保险经济学5

14
二、理论模型的扩展和完善（Extensions for R-S Model）
1. R-S 模型的假设条件 ￭ low risks and high risks have same utility function; ￭ perfect price and quantity competition; ￭ only one contract (or one kind of contract) provided; ￭ no reactive alternatives; ￭ information for group or individual (unbiased estimation);
18
2. 反应性均衡（reactive equilibrium, Riley-Wilson Model）
19
3. 交易成本和风险回避程度 (transaction cost & risk aversion) 文献：Liu and Brown (2003), “Asymmetric Information, Transaction Cost, and Externalities in Competitive Insurance Markets” Working Paper, Presented on Risk Theory Society Annual Meeting, Atlanta, 2003 “First-best Equilibrium in Insurance Markets with Transaction Costs and Heterogeneity” Journal of Risk and Insurance, 2007. ￭ modified R-S Model by incorporating various forms of transaction cost; ￭ new separating equilibrium exists if customer groups have heterogeneous risk aversion or heterogeneous endowment wealth; ￭ neither high-risk individuals nor low-risk individuals cause any 20 externality to the other group in the market;
7
(2). 信息对称条件下的分离均衡(separating equilibrium)
8
(3). 信息不对称条件下的汇合均衡(pooling equilibrium)
9
(3). 信息不对称条件下的汇合均衡(pooling equilibrium) Theorem 1 With asymmetric information in insurance markets, there exists no equilibrium in the sense of Rothschild and Stiglitz with average actuarial pricing (pooling). If an equilibrium exists, each type of insured agent necessarily chooses a different contract (separating).
16
2. 反应性均衡（reactive equilibrium, Riley-Wilson Model）
17
2. 反应性均衡（reactive equilibrium, Riley-Wilson Model） Theorem 3 With asymmetric information in insurance markets, there exists a critical proportion λ0 of low risk individuals in the population such that (a). If λ> λ0 then the unique reactive equilibrium is a pooling equilibrium in the sense of R-S Model; (b). If λ< λ0 then the unique reactive equilibrium is a separating equilibrium in the sense of R-S Model;
3
二、逆选择理论的“奠基人”
2001年NOBEL经济学奖LAUREATE
Akerlof Spence Stiglitz ￭ 逆选择问题的现象和本质 高风险与低风险不能有效分辨 → 采用均值法定价 → 低风险 为高风险补贴 → 低风险离开，市场失衡； ￭ 概念：保险购买者运用优越的信息优势以获取更低价格上的 保险产品的意图和行为被称为逆选择… 逆选择是指风险大的人 比一般的人更希望购买保险的这样一种行为。 （孙祁祥《保险 学》71，73页）
W2
U
α* F
Slope=(1-p)/p
Endowment
45º W1
6
2. 信息不对称条件下保险市场新的均衡点 (1). 基本理念 ￭ 投保人各自的风险(损失)概率对保险人来说，是 无法观察到的(unobservable); ￭ 损失概率一方面影响投保人各自的预期效用函数(注意这里 效用函数的同质性与预期效用函数的异质性)，另一方面也 影响保险人的价格线的确定； － Low risk individuals pL － High risk individuals pH － pH > pL － Fraction of high risk individuals = λ －Average accident probability p = λpH + (1- λ)pL
2
引论
Байду номын сангаас
信息经济学的产生和发展
一、信息经济学的产生和发展
1. 信息不对称(asymmetric information)现象的广泛存在 2. 信息不对称现象对传统经济学原理的挑战 ￭ 不完全竞争(imperfect competition)市场下的均衡条件 ￭ 投机行为－市场失灵(market failure) ￭ 价格机制－激励机制－制约机制 3. 不确定性(uncertainty)、信息(information)和博奕论(game) 4. 信息经济学的主要内容 ￭ 逆选择 (adverse selection); ￭ 道德风险 (moral hazard); ￭ 委托－代理模型 (principal-agent model); ￭ 信号与甄别模型(signaling and screening);
保险经济学
1
第四章 保险市场的信息不对称性
（Insurance Market under Asymmetric Information） 第一节 逆选择与保险需求最优化 (Adverse Selection and Optimal Insurance) 第二节 道德风险与保险需求最优化 (Moral Hazard and Optimal Insurance) 第三节 风险的分类与识别 (Risk Categorization and Classification) 第四节 保险欺诈和其防范 (Insurance Fraud and Auditing)
5
Equilibrium – Identical Customers
No Contract makes negative expected profits. There is no contract outside the equilibrium that, if offered, will make positive profits.
12
(4). 信息不对称条件下的分离均衡(separating equilibrium)
13
(4). 信息不对称条件下的分离均衡(separating equilibrium) Theorem 2 With asymmetric information in insurance markets, there exists a critical proportion λ0 of low risk individuals in the population such that (a). If λ> λ0 then there is no equilibrium in the sense of R-S Model; (b). If λ< λ0 then there exists a separating equilibrium in the sense of R-S Model;
4
第一节 逆选择与保险需求最优化
一、理论模型的创立（R-S Model）
文献：Rothschild and Stiglitz (1976), “Equilibrium in Competitive Insurance Markets : An Essay on the Economics of Imperfect Information” Quarterly Journal of Economics 1.保险市场原始均衡模型(initial equilibrium model) ￭ 风险回避型的投保人群和风险中立型的保险人； ￭ 投保人通过购买保险合同(only one contract)来实现其预期效 用最大化； ￭ 完全竞争的保险市场－无交易费用(transaction costs); 保险人的预期均衡利润率为零(expected equilibrium profits on a contract are zero); ￭ 面对均衡市场的公平保费，投保人选择足额保险。 Facing actuarial premiums, insured would choose full coverage.