Risk management for agricultural insurance

The objective of the proposed research is to apply the models of Markov decision processes for better practice of agriculture insurance and reinsurance. The goal is to explore optimal reinsurance models and risk management approaches that address the tradeoff between risk retaining and risk spreading, in a dynamic, multi-period setting. The focus is on seeking sequential optimal weights between reinsurance pooling and private reinsurance, developing dynamic risk measures to describe the total risk and finding optimal sequential policies that minimize the expected total risk. The proposed research is significant and important because maintaining stability of agricultural production is fundamental and crucial for the economic and social stability over the world. Guy Carpenter may benefit from the findings and use the results to improve their pricing of insurance products.

Faculty Supervisor:

Lysa Porth

Student:

Partner:

Guy Carpenter & Company LLC

Discipline:

Mathematics

Sector:

Finance and Insurance

University:

University of Manitoba

Program: