A Derivative Security Approach to Setting Crop Revenue Coverage Insurance Premiums

Journal of Agricultural and Resource Economics

Volumn 25, Issue 1, 2000, Pages 159-176

  Stokes, Jeffrey R ^a  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

Asian option; CRC insurance; Derivative; Discrete arithmetic averaging; Monte Carlo

Indexed keywords

EID: 0034379825     PISSN: 10685502     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (18)

1. Barnaby, G. A., Jr. Worksheet for determining premiums. In "Crop Revenue Coverage Policy for Hard Red Winter Wheat, Soft Red Winter Wheat, and Hard Red Spring Wheat." Dept. of Agr. Econ, Kansas State University, Manhattan, 1996.
2. Boyle, P. "Options: A Monte Carlo Approach." J. Finan. Econ. 4(1977):323-38.
3. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay. The Econometrics of Financial Markets. Princeton NJ: Princeton University Press, 1997.
4. Center for Research in Security Prices (CRSP). Daily data on U.S. Treasury bills for 1996. CRSP, University of Chicago, Chicago IL, 1996.
5. Cox, J. C., and S. A. Ross. "The Valuation of Options for Alternative Stochastic Processes." J. Financ. Econ. 3(1976):146-66.
6. Dempster, M., and S. Pliska. Mathematics of Derivative Securities. New York: Cambridge University Press, 1997.
7. Federal Crop Insurance Corporation. "1997 Crop Year Statistics." In 1997 Summary of Business Report. FCIC/U.S. Department of Agriculture, Washington DC, 1998.
8. Gemmill, G. Options Pricing: An International Perspective. New York: McGraw-Hill Book Co., 1993.
9. Harwood, J., R. Heifner, K. Coble, J. Perry, and A. Somwaru. "Managing Risk in Farming: Concepts, Research, and Analysis." Agr. Econ. Rep. No. 774, USDA/Economic Research Service, Market and Trade Economics Div. and Resource Economics Div., 1999.
10. Knutson, R., J. Penn, and W. Boehm. Agricultural Food Policy. Englewood Cliffs NJ: Prentice-Hall, Inc., 1983.
11. Nowman, K. "Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates." J. Finance 52(1997):1695-1706.
12. Rasmusen, E. Games and Information: An Introduction to Game Theory. Cambridge MA: Basil Blackwell, Inc., 1989.
13. Rogers, L., and D. Talay. Numerical Methods in Finance. New York: Cambridge University Press, 1997.
14. Stokes, J., W. Nayda, and B. English. "The Pricing of Revenue Insurance." Amer. J. Agr. Econ. 79(May 1997):439-51.
15. Turvey, C. "Contingent Claim Pricing Models Implied by Agricultural Stabilization and Insurance Policies." Can. J. Agr. Econ. 40(1992a):183-98.
16. _. "An Economic Analysis of Alternative Farm Revenue Insurance Policies." Can. J. Agr. Econ. 40 (1992b):403-26.
17. Turvey, C., and V. Amanor-Boadu. "Evaluating Premiums for a Farm Income Insurance Policy." Can. J. Agr. Econ. 37(1989):233-47.
18. Wilmott, P., S. Howison, and J. Dewynne. The Mathematics of Financial Derivatives. New York: Cambridge University Press, 1995.