学习模型中的保险缺失

发布时间：2018-07-03 06:21

本文选题：保险缺失 + 信息不对称　；参考：《复旦大学》2014年硕士论文

【摘要】：这篇文章研究在动态环境下,风险资产持有者和完全竞争的保险发行者们之间签订短期保险合约的互动。作为保险合约标的物的风险资产,其真实质量在初期对双方而言都未知的,因此双方都必须通过观察资产每一期的实现产出大小来学习其真实质量。在这个动态环境里,一个关键因素是风险资产持有者可以控制保险发行者的学习过程。具体来说,风险资产持有者可以通过在某一期不购买保险合约来向保险发行者隐藏当期的实现产出,而实现产出又是包含了有关资产真实质量的有效信息的一个信号。我深入分析了在这种设定下,风险资产持有者可以如何创造对自己有利的私人信息,而保险发行者又可以如何通过设计恰当的激励相容保险合约来缓解信息不足。借此模型,我证明了保险缺失——在模型中表现为风险资产持有者在某些时期选择不购买保险合约——可以是风险资产持有者本身的效用最优化问题产生的均衡结果。直觉的解释是,在某些时期,对于风险资产持有者而言,向保险发行者隐藏其资产可能是最优的。目的是为了避免过早恶化保险发行者对其资产质量的看法。已有文献大多将保险缺失归因于保险发行者的市场力量,而我的结论可以作为理论层面上的有效补充。
[Abstract]:This paper studies the interaction of short-term insurance contracts between venture asset holders and fully competitive issuers in a dynamic environment. As the subject matter of insurance contract, the real quality of risk assets is unknown to both parties at the beginning, so both parties must observe the real quality of each period of assets. In this dynamic environment, a key factor is that risky asset holders can control the learning process of insurance issuers. Specifically, the risk asset holder can hide the current realization output from the insurance issuer by not buying the insurance contract in a certain period, and the realization output is a signal that contains the effective information about the real quality of the asset. I delved into how the risky asset holder could create private information to his advantage, and how the issuer could mitigate the lack of information by designing the appropriate incentive compatible insurance contract. With this model, I have proved that the loss of insurance in the model, in which the holder of a risky asset chooses not to purchase an insurance contract at some point, can be the equilibrium result of the utility optimization problem of the holder of the risky asset itself. The intuitive explanation is that hiding assets from insurance issuers may be optimal for risky asset holders at some point. The aim is to avoid prematurely worsening insurance issuers' perceptions of the quality of their assets. Most of the existing literatures attribute the lack of insurance to the market power of the insurance issuers, and my conclusion can be used as an effective supplement in theory.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F842

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