scholarly journals Modeling indemnity of revenue-based crop insurance in Indonesia using time-varying copula models

2019 ◽  
Author(s):  
Atina Ahdika ◽  
Dedi Rosadi ◽  
Adhitya Ronnie Effendie ◽  
Gunardi
Keyword(s):  
Crop Insurance ◽  
Time Varying ◽  
Copula Models

Household margin insurance of agricultural sector in Indonesia using a farmer exchange rate index

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Atina Ahdika ◽  
Dedi Rosadi ◽  
Adhitya Ronnie Effendie ◽  
Gunardi
Keyword(s):  
Exchange Rate ◽  
Value At Risk ◽  
Agricultural Sector ◽  
Time Varying ◽  
Risk Modeling ◽  
Copula Models ◽  
Content Type ◽  
Premium Calculation ◽  
Index Ratio ◽  
Margin Insurance

PurposeFarmer exchange rate (FER) is the ratio between a farmer's income and expenditure and is also an indicator of farmers’ welfare. There is little research regarding its use in risk modeling in crop insurance. This study seeks to propose a design for a household margin insurance scheme of the agricultural sector based on FER.Design/methodology/approachThis research employs various risk modeling concepts, i.e. value at risk, loss models and premium calculation, to construct the proposed model. The standard linear, static and time-varying copula models are used to identify the dependency between variables involved in calculating FER.FindingsFirst, FER can be considered as the primary variable for risk modeling in agricultural household margin insurance because it demonstrates farmers’ financial ability. Second, temporal dependence estimated using the time-varying copula can minimize errors, reduce the premium rate and result in a tighter guarantee's level of security.Originality/valueThis research extends the previous similar studies related to the use of index ratio in margin insurance loss modeling. Its authenticity is in the use of FER, which represents the farmers' trading capability. FER determines farmers’ losses by considering two aspects: the farmers’ income rate and their ability to fulfill their life and farming needs. Also, originality exists in the use of the time-varying copulas in identifying the dependence of the indices involved in calculating FER.

scholarly journals On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models

Mathematics ◽  
2020 ◽  
Vol 8 (11) ◽  
pp. 1859
Author(s):  
Jong-Min Kim ◽  
Seong-Tae Kim ◽  
Sangjin Kim
Keyword(s):  
Gold Price ◽  
Gaussian Copula ◽  
Time Varying ◽  
Conditional Correlation ◽  
Copula Models ◽  
Marginal Regression ◽  
High Volatility ◽  
Asymmetric Garch ◽  
Relationship Of ◽  
The Relationship

This paper examines the relationship of the leading financial assets, Bitcoin, Gold, and S&P 500 with GARCH-Dynamic Conditional Correlation (DCC), Nonlinear Asymmetric GARCH DCC (NA-DCC), Gaussian copula-based GARCH-DCC (GC-DCC), and Gaussian copula-based Nonlinear Asymmetric-DCC (GCNA-DCC). Under the high volatility financial situation such as the COVID-19 pandemic occurrence, there exist a computation difficulty to use the traditional DCC method to the selected cryptocurrencies. To solve this limitation, GC-DCC and GCNA-DCC are applied to investigate the time-varying relationship among Bitcoin, Gold, and S&P 500. In terms of log-likelihood, we show that GC-DCC and GCNA-DCC are better models than DCC and NA-DCC to show relationship of Bitcoin with Gold and S&P 500. We also consider the relationships among time-varying conditional correlation with Bitcoin volatility, and S&P 500 volatility by a Gaussian Copula Marginal Regression (GCMR) model. The empirical findings show that S&P 500 and Gold price are statistically significant to Bitcoin in terms of log-return and volatility.

scholarly journals A Comparison Study of Copula Models for European Financial Index Returns

2017 ◽  
Vol 9 (10) ◽  
pp. 155
Author(s):  
Paula V. Tofoli ◽  
Flavio A. Ziegelmann ◽  
Osvaldo Candido
Keyword(s):  
Subprime Crisis ◽  
Time Varying ◽  
Comparison Study ◽  
Markov Switching Model ◽  
Copula Models ◽  
New Approach ◽  
Switching Model ◽  
Long Period ◽  
Financial Index ◽  
Over Time

In this paper, we introduce a new approach to modeling dependence between international financial returns over time, combining time-varying copulas and the Markov switching model. We apply these copula models and also those proposed by Patton (2006), Jondeau and Rockinger (2006) and Silva Filho, Ziegelmann, and Dueker (2012) to the return data of the FTSE-100, CAC-40 and DAX indexes. We are particularly interested in comparing these methodologies in terms of the resulting dynamics of dependence and the models’ abilities to forecast possible capital losses. Because risks related to extreme events are important for risk management, we compare and select the models based on VaR forecasts. Interestingly, all the models identify a long period of high dependence between the returns beginning in 2007, when the subprime crisis was evolving. Surprisingly, the elliptical copulas perform best in forecasting the extreme quantiles of the portfolios returns.

Reserve modelling and the aggregation of risks using time varying copula models

2017 ◽  
Vol 67 ◽  
pp. 149-158 ◽  
Author(s):  
Sawssen Araichi ◽  
Christian de Peretti ◽  
Lotfi Belkacem
Keyword(s):  
Time Varying ◽  
Copula Models

Time-varying copula models in the shipping derivatives market

2016 ◽  
Vol 53 (3) ◽  
pp. 1039-1058 ◽  
Author(s):  
Wenming Shi ◽  
Kevin X. Li ◽  
Zhongzhi Yang ◽  
Ganggang Wang
Keyword(s):  
Time Varying ◽  
Copula Models

scholarly journals Dependence Modelling using GARCH, EGARCH, and Copula Models:

2018 ◽  
Vol 2 (2) ◽  
pp. 55-59
Author(s):  
Nurul Hanis Aminuddin Jafry ◽  
Ruzanna Ab Razak ◽  
Noriszura Ismail
Keyword(s):  
Gaussian Copula ◽  
Dependence Structure ◽  
Time Varying ◽  
Strongly Correlated ◽  
Copula Models ◽  
Egarch Model ◽  
Copula Approach ◽  
Model Finding ◽  
Dependence Modelling ◽  
The Impact

Copula become a popular tool to measure the dependency between financial data due to its ability to capture the non-normal distributions. Hence, this paper will inspect the impact of input models towards the parameter estimation of marginal and copula models for KLCI and FBMHS returns series by considering the ARMA-GARCH model and the ARMA-EGARCH model. This study also investigates the dependency of Islamic-conventional pair for Malaysia indices by using static copula and time-varying copula approach. The closing prices of Malaysia indices represented by KLCI (conventional) index and FBMHS (Islamic) index for the period of 21 May 2007 until 28 September 2018 are used as a sample data. The results show that KLCI-FBMHS pair is strongly correlated, different input models (ARMA-GARCH and ARMA-EGARCH) have identical dependence structure but slightly different value of parameter estimated, and the time-varying Gaussian copula is chosen as the best dependence model. Finding suggest that the diversification between Islamic-conventional pair is worthwhile during stable period.  

scholarly journals Time-varying copula models for longitudinal data

2018 ◽  
Vol 11 (2) ◽  
pp. 203-221 ◽  
Author(s):  
Esra Kürüm ◽  
John Hughes ◽  
Runze Li ◽  
Saul Shiffman
Keyword(s):  
Longitudinal Data ◽  
Time Varying ◽  
Copula Models
Sign in / Sign up

Export Citation Format

Share Document