Penentuan payoff dan premi ENSO index insurance berdasarkan hasil produksi pertanian padi di Jepang

Reynaldi, Reynaldi (2020) Penentuan payoff dan premi ENSO index insurance berdasarkan hasil produksi pertanian padi di Jepang. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

El Nino-Southern Oscillation (ENSO) index insurance merupakan sebuah alat asuransi yang didasarkan pada suhu permukaan laut. Namun, ENSO index insurance memiliki kelemahan yaitu adanya basis risk. Basis risk secara singkat merupakan risiko yang muncul ketika mengalami kerugian tetapi tidak menerima payoff atau tidak mengalami kerugian tetapi menerima payoff. Dengan menggunakan ketiga data produksi, yaitu jumlah produksi yang diubah menjadi JP, average expected, dan yield, didapat bahwa korelasi yang paling berkaitan dengan ketiga data produksi adalah ENSO West index. Regresi logistik digunakan untuk menentukan batas ENSO West index. Regresi logistik juga digunakan untuk menentukan proporsi basis risk, baik data produksi awal maupun estimasi untuk jangka waktu beberapa tahun kedepan. Dilakukan pemilihan proporsi basis risk yang paling minimum. Temporal risk lebih kecil untuk jangka waktu tahun yang lebih panjang dan mengurangi risiko dari basis risk. Raw bootstrap dan spectral bootstrap untuk membuat ENSO West index yang baru menghasilkan bahwa frekuensi clustering payoff relatif besar sehingga estimasi untuk jangka waktu tahun kedepan tidak dapat digunakan. Pemilihan premi dan payoff yang paling optimal dilakukan dengan indemnity dan call and put option. Berdasarkan indemnity payoff, hanya data JP yang memiliki nilai optimal. Berdasarkan call and put option payoff, ketiga data produksi memiliki nilai optimal masing-masing. / El Nino-Southern Oscillation (ENSO) index insurance is an insurance tool based on sea surface temperature. However, ENSO index insurance has a weakness, which is basis risk. Briefly, basis risk is a risk that someone suffer loss but do not receive any payoff or do not suffer loss bu receive payoff. By using three production data: amount of production that convert to JP, average expected, and yield, is obtained that the highest correlation for the three data production is ENSO West index. Logistic regression are used to determine ENSO West index trigger. Logistic regression also used to determine the proportion of basis risk for both of preliminary data production and forecasting several years in the future. The minimum proportion of basis risk is selected. The value of temporal risk is smaller for more several years in the future and will reduce the basis risk. Raw boostrap and spectral boostrap used for making new ENSO West index show that the frequency of clustering payoff relatively high so that forecasting several years in the future cannot be used. The optimum premium and payoff is selected based on indemnityand calland putoption. Basedonindemnity payoff, onlydata JPhasthe optimal value. Based on call and put option payoff, all of data production have their own optimal value.

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