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Three essays on agricultural and catastrophic risk management

Chen, Shu-Ling
http://rave.ohiolink.edu/etdc/view?acc_num=osu1179368620

Abstract Details

2007, Doctor of Philosophy, Ohio State University, Agricultural, Environmental and Development Economics.
In this dissertation, I examine three issues related to agricultural and catastrophic risk management. In the first essay, I develop and estimate mixture distribution models of Texas dryland upland cotton yields in which the distribution of yield is conditioned on an observable drought index. The results indicate that the mixture distribution provides a better fit to cotton yield data than conventional parametric distributions and, for more than two-thirds of the Texas counties examined, implies Group Risk Plan premium rates that are greater than those currently published by the U.S. Department of Agricultural Risk Management Agency. In the second essay, I attempt to uncover evidence of moral hazard in the U.S. crop insurance program, departing from the established empirical literature in two significant respects. First, I focus on the effects of crop insurance on post-planting crop abandonment decisions. Second, I expand the scope of existing empirical studies by including regions and crops that have historically experienced high loss ratios under the Federal crop insurance program. The results provide strong evidence that crop insurance program participation encourages corn producers in the Great Plains and upland cotton producers in the South to abandon their crops during the growing season. In the third essay, I develop and estimate alternative time-series models of El Niño dynamics in order to support the actuarial analysis of a proposed weather derivative contract for Peru. In particular, I apply a series of tests proposed by Bai and Perron to formally test whether the sea-surface temperature anomalies that characterize El Niño events have exhibited structural change during the 20th century. The tests identify several structural breaks over the past century and indicate that El Niños have become more frequent and severe since 1976. I then examine the ability of three alternative time-series models to predict El Niño severity with a 6-month lead time and conclude that a linear AR(2) error model provides the most accurate forecasts.
Mario Miranda (Advisor)
104 p.
Economics, Agricultural
Crop Insurance; Adverse Selection; Mixture Distribution; Moral Hazard; Crop Abandonment; Weather Derivatives; El Ni&241; o

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Citations

  • Chen, S.-L. (2007). Three essays on agricultural and catastrophic risk management [Doctoral dissertation, Ohio State University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=osu1179368620

    APA Style (7th edition)

  • Chen, Shu-Ling. Three essays on agricultural and catastrophic risk management. 2007. Ohio State University, Doctoral dissertation. OhioLINK Electronic Theses and Dissertations Center, http://rave.ohiolink.edu/etdc/view?acc_num=osu1179368620.

    MLA Style (8th edition)

  • Chen, Shu-Ling. "Three essays on agricultural and catastrophic risk management." Doctoral dissertation, Ohio State University, 2007. http://rave.ohiolink.edu/etdc/view?acc_num=osu1179368620

    Chicago Manual of Style (17th edition)

osu1179368620
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© 2007, all rights reserved.
This open access ETD is published by The Ohio State University and OhioLINK.