连续型保险契约的混合模型设计

发布时间：2018-06-05 01:29

本文选题：信息不对称 + 连续型保险契约　；参考：《系统工程理论与实践》2017年04期

【摘要】：针对信息不对称条件下保险市场上普遍存在的逆向选择和道德风险问题,假定风险类型和努力水平均连续的情形下基于委托代理理论分别建立了纯逆向选择模型、纯道德风险模型,并在二者的基础上给出了连续型保险契约的混合模型,研究了各模型所对应的保险契约的性质和所达到的保险程度.研究指出:当仅存在逆向选择时,随着代理人风险的提高,最优保险契约要求其交纳的保险费率严格单调递增,委托人需要赔偿的比例也是严格单调递增的;当仅存在道德风险时,最优保险契约要求代理人所受的实际损失是意外事件造成损失的递增函数,而最优保费小于损失的期望值;当同时存在逆向选择和道德风险时,最优保险契约要求部分保险,与单独存在道德风险时相比,代理人的努力水平严格减少,所得效用严格降低.
[Abstract]:Aiming at the problems of adverse selection and moral hazard in the insurance market under the condition of asymmetric information, a pure reverse selection model is established based on the principal-agent theory under the assumption that the risk types and the level of effort are continuous. On the basis of pure moral hazard model, the mixed model of continuous insurance contract is given, and the nature and degree of insurance contract corresponding to each model are studied. It is pointed out that when there is only adverse selection, with the increase of agent risk, the premium rate required by the optimal insurance contract is strictly monotone increasing, and the proportion of the principal's compensation is strictly monotone increasing; When there is only moral hazard, the optimal insurance contract requires that the actual loss suffered by the agent is an incremental function of the loss caused by the accident, while the optimal premium is less than the expected value of the loss; when there is both adverse selection and moral hazard, the optimal premium is less than the expected value of the loss. The optimal insurance contract requires partial insurance. Compared with the individual existence of moral hazard, the agent's level of effort is strictly reduced, and the efficiency of the agent is strictly reduced.
【作者单位】：中南大学商学院;
【基金】：国家自然科学基金(71372061) 国家社会科学基金(14BGL196) 湖南省自然科学基金(14JJ2017) 湖南省人文社会科学基金(12YBA331)~~
【分类号】：F224;F840

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