《保险研究》20220706-《“保险+期货”模式能实现农产品市场风险管理闭环吗？》（徐媛媛、崔小年、王聪、张硕）

［摘   要］“保险+期货”作为创新型的农业风险管理模式，已连续七年被写入“中央一号文件”,经过多年发展，逐渐形成了覆盖多种农产品的产品谱系。本文以“保险+期货”模式的定价机制与风险敞口为切入点,结合现有试点品种，对“保险+期货”模式的适用性及其风险管理效应进行科学评估。研究发现:第一，波动率是影响“保险+期货”成本的关键变量,其中价差期权与障碍期权费率随波动率增幅趋减,是极端行情中的“保守型”选择；第二，针对不同波动率的期货品种,采用梯度保障水平和差异化定价策略,能达到降本增效的效果；第三，“保险+期货”存在对冲与基差风险,在波动率低、标准程度高的承保品种上更可能实现风险管理闭环。本文研究以期为优化保险合约设计提供参考,进一步推动“保险+期货”对标降本、提质增效。

［关键词］保险+期货；蒙特卡洛模拟；保险费率；对冲风险；基差风险

［基金项目］本研究得到国家自然科学基金(71873051)、国家自然科学基金面上项目(72173052)、教育部规划基金项目(19A10490020)的资助。

［作者简介］徐媛媛，郑州商品交易所博士后研究员；崔小年，博士，郑州商品交易所商品二部经理；王聪，博士，郑州商品交易所商品二部助理经理；张硕，中国人民大学农业与农村发展学院硕士研究生。

Is “Insurance + Futures” a Closed-Loop Tool to Manage the Agricultural Commodity Market Risk?

XU Yuan-yuan,CUI Xiao-nian,WANG Cong,ZHANG Shuo

Abstract：As an innovative agricultural risk management mode,“insurance + futures” has been written into the No.1 central document for seven consecutive years and has created a product spectrum covering many commodities after all these years′ development.Proceeding from its pricing mechanism and risk exposures,this paper evaluated the risk management effect of the “insurance +futures” mode and its applicability to all pilot varieties.The results show that:firstly,volatility is a key variable affecting the cost of “insurance + futures”,and the pricings of spread options and barrier options tend to get weakened as the volatility increases.They are cited as “conservative” choices when facing with extreme scenarios.Secondly,to achieve cost reduction and efficiency enhancement,it is better to implement gradient insurance level and differentiated pricing strategy targeting at commodities with different price volatility.Thirdly,there exists hedge risk and basis risk for “insurance + futures”,therefore low-volatility and high-standardization commodities are more likely to realize a closed-loop risk management.This research can provide some references for optimizing insurance contract design and drive “insurance + futures” to reduce costs and enhance efficiency.

Key words：insurance + futures;Monte-Carlo Simulation;insurance premium rate;hedge risk;basis risk