In this article, we introduce price index insurances on agricultural goods. Although these seem similar to derivatives, there are significant differences between price index insurances and derivatives. First, unlike derivatives, there are no entrance barriers for purchasing insurances, making them the risk management tools that are accessible to almost all farmers. Second, since insurances are issued in a certain number for any individual farm, unlike futures, for example, they cannot be used for speculation and are used solely for hedging price risk. Third, unlike forwards, they are heavily regulated and do not default and cause counterparty risk. In addition to all differences (or benefits), such products have just recently been introduced in the agricultural insurance market. In this article, we investigate if there could have been a financially viable market where these products are traded. More precisely, we investigate whether an insurance company can design a portfolio of optimal contracts that gives a higher Sharpe ratio than the financial market index prices (here, FTSE 100 and other three major indexes). To reach the article’s objective, we take three steps, in considering theoretical, practical, and corporation standpoints. In the first step, we show what an optimal contract would look like from the demand side in a theoretical setup and we obtain the optimal contract from the farmers' standpoint. In the second step, by adopting a more practical approach in meeting the Key Performance Indicators requirements set by the market participants (both demand and supply side), we find the optimal policies specifications from the first step, in the market equilibrium. This step also helps to determine some unobservable market parameters like volatility. Finally, by adopting a corporation standpoint we bring our model to the U.K. farm index prices and find an optimal portfolio of the products on products from 10 commodities. We demonstrate that investing in such a business is financially viable, as the optimal insurance portfolio produces a Sharpe ratio that outperforms the FTSE 100 and other major market indexes.

在本文中，我们将介绍农产品价格指数保险。虽然这些看起来类似于衍生品，但价格指数保险和衍生品之间存在显着差异。首先，与衍生品不同的是，购买保险没有门槛，这使得它们成为几乎所有农民都可以使用的风险管理工具。其次，由于保险是针对任何单个农场以一定数量发行的，因此与期货不同，例如，它们不能用于投机，而只能用于对冲价格风险。第三，与远期不同的是，它们受到严格监管，不会违约，不会造成交易对手风险。除了所有差异（或好处）之外，此类产品最近才被引入农业保险市场。在本文中，我们调查是否有一个经济上可行的市场来交易这些产品。更准确地说，我们调查保险公司是否可以设计一个最优合约组合，其夏普比率高于金融市场指数价格（这里是 FTSE 100 和其他三个主要指数）。为了达到本文的目标，我们采取了三个步骤，分别考虑理论、实践和公司的观点。第一步，我们在理论设置中展示了从需求方的最优合同是什么样的，我们从农民的角度获得了最优合同。第二步，通过采用更实际的方法来满足市场参与者（需求方和供应方）设定的关键绩效指标要求，我们从第一步开始，在市场均衡中找到最优政策规范。此步骤还有助于确定一些不可观察的市场参数，例如波动率。最后，通过采用公司的观点，我们将我们的模型引入英国农场指数价格，并在 10 种商品的产品上找到产品的最佳组合。我们证明投资于此类业务在财务上是可行的，因为最佳保险组合产生的夏普比率优于富时 100 指数和其他主要市场指数。