Modelibrary.

03 Agricultural price risk

Index pricing in
agricultural insurance.

Client
Insurtech start-up
Risk
Agricultural price risk
Methods
Time-series analysis and machine learning

Agricultural price risk

We helped an insurtech start-up develop risk-management tools by designing the mathematical back end of a platform for agricultural price risk.

Modelling approach

Starting from established price-risk models, we used time-series analysis and machine learning to design index insurance for agricultural commodities.

The source project discusses smaller-volume products such as avocados and almonds.

Fig. 01

Three stacked charts over 300 time steps: observed lean hogs, live cattle and feeder cattle prices, then the range covered by sample paths from a speculative storage model, then the narrower range covered by geometric Brownian motion paths.
Observed lean hogs, live cattle and feeder cattle series, with sample paths from a speculative storage model and from geometric Brownian motion.

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