Impact of copula choice on the modeling of crop yield basis risk

A number of problems in agricultural economics involve modeling joint distributions for which the assumption of multivariate normality may not be warranted. Yet, very little work has been conducted evaluating competing methods for modeling joint dependence. We develop a simulation framework to evalu...

Full description

Saved in:
Bibliographic Details
Published in:Agricultural economics 2011-11, Vol.42 (s1), p.101-112
Main Authors: Woodard, Joshua D, Paulson, Nicholas D, Vedenov, Dmitry, Power, Gabriel J
Format: Article
Language:English
Subjects:
agricultural economics
and Huang Procedure
Copulas
Crop insurance rating efficiency
crop models
crop yield
GRIP basis risk
Iman and Conover procedure
Insurance
issues and policy
Kernel copula
Phoon
Phoon, Quek, and Huang Procedure
Q00
Q10
Q14
Quek
risk
risk analysis
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:A number of problems in agricultural economics involve modeling joint distributions for which the assumption of multivariate normality may not be warranted. Yet, very little work has been conducted evaluating competing methods for modeling joint dependence. We develop a simulation framework to evaluate the bias and efficiency impacts of copula choice in the context of evaluating county‐to‐farm basis risk. The results suggest significant differences in performance across various copulas and approaches. The findings have important implications for risk analysis, insurance, and policy modeling problems in agriculture regarding the selection of method to model dependence among random variables.
ISSN:0169-5150
1574-0862
DOI:10.1111/j.1574-0862.2011.00555.x