IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v495y2018icp312-323.html
   My bibliography  Save this article

An application of Mean Escape Time and metapopulation on forestry catastrophe insurance

Author

Listed:
  • Li, Jiangcheng
  • Zhang, Chunmin
  • Liu, Jifa
  • Li, Zhen
  • Yang, Xuan

Abstract

A forestry catastrophe insurance model due to forestry pest infestations and disease epidemics is developed by employing metapopulation dynamics and statistics properties of Mean Escape Time (MET). The probability of outbreak of forestry catastrophe loss and the catastrophe loss payment time with MET are respectively investigated. Forestry loss data in China is used for model simulation. Experimental results are concluded as: (1) The model with analytical results is shown to be a better fit; (2) Within the condition of big area of patches and structure of patches, high system factor, low extinction rate, high multiplicative noises, and additive noises with a high cross-correlated strength range, an outbreak of forestry catastrophe loss or catastrophe loss payment due to forestry pest infestations and disease epidemics could occur; (3) An optimal catastrophe loss payment time MET due to forestry pest infestations and disease epidemics can be identified by taking proper value of multiplicative noises and limits the additive noises on a low range of value, and cross-correlated strength at a high range of value.

Suggested Citation

  • Li, Jiangcheng & Zhang, Chunmin & Liu, Jifa & Li, Zhen & Yang, Xuan, 2018. "An application of Mean Escape Time and metapopulation on forestry catastrophe insurance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 312-323.
    • Handle: RePEc:eee:phsmap:v:495:y:2018:i:c:p:312-323
    DOI: 10.1016/j.physa.2017.12.097
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437117313468
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2017.12.097?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Skees, Jerry & Gober, Stephanie & Varangis, Panos & Le, 2001. "Developing rainfall-based index insurance in Morocco," Policy Research Working Paper Series 2577, The World Bank.
    2. Valenti, Davide & Spagnolo, Bernardo & Bonanno, Giovanni, 2007. "Hitting time distributions in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 311-320.
    3. Zeng, Chunhua & Wang, Hua, 2012. "Noise and large time delay: Accelerated catastrophic regime shifts in ecosystems," Ecological Modelling, Elsevier, vol. 233(C), pages 52-58.
    4. G. Bonanno & D. Valenti & B. Spagnolo, 2005. "Role of Noise in a Market Model with Stochastic Volatility," Papers cond-mat/0510154, arXiv.org, revised Oct 2006.
    5. B. Spagnolo & A. Dubkov & N. Agudov, 2004. "Enhancement of stability in randomly switching potential with metastable state," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 40(3), pages 273-281, August.
    6. Wang, Can-Jun & Yang, Ke-Li & Du, Chun-Yan, 2017. "Multiple cross-correlation noise induced transition in a stochastic bistable system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 261-274.
    7. Zhang, Chun & Du, Liping & Xie, Qingshuang & Wang, Tonghuan & Zeng, Chunhua & Nie, Linru & Duan, Weilong & Jia, Zhenglin & Wang, Canjun, 2017. "Emergent bimodality and switch induced by time delays and noises in a synthetic gene circuit," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 253-266.
    8. Zhenzhen Liu & Luchun Du & Wei Guo & Dong-Cheng Mei, 2016. "Entropic stochastic resonance of a self-propelled Janus particle," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 89(10), pages 1-5, October.
    9. Can-Jun Wang & Ke-Li Yang, 2016. "Correlated noise-based switches and stochastic resonance in a bistable genetic regulation system," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 89(8), pages 1-11, August.
    10. Mario J. Miranda, 1991. "Area-Yield Crop Insurance Reconsidered," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 233-242.
    11. Giovani L. Vasconcelos, 2004. "A Guided Walk Down Wall Street: an Introduction to Econophysics," Papers cond-mat/0408143, arXiv.org.
    12. Li, Jiang-Cheng & Dong, Zhi-Wei & Zhou, Ruo-Wei & Li, Yun-Xian & Qian, Zhen-Wei, 2017. "The stochastic resonance for the incidence function model of metapopulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 476(C), pages 70-83.
    13. Zeng, Jiakui & Zeng, Chunhua & Xie, Qingshuang & Guan, Lin & Dong, Xiaohui & Yang, Fengzao, 2016. "Different delays-induced regime shifts in a stochastic insect outbreak dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1273-1285.
    14. Smith, Vincent H. & Chouinard, Hayley H. & Baquet, Alan E., 1994. "Almost Ideal Area Yield Crop Insurance Contracts," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 23(1), pages 1-9, April.
    15. G. Bonanno & D. Valenti & B. Spagnolo, 2006. "Role of noise in a market model with stochastic volatility," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 53(3), pages 405-409, October.
    16. A. Fiasconaro & A. Ochab-Marcinek & B. Spagnolo & E. Gudowska-Nowak, 2008. "Monitoring noise-resonant effects in cancer growth influenced by external fluctuations and periodic treatment," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 65(3), pages 435-442, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sacchelli, Sandro & Cipollaro, Maria & Fabbrizzi, Sara, 2018. "A GIS-based model for multiscale forest insurance analysis: The Italian case study," Forest Policy and Economics, Elsevier, vol. 92(C), pages 106-118.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dong, Yang & Wen, Shu-hui & Hu, Xiao-bing & Li, Jiang-Cheng, 2020. "Stochastic resonance of drawdown risk in energy market prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    2. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    3. Zhong, Guang-Yan & He, Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng, 2019. "Coherence resonance-like and efficiency of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    4. Wang, Weiwei & Ralescu, Dan A., 2021. "Valuation of lookback option under uncertain volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    5. Koo, Eunho & Kim, Geonwoo, 2017. "Explicit formula for the valuation of catastrophe put option with exponential jump and default risk," Chaos, Solitons & Fractals, Elsevier, vol. 101(C), pages 1-7.
    6. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
    7. Tzouras, Spilios & Anagnostopoulos, Christoforos & McCoy, Emma, 2015. "Financial time series modeling using the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 425(C), pages 50-68.
    8. Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
    9. Wu, Jianjun & Xia, Lu, 2024. "Double well stochastic resonance for a class of three-dimensional financial systems," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
    10. Li, Jiang-Cheng & Xu, Ming-Zhe & Han, Xu & Tao, Chen, 2022. "Dynamic risk resonance between crude oil and stock market by econophysics and machine learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    11. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
    12. Wang, Tonghuan & Guan, Lin & Zeng, Chunhua, 2019. "Transition induce by positive and negative time delay feedback in active Brownian particles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    13. Zhou, Wei & Zhong, Guang-Yan & Li, Jiang-Cheng, 2022. "Stability of financial market driven by information delay and liquidity in delay agent-based model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    14. Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
    15. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    16. Ko, Bonggyun & Song, Jae Wook, 2018. "A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 398-412.
    17. Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    18. Wu, Anshun & Dong, Yang & Luo, Yuhui & Zeng, Chunhua, 2020. "Fluctuations-induced regime shifts in the Endogenous Credit system with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
    19. Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    20. Kim, Geonwoo & Koo, Eunho, 2016. "Closed-form pricing formula for exchange option with credit risk," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 221-227.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:495:y:2018:i:c:p:312-323. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.