District-index insurance program: Basic model and pricing

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Finansal Matematik Anabilim Dalı, Türkiye

Tezin Onay Tarihi: 2015

Öğrenci: İDİL AYBERK

Danışman: ALİ DEVİN SEZER

Özet:

The aim of this work is to build an inital model for and calculate the premium of an insurance scheme against drought proposed by TARSIM. The payoff of the insurance scheme is similar to that of a call option on the yield variable. We compute the premium using normal, gamma and beta distribution for the yield and examine how the premium depends on the parameters of these distributions. We find that, when we fix the mean and the variance of the yield, the premium computed under different distributions depends little on the distribution used for the yield.