农业天气风险管理及产品定价研究

摘要

为降低系统性风险的冲击，基于效用理论，构建了包括农户、保险人和债券投资者三方在内的一般模型，得出了相应的指数保险和天气债券的定价公式。采用绥化市样本数据，基于支持向量机预测方法，进行了产品的实例设计。结果表明，如果在债券市场上，投资者的风险厌恶水平低于农户或保险人时，则可将天气风险转移至资本市场，风险转换比取决于三方的风险厌恶水平。支持向量机预测模型的应用可以显著提高预测精度，有助于降低基差风险。%To diversify systemic risk , a general model that includes farmers , insurers and bond investors is built based on utility theory .The pricing formula of corresponding bond index insurance and weather bonds are obtained .The weather index insurance and weather bonds are designed with the sample of the Suihua city .And the Support Vector Machine is used for prediction method .Empirical results confirm that if the risk aversion levels of bond investors are lower than farmers or insurers ,weather risk can be transferred to the capital markets . T he risk conversion ratio depends on the three risk aversion level .SVM prediction model can significantly improve the prediction accuracy and reduce basis risk .