碩士 / 國立臺灣大學 / 財務金融學研究所 / 105 / We propose to design a weather index-based insurance(WIBI) for milkfish in Tainan, Taiwan and evaluate its risk-reducing potential by using yield and temperature data from 1985 to 2015. We find Heating Degree Days(HDD) as an appropriate proxy for the frost risk of milkfish. Thus, we use the temperature forecasting model from Campbell & Diebold to forecast one-year ahead HDD density. We comfirm that the model performs well on modeling seasonality of temperature and volatility in Tainan. Because of non normal yield distribution, we propose to use quantile regrssion on contract design and calculate strike level, payout and premium of WIBI. We also design 3 scenarios and consider premium subsidy, natural disaster relief fund, and premium loading into farmers’ wealth function and evaluate risk reduction by Second Stochastic Dominance Approach(SSD). On conditional that premium loading is added, we find that WIBI is effective only when government subsidizes. Furthermore, due to the variety of weahter risk factors, WIBI is less effective than natural disaster relief fund. In addition, we find that with WIBI and natural disaster relief fund combined, it provides more risk reduction for farmer, less fisical burden for government and more profit for insurance companies. Thus, we conclude that WIBI creates synergy for the players in the market.
| Identifer | oai:union.ndltd.org:TW/105NTU05304055 |
| Date | January 2017 |
| Creators | Yu-Ming Chang, 張育銘 |
| Contributors | 曾郁仁 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 38 |
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