The Experts below are selected from a list of 23004 Experts worldwide ranked by ideXlab platform
Olivier Mahul - One of the best experts on this subject based on the ideXlab platform.
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designing optimal crop revenue Insurance
American Journal of Agricultural Economics, 2003Co-Authors: Olivier Mahul, Brian D WrightAbstract:When the indemnity schedule is contingent on the farmer's price and individual yield, an optimal crop revenue Insurance Contract depends only on the farmer's gross revenue. However, this design is not efficient if, as is the case with available Contracts, the coverage function is based on imperfect estimators of individual yield and/or price. The producer's degree of prudence and the extent of basis risks have important influences on the optimal indemnity schedule. In this broader context, optimal protection is not provided by available U.S. crop Insurance Contracts and may include combinations of revenue Insurance, yield Insurance, futures, and options Contracts.
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designing optimal crop revenue Insurance
2000 Annual meeting July 30-August 2 Tampa FL, 2000Co-Authors: Olivier Mahul, Brian D WrightAbstract:The optimal crop revenue Insurance Contract is designed from recent developments in the theory of Insurance economics under incomplete markets. The message is two-fold. Firstly, when the indemnity schedule is contingent on individual price and individual yield, the optimal Contract depends only on the individual gross revenue. Secondly, this policy is shown to fail if the indemnity function is based on aggregate price and/or aggregate yield. A closed-form solution, in which basis risks are ignored, is proposed. It differs from actual revenue Insurance programs proposed to the U.S. farmers. When Insurance and capital markets are unbiased, it can be replicated with existing crop yield and revenue Insurance policies and hedging Contracts if the decision variables are not constrained. The impact of yield and price basis risks on the form of the optimal crop revenue Insurance Contract is examined and a closed-form solution is derived.
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optimum area yield crop Insurance
American Journal of Agricultural Economics, 1999Co-Authors: Olivier MahulAbstract:This article considers the problem of the optimal design of crop Insurance when the indemnity is based upon the aggregate yield of a surrounding area. The optimal area yield crop Insurance Contract depends on the individual beta coefficient which measures the sensitivity of farm yield to area yield. Indemnity payments are made whenever the realized area yield is lower (higher) than a critical yield if the beta coefficient is positive (negative). The optimal Contract contains a “disappearing deductible” if the beta coefficient is higher than unity. Copyright 1999, Oxford University Press.
Brian D Wright - One of the best experts on this subject based on the ideXlab platform.
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designing optimal crop revenue Insurance
American Journal of Agricultural Economics, 2003Co-Authors: Olivier Mahul, Brian D WrightAbstract:When the indemnity schedule is contingent on the farmer's price and individual yield, an optimal crop revenue Insurance Contract depends only on the farmer's gross revenue. However, this design is not efficient if, as is the case with available Contracts, the coverage function is based on imperfect estimators of individual yield and/or price. The producer's degree of prudence and the extent of basis risks have important influences on the optimal indemnity schedule. In this broader context, optimal protection is not provided by available U.S. crop Insurance Contracts and may include combinations of revenue Insurance, yield Insurance, futures, and options Contracts.
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designing optimal crop revenue Insurance
2000 Annual meeting July 30-August 2 Tampa FL, 2000Co-Authors: Olivier Mahul, Brian D WrightAbstract:The optimal crop revenue Insurance Contract is designed from recent developments in the theory of Insurance economics under incomplete markets. The message is two-fold. Firstly, when the indemnity schedule is contingent on individual price and individual yield, the optimal Contract depends only on the individual gross revenue. Secondly, this policy is shown to fail if the indemnity function is based on aggregate price and/or aggregate yield. A closed-form solution, in which basis risks are ignored, is proposed. It differs from actual revenue Insurance programs proposed to the U.S. farmers. When Insurance and capital markets are unbiased, it can be replicated with existing crop yield and revenue Insurance policies and hedging Contracts if the decision variables are not constrained. The impact of yield and price basis risks on the form of the optimal crop revenue Insurance Contract is examined and a closed-form solution is derived.
Xuyun Zhang - One of the best experts on this subject based on the ideXlab platform.
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an Insurance theory based optimal cyber Insurance Contract against moral hazard
Information Sciences, 2020Co-Authors: Wanchun Dou, Wenda Tang, Xuyun ZhangAbstract:Abstract As an important method of risk control in information systems and networks, cyber-Insurance has attracted particular attention from both industry and academia. However, two prominent problems hamper the further growth of cyber-Insurance. The correlated and interdependent properties of cyber-risks increase the economic risk of Insurance companies considerably ; risk pooling can be impeded by these two properties. Further, this situation can be aggravated because cyber-Insurance affects the investment for self-protection negatively. This phenomenon is regarded as the ex ante moral hazard. In this study, we establish a mathematical model based on a classic Insurance theory to address the abovementioned problems, and propose an optimal cyber-Insurance Contract scheme that maximizes the expected utility of users. We also propose two personalized Contract schemes to incentivize users to invest in self-protection under the no moral hazard and ex ante moral hazard conditions. Extensive experiments are conducted to evaluate the proposed approach, and the experimental results demonstrate the effectiveness and efficiency of the approach.
Peter Carr - One of the best experts on this subject based on the ideXlab platform.
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a simple robust link between american puts and credit protection
Review of Financial Studies, 2011Co-Authors: Peter CarrAbstract:We develop a simple robust link between deep out-of-the-money American put options on a company's stock and a credit Insurance Contract on the company's bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A,B] that the stock price can never enter. Given the presence of this default corridor, a spread between two co-terminal American put options struck within the corridor replicates a pure credit Contract, paying off when and only when default occurs prior to the option expiry. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.
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a simple robust link between american puts and credit protection
Social Science Research Network, 2008Co-Authors: Peter CarrAbstract:We develop a simple robust link between deep out-of-the-money American put options on a company's stock and a credit Insurance Contract on the company's bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier $A$ after default, thus generating a default corridor [A,B] that the stock price can never enter. Given the presence of this default corridor, a spread between two co-terminal American put options struck within the corridor replicates a pure credit Contract, paying off when and only when default occurs prior to the option expiry.
Wanchun Dou - One of the best experts on this subject based on the ideXlab platform.
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an Insurance theory based optimal cyber Insurance Contract against moral hazard
Information Sciences, 2020Co-Authors: Wanchun Dou, Wenda Tang, Xuyun ZhangAbstract:Abstract As an important method of risk control in information systems and networks, cyber-Insurance has attracted particular attention from both industry and academia. However, two prominent problems hamper the further growth of cyber-Insurance. The correlated and interdependent properties of cyber-risks increase the economic risk of Insurance companies considerably ; risk pooling can be impeded by these two properties. Further, this situation can be aggravated because cyber-Insurance affects the investment for self-protection negatively. This phenomenon is regarded as the ex ante moral hazard. In this study, we establish a mathematical model based on a classic Insurance theory to address the abovementioned problems, and propose an optimal cyber-Insurance Contract scheme that maximizes the expected utility of users. We also propose two personalized Contract schemes to incentivize users to invest in self-protection under the no moral hazard and ex ante moral hazard conditions. Extensive experiments are conducted to evaluate the proposed approach, and the experimental results demonstrate the effectiveness and efficiency of the approach.