Efficient Estimation of Copula Mixture Model: An Application to the Rating of Crop Revenue Insurance

Somali Ghosh, Joshua D. Woodard and Dmitry Vedenov

No 103738, 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania from Agricultural and Applied Economics Association

Abstract: The association between prices and yields are of paramount importance to the crop insurance programs. Proper estimation of the association is highly desirable. Copulas are one such method to measure the dependence structure. Five single parametric copulas, a non- parametric copula and their fifteen different combinations taking a mixture of two different copulas at a time have been used in the crop insurance rating analysis. Using data of corn from 1973-2009 for 602 counties in the Mid-West area two different efficient methods have been proposed to generate the optimal mixtures using the cross validation approach. A resampling technique is used to check for the significance of the expected indemnities.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Pages: 24
Date: 2011
New Economics Papers: this item is included in nep-ecm and nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ageconsearch.umn.edu/record/103738/files/E ... Mixture%20Models.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:aaea11:103738

DOI: 10.22004/ag.econ.103738

Access Statistics for this paper

More papers in 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().