Hedging Price Risk in the Presence of Crop Yield and Revenue Insurance

Olivier Mahul

No 24881, 2002 International Congress, August 28-31, 2002, Zaragoza, Spain from European Association of Agricultural Economists

Abstract: The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for two French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 22
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/24881/files/cp02ma09.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae02:24881

DOI: 10.22004/ag.econ.24881

Access Statistics for this paper

More papers in 2002 International Congress, August 28-31, 2002, Zaragoza, Spain from European Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().