Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program
The federal crop insurance program covered more than 110 billion dollars in total liability in 2018. The program consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence among components of the portfolio. Computing value-at-risk (V...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-04-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/12/2/65 |