Tail Dependence among Agricultural Insurance Indices: The Case of Iowa County-Level Rainfalls

Pu Liu and Mario Miranda ()

No 61317, 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado from Agricultural and Applied Economics Association

Abstract: Index insurance has been promoted as a cost-effective risk management alternative for agricultural producers in developing countries. In this paper, we ask whether spatially separated weather variables commonly used in index insurance design, such as rainfall at different weather stations within a defined geographical area, are more highly correlated at the tails. As a case study, we assess the degree of tail dependence exhibited by Iowa June county-level rainfalls using copulas. We search among various candidate bivariate copulas and, using goodness-of-fit for copulas, attempt to identify the copula structures that best explain the nature of dependence among rainfalls in adjacent counties. Our results provide strong evidence that lower tail dependence exists in most of adjacent county-level rainfalls in Iowa. The results also suggest that patterns of tail dependence differ across counties.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 23
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/61317/files/aaea%20meeting%20paper.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:aaea10:61317

DOI: 10.22004/ag.econ.61317

Access Statistics for this paper

More papers in 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().