As two important tools of agricultural risk management—agricultural insurance and agricultural futures market developed rapidly in recent years in China. However, the collaborative development is obviously inadequate, the emergence of “insurance futures” mode is an exploration. In the “insurance futures” mode, insurance company designs insurance products referring to futures price and avoids price risks by purchasing off-market options through futures company; while agricultural producers and operators achieve hedging through insurance products. In the process, agricultural futures market actually plays a role of reinsurance, taking advantages of both insurance and futures, which can improve farmers’ income, advance the reform of grain purchasing and storage system, and enhance the functions of agricultural insurance and agricultural futures market. Currently, the mode of “insurance futures” is still in pilot phase in China and there exist many problems, including limited application scope, the lack of options in the futures market, imperfect agricultural futures market and government subsidy, restriction of laws and regulations, imperfect supervision mechanism, etc.. To improve the healthy development of the “insurance futures” mode, this paper suggests to promote new futures varieties listed as soon as possible, to perfect agricultural futures market, to establish government financial subsidy system, to revise laws or regulations, and to strengthen supervision system.