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Pricing Catastrophe Bond of Agricultural Products Price Fluctuation Based on POT Model

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IEIS2019

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Abstract

In recent years, extreme risk of agricultural products price fluctuation has become the hotspot of social concern, the key point of management decision-making and the difficulty of theoretical studies. As an innovative financial instrument, catastrophe bonds provide a new path for catastrophe risk management. Therefore, this paper aims to provide the methodology of pricing catastrophe bond of agricultural products price fluctuation, which can be shown as the steps of constructing time series of agricultural products price fluctuation, fitting extreme risk distribution using POT model from extreme value theory, and calculating a one-year zero-interest catastrophe bond under different parameter assumptions. This paper selects Fuji apple as an example to make empirical analysis. This study is a profitable attempt to construct the mechanism of catastrophic risk decentralization agricultural products price fluctuation.

Beijing Municipal Natural Science Foundation (Grant No. 9172022).

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Authors and Affiliations

  1. Agricultural Information Institute, Chinese Academy of Agricultural Sciences, Beijing, China

    Lei Xu, Bingbing Wang & Qinghui Geng

Authors
  1. Lei Xu
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  2. Bingbing Wang
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  3. Qinghui Geng
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Corresponding author

Correspondence to Lei Xu .

Editor information

Editors and Affiliations

  1. School of Economics and Management, Beijing Jiaotong University, Beijing, Beijing, China

    Menggang Li

  2. Logistics, Business and Public Policy, University of Maryland, Baltimore, MD, USA

    Martin Dresner

  3. School of Economics and Management, Beijing Jiaotong University, Beijing, Beijing, China

    Runtong Zhang

  4. School of Economics and Management, Beijing Jiaotong University, Beijing, Beijing, China

    Guowei Hua

  5. School of Economics and Management, Beijing Jiaotong University, Beijing, Beijing, China

    Xiaopu Shang

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Xu, L., Wang, B., Geng, Q. (2020). Pricing Catastrophe Bond of Agricultural Products Price Fluctuation Based on POT Model. In: Li, M., Dresner, M., Zhang, R., Hua, G., Shang, X. (eds) IEIS2019. Springer, Singapore. https://doi.org/10.1007/978-981-15-5660-9_27

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