Main Article Content
Abstract
Abstract: Shallot is one of the highest-yielding horticultural crops in Indonesia and has the tendency to increase the profits of farmers in Indonesia. But until now in Indonesia there is no insurance for horticultural crops other than corn, whereas the shallot farmers face various sources of risk such as weather changes, pest attacks, or other technical factors that ultimately lead to uncertainty of agricultural yields (revenue risk). To overcome this loss, insurance companies can make products based on shallot yields and shallot market prices. Therefore it is essential to grasp the distribution of risk variables (shallot yields and shallot market prices) that interact simultaneously, not separate from one another. Omitting dependencies among risk variables can cause biased risk estimation. Copula can model the non-linear dependencies and can identify the structure of the dependencies between variables. The suitable copula for modeling yield and price risk of shallot is simulated to compute the premium. Result show that clayton copula is suitable for dependence modelling between risk variables.
Keywords
Article Details
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
References
- Choirul Anam, Petani Minta Tanaman Hortikultura juga Diasuransikan Retrieved from http:///ekonomi.bisnis.com/read/20150805/459627/petani-minta-tanaman-hortikultura-juga-diasuransikan, (2015)
- Cherubini, U., Luciano, E., & vecchiato, W., Copula methods in finance. John Wiley & Sons., 2004
- Guloksuz, C. T., Comparison of some selection criteria for selecting bivariate archimedean copulas, Afyon Kocatepe Universitesi Feb Ve Muhendislik Bilimleri Dergisi, 16(2), (2016), 250-255.
- Hofert, M. Machler, M., and McNeil, A. J., Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis 110 (2012), 133-150.
- Jane, R. Dalla Valle, L. Simmonds, D., & raby, A., A copula-based approach for the estimation of wave height records through spatial correlation. Coastal Engineering, 117, 92016),1-18.
- Kortekaas, M.P., A Vine Copula-GARCH Option Pricing models. Master's Thesis in Financial Econometrics, Faculty of Economics and Business, University of Amsterdam, 2013.
- Mahfoud, M., & Michael, M. Bivariate Archimedean copulas: an application to two stock market incices, BMI Paper, 1517333, 2012.
- Nur Aini, Kementerian ingin asuransi pertanian bias untuk hortikultura. retrieved from http://www.republika.co.id/berita/ekonomi/keuangan/18/02/227/p4t4sb382-kementan-ingin-asuransi-pertanian-bisa-untuk-hortikultura, 2018.
- Nelsen RB., An Introduction to Copulas. Portland (US): Springer, 2015
- Shumway, Robert H., and Stoffer, David S., Time Series Analysis and Its Application. new York: Springer, 2011.
- Sklar, A., Fonctions de r'epatition an dimensions et leurs marrges. Publication de I'Institut de Statique de l'Universit'e de paris 8 (1959), 229-231
- Trivedi, P., K., & Zimmer, D. M., Copula modeling: an introduction for pratitioners. Foundations and trends in Econometrics, 1(1) (2007), 1-111.
- Zhu, Y., Hosh, S. K., 7 Goodwin, B., Modeling dependence in the design of whole farm a copula based model approach (No.328-2016-22619), 2008.
References
Choirul Anam, Petani Minta Tanaman Hortikultura juga Diasuransikan Retrieved from http:///ekonomi.bisnis.com/read/20150805/459627/petani-minta-tanaman-hortikultura-juga-diasuransikan, (2015)
Cherubini, U., Luciano, E., & vecchiato, W., Copula methods in finance. John Wiley & Sons., 2004
Guloksuz, C. T., Comparison of some selection criteria for selecting bivariate archimedean copulas, Afyon Kocatepe Universitesi Feb Ve Muhendislik Bilimleri Dergisi, 16(2), (2016), 250-255.
Hofert, M. Machler, M., and McNeil, A. J., Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis 110 (2012), 133-150.
Jane, R. Dalla Valle, L. Simmonds, D., & raby, A., A copula-based approach for the estimation of wave height records through spatial correlation. Coastal Engineering, 117, 92016),1-18.
Kortekaas, M.P., A Vine Copula-GARCH Option Pricing models. Master's Thesis in Financial Econometrics, Faculty of Economics and Business, University of Amsterdam, 2013.
Mahfoud, M., & Michael, M. Bivariate Archimedean copulas: an application to two stock market incices, BMI Paper, 1517333, 2012.
Nur Aini, Kementerian ingin asuransi pertanian bias untuk hortikultura. retrieved from http://www.republika.co.id/berita/ekonomi/keuangan/18/02/227/p4t4sb382-kementan-ingin-asuransi-pertanian-bisa-untuk-hortikultura, 2018.
Nelsen RB., An Introduction to Copulas. Portland (US): Springer, 2015
Shumway, Robert H., and Stoffer, David S., Time Series Analysis and Its Application. new York: Springer, 2011.
Sklar, A., Fonctions de r'epatition an dimensions et leurs marrges. Publication de I'Institut de Statique de l'Universit'e de paris 8 (1959), 229-231
Trivedi, P., K., & Zimmer, D. M., Copula modeling: an introduction for pratitioners. Foundations and trends in Econometrics, 1(1) (2007), 1-111.
Zhu, Y., Hosh, S. K., 7 Goodwin, B., Modeling dependence in the design of whole farm a copula based model approach (No.328-2016-22619), 2008.