论文标题
差异合同
Variance Contracts
论文作者
论文摘要
我们研究了一份最佳保险合同的设计，其中被保险人最大化她的预期公用事业，保险公司限制了他的风险敞口差异，同时保持赔偿原则并根据预期价值原则向保费收取溢价。我们以半分析来得出最佳策略，当方差结合结合时，它比可扣除额高于免赔额。该政策会自动满足激励兼容的条件，这对于排除事后危害至关重要。我们还发现，仅当合同定价在精算上是公平的时，就缺乏免赔额。为了关注精算公平的案例，我们对被保险人的初始财富的影响以及差异对保险需求的影响进行了比较静态。我们的结果表明，对于较富裕的被保险人来说，预期的覆盖范围总是更大的，这意味着基本保险是正常的商品，这支持了某些最近的经验发现。此外，随着差异约束的收紧，审慎的CEDES的被保险人更少的损失，而保险公司则面临较小的尾巴风险。
We study the design of an optimal insurance contract in which the insured maximizes her expected utility and the insurer limits the variance of his risk exposure while maintaining the principle of indemnity and charging the premium according to the expected value principle. We derive the optimal policy semi-analytically, which is coinsurance above a deductible when the variance bound is binding. This policy automatically satisfies the incentive-compatible condition, which is crucial to rule out ex post moral hazard. We also find that the deductible is absent if and only if the contract pricing is actuarially fair. Focusing on the actuarially fair case, we carry out comparative statics on the effects of the insured's initial wealth and the variance bound on insurance demand. Our results indicate that the expected coverage is always larger for a wealthier insured, implying that the underlying insurance is a normal good, which supports certain recent empirical findings. Moreover, as the variance constraint tightens, the insured who is prudent cedes less losses, while the insurer is exposed to less tail risk.
