Systemic Risk in U.S. Crop Reinsurance Programs

Chuck Mason, Dermot Hayes and Sergio Lence ()

Staff General Research Papers Archive from Iowa State University, Department of Economics

Abstract: This study develops a method to estimate the probability density function of the Federal Risk Management Agency's (RMA's) net income from reinsuring crop insurance for corn, wheat, and soybeans. When calibrated using 1997 data, results from the advocated method show that in 1997 there was a 5% probability RMA would have had to reimburse at least $1 billion to insurance companies, and the fair value of RMA's insurance services to insurance firms in 1997 was $78.7 million. Key words: crop insurance, reinsurance, Risk Management Agency, systemic risk, value at risk

Date: 2003-04-01
New Economics Papers: this item is included in nep-agr and nep-ias
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Citations: View citations in EconPapers (8)

Published in Agricultural Finance Review, Spring 2003, vol. 63 no. 1, pp. 23-39

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Related works:
Working Paper: Systemic risk in U.S. crop reinsurance programs (2003)
Journal Article: Systemic risk in U.S. crop reinsurance programs (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:1944

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