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

abstract

• 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. 2011 International Association of Agricultural Economists.

authors

• Vedenov, Dmitry

published proceedings

• AGRICULTURAL ECONOMICS

author list (cited authors)

• Woodard, J. D., Paulson, N. D., Vedenov, D., & Power, G. J.

citation count

• 19

complete list of authors

• Woodard, Joshua D||Paulson, Nicholas D||Vedenov, Dmitry||Power, Gabriel J

publication date

• January 2011

publisher

• Wiley  Publisher

published in

• Agricultural Economics: the journal of the International Association of Agricultural Economists  Journal

keywords

• Copulas
• Crop Insurance Rating Efficiency
• Grip Basis Risk
• Iman And Conover Procedure
• Kernel Copula
• Phoon, Quek, And Huang Procedure

Digital Object Identifier (DOI)

• 10.1111/j.1574-0862.2011.00555.x

start page

• 101

end page

• 111

volume

• 42

issue

• SUPPL. 1

URL

• http://dx.doi.org/10.1111/j.1574-0862.2011.00555.x