi avaliar o efeito de alterações no preço de referência (preço base) sobre as indenizações desses contratos para a cultura da soja, em municípios selecionados, no período de 2008 a 2018. Os resultados mostraram que há fraca associação entre as séries de preço e produtividade, pois o efeito estimado ficou próximo de zero, mas de caráter negativo em que preço e produção apresentam comportamento inversamente correlacionados. Além disso, a escolha do parâmetro de preços teve forte influência no valor da indenização, já que ao utilizar o preço de Paranaguá, os produtores receberiam um montante de indenização menor do que aquele a que teriam direito caso utilizassem o preço de referência da sua região. Em particular, para os estados do Mato Grosso e Mato Grosso do Sul, a diferença seria muito maior. Este fato pode ser um indício da baixa contratação do seguro de faturamento por esses produtores, que mesmo com a subvenção federal, têm apresentado demanda menor, comparativamente aos produtores da região Sul.

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“…Furthermore, several scholars simulate the occurrence probability of meteorological disasters based on Weibull function model. They establish a univariate nonlinear regression model between influencing factors and yield through the Copula function to design insurance products with different meteorological indices [16][17][18], such as high-temperature index [19], precipitation index, continuous cloudy and rainy index [20].…”

Section: Introductionmentioning

confidence: 99%

Research on the insurance of swimming crab temperature and salinity index insurance based on Copula function

Shi

Zhao

et al. 2022

PLoS ONE

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Under climate change, the sea surface temperature and salinity change greatly, which poses a considerable threat to sustainable food security. Sea surface temperature and salinity (SST/SSS) are selected to examine the annual output of swimming crab in 24 cities along the eastern China. The Copula-based function was used to construct the probability distribution model of the swimming crab yield with SST and SSS. The pure premium rate of the swimming crab production in these 24 cities are also examined. The results show that 1) There is significant positive correlations between the yield of swimming crab with temperature and salinity over the study area. The only exception is that the correlation between yield of swimming crab and salinity is not significant in the south of study area. 2) The span of the pure insurance premium rate of swimming crab in 24 cities increases rapidly with the increase of the protection level, the maximum span up to 2.04%, and the minimum span is only 1.6%. 3) The distribution of the swimming crab insurance premium rate is various in space. The insurance premium rate of 8 cities in the south of Taizhou is low with the highest premium rate at 5.6%. The insurance premium rate of 16 cities in north of Taizhou is relatively high with the rate between 6%-22%. The research can provide a theoretical basis for the pricing of insurance products for swimming crab in 24 cities in the typical aquaculture areas in eastern China.

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Pricing Crop Revenue Insurance using Parametric Copulas

Cited by 6 publications

References 0 publications

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021

Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021

Efeito de alterações no preço de referência sobre as indenizações do Seguro Agrícola de Faturamento da soja no Brasil

Research on the insurance of swimming crab temperature and salinity index insurance based on Copula function

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