存在道德风险的医院等级选择与最优公共医疗保险合同

通过构造一个医疗服务系统的均衡模型,分析了医院等级、居民道德风险与最优公共医疗保险合同之间的关系。研究表明只存在公共医疗保险体系时,如果政府部门之间缺乏协调机制,各自为政,中国的公共医疗保险支付方式将不能实现社会最优并消除道德风险;公共医疗保险合同可能引起社会福利的损失或引致道德风险。政府应该完善医院评价系统,对不同医院的水平给予准确的评级,特别是要建立起政府各部门之间的协调机制;理顺医疗服务价格体系;鼓励更多市场参与主体进入医疗保险领域,建立合理的疾病风险分担机制。     

Optimal Insurance Under Random Auditing

We provide a characterization of an optimal insurance contract (coverage schedule and audit policy) when the monitoring procedure is random. When the policyholder exhibits constant absolute risk aversion, the optimal contract involves a positive indemnity payment with a deductible when the magnitude of damages exceeds a threshold. In such a case, marginal damages are fully covered if the claim is verified. Otherwise, there is an additional deductible that disappears when the damages become infinitely large. Under decreasing absolute risk aversion, providing a positive indemnity payment for small claims with a nonmonotonic coverage schedule may be optimal.     

Valuing Mortgage Insurance Contracts in Emerging Market Economies

We develop a new option-based method for the valuation of mortgage insurance contracts in closed form in an economy where agents are risk neutral. While the proposed valuation method is general and can be used in any market, it may be particularly useful in emerging market economies where other existing methods may be either inappropriate or are too difficult to implement because of the lack of relevant data. As an application, we price a typical Serbian government-backed mortgage insurance contract.     

The Design of Optimal Insurance Contracts: A Topological Approach

This article deals with the optimal design of insurance contracts when the insurer faces administrative costs. If the literature provides many analyses of risk sharing with such costs, it is often assumed that these costs are linear. Furthermore, mathematical tools or initial conditions differ from one paper to another. We propose here a unified framework in which the problem is presented and solved as an infinite dimensional optimization program on a functional vector space equipped with an original norm. This general approach leads to the optimality of contracts lying on the frontier of the indemnity functions set. This frontier includes, in particular, contracts with a deductible, with total insurance and the null vector. Hence, we unify the existing results and point out some extensions.     

On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity

In this paper, we consider a novel approach for the fair valuation of a participating life insurance policy when the dynamics of the reference portfolio underlying the policy are governed by an Asymmetric Power GARCH (APGARCH) model with innovations having a general parametric distribution. The APGARCH model provides a flexible way to incorporate the effect of conditional heteroscedasticity or time-varying conditional volatility and nests a number of important symmetric or asymmetric ARCH-type models in the literature. It also provides a flexible way to capture both the memory effect of the conditional volatility and the asymmetric effects of past positive and negative returns on the current conditional volatility, called the leverage effect. The key valuation tool here is the conditional Esscher transform of Bühlmann et al. (1996, 1998). The conditional Esscher transform provides a convenient and flexible way for the fair valuation under different specifications of the conditional heteroscedastic models. We illustrate the practical implementation of the model using the S&P 500 index as a proxy for the reference portfolio. We also conduct sensitivity analysis of the fair value of the policy with respect to the parameters in the APGARCH model to document the impacts of different conditional volatility models nested in the APGARCH model and the leverage effect on the fair value. The results of the analysis reveal that the memory effect of the conditional volatility has more significant impact on the fair value of the policy than the leverage effect.     

Optimal Insurance Design Under a Value-at-Risk Framework

This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small strike price, a short call option with a large strike price, and a short cash-or-nothing call option. Additionally, this study also calculates the optimal insurance levels for these models when we restrict the indemnity to be one of three common forms: a deductible policy, an upper-limit policy, or a policy with proportional coinsurance. JEL Classification No: G22     

Optimal proportional reinsurance from the point of view of cedent and reinsurer

In the reinsurance market, the cedent and the reinsurer make their subjective evaluations of the utility and riskiness of the financial operations covered by a treaty by deriving preference rankings of the different kinds of agreements. If both the cedent and the reinsurer evaluate the operation underlying the treaty by means of their utility functions and adopt the criterion based on the comparison between the expected utilities in order to take into account the subjective attitude toward risk, then the indifference prices play a crucial role because they define the preference thresholds of the exchange, thus restricting the range of variability of the reinsurance price. By using an analytical approach, this paper examines the above problem identifying the margins for achieving Pareto-optimal solutions in trading insurance risks.     

Full Insurance, Bayesian Updated Premiums, and Adverse Selection

In the classic Rothschild-Stiglitz model of adverse selection in a competitive environment, we analyse a no-claims bonus type contract (bonus-malus). We show that, under full insurance coverage, if the insurance company applies Bayes's rule to learn about client probability types over time and uses this information in premium calculations for contract renewals, then there exist conditions under which all client types strictly prefer the Bayesian updating contract to the classic Rothschild-Stiglitz separating equilibrium.     

Long-Term Care Insurance and Life Insurance Demand

This article investigates the interaction between life insurance and long-term care insurance markets on the demand side. In the model utility depends on both consumption and bequest, and utility from consumption is contingent on the state of health. While the demand for life insurance increases both with decreasing income and with a rising degree of altruism, the influences of these two parameters on the demand for long-term care insurance are ambiguous. If the utility shock arising from disability declines, both insurance demands will rise.     

The Design of an Optimal Area Yield Crop Insurance Contract

This article focuses on the design of a crop insurance contract when the indemnity is based on the aggregate yield of a surrounding geographical area. Coinsurance under a critical yield often provides an efficient sharing of systemic risk. Under a linear relationship between individual yield and aggregate yield, the optimal form depends on the individual beta coefficient, which measures the sensitivity of individual yield to aggregate yield. The optimal hedging position of the producer on the yield options market is to buy put options or call options depending upon whether his beta coefficient is positive or negative.     

Automobile Insurance Contracts and Risk of Accident: An Empirical Test Using French Individual Data

Insurance has for a long time been perceived as a way of transferring responsibility from insured agents to insurers and thus as potentially influencing insured agents' behavior. Two particular opportunistic behaviors have been analyzed. First, the theory of adverse selection predicts that high-risk agents are likely to demand more insurance than are low-risk agents. Second, the theory of moral hazard predicts that the wider the insurance coverage, the less agents will try to prevent accidents. Both theories thus conclude that agents who are totally insured should have a higher probability of accident than those with only partial insurance, ceteris paribus. Nevertheless, one of the aims of insurance rating systems is to control for these opportunistic behaviors. In this article, we use individual data to see if the French automobile insurance rating system has achieved this aim. We do this using a two-step maximum-likelihood method. First, we compute a probit model to estimate the probability of taking out comprehensive versus third-party insurance. We then calculate the generalized residual, which is included as an independent variable in a negative binomial model estimating the probability of having an accident. The coefficient of this variable is argued to represent adverse selection and ex-ante moral-hazard behavior.     

新《保险法》中"保证保险"的风险及其防范

新《保险法》财产保险业务中新增加了保证保险,然而并没有对保证保险的定义、性质、适用范围及合同相关内容做明确规定。因此,正确认知保证保险与普通财产保险的区别,把握保证保险在我国实施过程中可能面临的各种风险具有积极意义。防范保证风险应从完善保证保险立法和监管制度、提高保险公司对保证保险的专业管理操作能力、创新相关产品、加强银保合作和信用环境建设等方面落实。     

Pareto Index Estimation Under Moderate Right Censoring

Real claim data sometimes are censored from above at a high value induced by the sum insured. In this note we examine the behaviour of extreme-value methods in such settings and propose an adaptation of the popular Hill (1975) estimator. It is argued that the censoring typically cannot exceed 5% for an effective use of the methods suggested.     

Efficient Insurance Contracts under Epsilon-Contaminated Utilities

This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if both agents have strictly concave utility index, then if the insurer is less uncertainty averse than the insured, he provides a full insurance contract above a deductible for high values of the loss.     

巨灾保险可负担性研究

本文对比研究了巨灾保险的三种可负担性定义,分别是参考法定义、规范性定义、有效需求定义,并对其划分办法在巨灾保险中的应用进行了探讨。参考法定义简单直观但是划分结果却比较模糊,规范性定义和有效需求定义分别从收入分配和代表性群体的保险需求为划分依据定义可负担性,后两者结果比较精确且各有优劣。通过问卷调查得到的结论更支持有效需...     

互联网保险合规性问题研究

"互联网+保险"的科技融合孕育了互联网保险业务,而作为新兴事物,互联网保险的合规性问题一直是监管的难题。本文分析了我国互联网保险主客体界定与社会普遍认知撕裂、统一监管与碎片化运营方式相互排斥、合同生效要式与契约必要流程难以完备、信息数据集合高需求与网络安全强治理目标不一致、类保险衍生物创新与监管范围划定进退失据等五大合规性问题,并结合发达国家经验与我国实际,提出了对应的政策建议。     

相依风险下保险公司投资信息安全软件的最优决策分析

网络信息安全保险已经成为企业转移安全风险的最主要工具之一,为了探索保险公司主动参与风险防范对网络安全水平的影响,本文设计了网络信息安全保险公司对被保险企业安全软件投资的均等、最重要和按比例三种策略机制,研究在强相依和弱相依的信息安全风险下保险公司在简单情形和复杂情形中的不同投资决策机制,及其对系统效用和风险的影响。研究结果表明,在保险公司投资被保险企业安全软件的三种投资策略下,相比被保险企业不购买保险,被保险企业购买保险可以显著地提高期望效用,并且整个系统的网络安全水平逐渐提高,但是整个系统的期望收益随着保险公司投资额的增加而降低。此外,在简单情形中,保险公司在不同的投资策略下存在不同的最优投资决策,且在均等投资策略和弱相依风险下系统各主体效用和风险水平均最高;在复杂情形中,在弱相依风险和最重要投资策略下整个系统具有较高的期望和较低的风险水平,说明复杂情形的网络信息安全保险系统存在涓滴效应。     

强制责任保险与无过失保险可否兼容?——台湾的经验与大陆的教训

强制责任保险与无过失保险是机动车强制保险的两种模式,二者在保险原理、保障范围及运作机制等方面都有较大不同。与大多数强制责任保险立法不同,我国台湾地区《强制汽车责任保险法》在强制责任保险的框架内吸收了无过失保险的经验,规定了保险公司的无过失赔偿责任,并已被实践证明运行良好。然而,《道路交通安全法》第76条强制责任保险与无过失保险结合的规定却遭到了质疑。因此,有必要探讨强制责任保险与无过失保险的兼容性问题。     

保险法中转让问题研究

2009年2月28日,第十一届全国人民代表大会常务委员会第七次会议对保险法进行了修订,其中新增的关于保险合同随保险标的转让的规定引人瞩目。然而,何为保险标的转让,保险合同的转让是否需要被保险人和受让人达成协议,保险合同转让后保险人如何管理风险,保险合同转让能否替代保险金请求权转让等问题都需要进一步澄清。本文对此进行了探讨,并提出了自己的看法。     

社会医疗保险、自我保护与商业健康保险

基于消费者保险需求理论,采用中国家庭金融调查（CHFS）数据,分析了社会医疗保险、自我保护与商业健康保险之间的关系。结果表明：社会医疗保险抑制了商业健康保险的发展,显著减少了自我保护支出;自我保护促进了商业健康保险的发展。鉴于此,政府应制定合理的封顶线及报销比例以提供适度的基本医疗保险保障水平,商业保险公司应提供差异化的健康保险以补充社会医疗保险,政府及保险公司应鼓励自我保护投资以促进商业健康保险发展。