保险市场若干非对称信息问题的博弈分析

【作者】 程振源；

【导师】 高鸿桢；

【作者基本信息】 厦门大学 ， 统计学， 2003， 博士

【摘要】 本文运用博弈理论研究了保险市场上的若干非对称信息问题。全文共分三部分。 第一部分即第一章，主要阐述了风险厌恶假设的实验基础和保险的三种基本形式。 第二部分由第二、第三和第四章组成，主要阐述了对称信息与非对称信息条件下均衡保单的博弈理论。第二章首先较为详细地介绍了分析逆向选择问题的常用工具——状态空间图，然后利用此工具分析了各种市场结构下均衡保单的性质以及消费者剩余的分割情况。第三章阐述了逆向选择条件下的均衡保单，包括混同均衡保单、分离均衡保单、多期分离均衡保单并分析了它们的均衡性。第四章阐述了道德风险条件下的均衡保单。 第三部分由第五、第六、第七和第八章组成，是本文的重点内容。本部分分别运用状态空间图和博弈理论研究了风险分类和费率监管的效应、最大诚信原则和保险欺诈等问题。 第五章重点比较了不完全分类条件下两种不同分类方案(风险评估机构进行的风险分类和保险公司独立进行的风险分类)的效应。研究结果表明，对于规模较小的保险公司，由于其分类准确性较低，分类成本较高，因此这些保险公司宜求助于风险评估机构进行风险分类；对于规模较大的保险公司，当其在准确性方面的优势超过其在成本方面的劣势时，宜自己独立进行风险分类，否则宜求助于风险评估机构进行风险分类。鉴于我国保险公司的规模较小，本文建议，在我国有必要建立起独立于保险公司的风险评估机构。 第六章首先研究了费率监管的短期效应与长期效应。研究结果表明，从短期来看，费率监管是有效的，但从长期来看则是无效的；然后研究了逆向选择条件下保险公司对市场变化的反映能力。研究结果表明，费率监管削弱了保险公司对市场变化的反映能力，使保险费率的调整滞后于市场变化，导致保险公司利润波动。此外，费率监管的一个严重负面效应是致使高低风险投保人的福利遭受损失。有鉴于此，本文认为，在我国有必要实行保险费率的市场化。 第七章从博弈论的角度重点研究了保险公司对投保人是否如实告知的最优调查战略与最优赔付战略。首先，本文研究了信息完全不对称条件下保险公司的最优调查战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行确定性调查。其次，本文研究了信息部分不对称条件下保险公司的最优调查战略和最优赔付战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行随机性调查；保险公司的最优赔付战略是：若通过调查发现投保人不诚信，则保险公司不应赔付且不应退还保费。这正是我国《保险法》第十七条第三款之规定。 第八章从博弈论的角度重点研究了在保险欺诈条件下保险公司的最优调查战略与最优赔付战略。首先阐述了有成本状态证实条件下最优均衡保单的性质，然后探讨了有成本掩盖条件下均衡保单应具有的性质。研究结果表明，在保险金是投保人虚报损失的线性函数这一条件下，如保险公司无法调查保险事故的真相，则最优均衡保单要求:当保险事故损失较小时，保险公司应给予过度保险;当保险事故损失较大时，保险公司则应给予部分保险，即让投保人分担一部分风险，以阻止投保人故意夸大保险事故的损失。更多还原

【Abstract】 Using the game theory, this dissertation focuses on some asymmetrical information issues on the insurance markets. It is organized as follows:The first part, including one chapter, presents the experimental foundation of risk-aversion assumption and the three basic forms of insurance.The second part, including three chapters, presents the game theory of asymmetrical information on insurance markets. In chapter two, firstly, we introduce the state-space diagram in detail, which is the main tool to study the adverse-selection issues. Secondly, we analyse the properties of the insurance policies at equilibrium and the allocation of the customer’s surplus in various market structures. In chapter three, we examine the pool insurance policies, the separate insurance policies and their equilibria conditions in the presence of adverse selection, and then we examine the properties of the multi-period insurance policies. In chapter four, we examine the equilibrium policies in the presence of moral hazard.The third part, including four chapters, is the key content of this dissertation. In this part, using the state-space diagrams and the game theory, we study the effects of risk classfication and rate regulation, principle of utmost good faith, insurance fraud etc.Chapter five focuses on the effect comparison of two classfication schemes-the rating-institution scheme and the independent scheme under the imperfect classfication. The analysis reveals that the little scale insurers should employ the rating-institution classifications, due to their low accuracy and high cost, and that the large firms ought to employ the independent scheme when their accurate advantage overcomes the institution’s cost advantage. The findings suggest that it is essential to establish risk-rating institution in our countryIn chapter six, firstly, we study the short-term and the long-term effects of the rate regulation. The researsh results indicate that rate regulation iseffective in the short term, but is ineffective in the long run. Secondly, we study the abilities of insurance company to respond to the markets in the presence of advese selection. The findings reveal that the rate regulation weakens the abilities of insurance company to respond to the changing markets, makes the company’s rate adjustment lag behind the markets change, and results in company’s profits fluctuating. Besides, a serious negative effect of rate regulation is that the policy holders’ welfares suffer loss. In view of this, it is necessary that the rate should be determined by the markets in our country.In chapter seven, using the game theory, we study the optimal investigation strategies and the optimal payment strategies, depending on the facts that whether the policyholders tell the truth about the their risk. Firstly, we study the optimal investigation strategies of the insurance company under complete asymmetrical information conditions. The research results reveal that under this conditions the optimal investigation strategies of insurance company are: for the claim of policyholder who has purchased the low-risk insurance policies, the company should carry out deterministic investigation. Secondly, we study the optimal investigation strategies and the optimal payment strategies of insurance firms under partial asymmetrical information conditions. The research results indicate that under this conditions, the optimal strategies of the insurers are: for the claim of policyhloder who has purchased the low-risk insurance policies, the insurers should carry out random investigation; if the policyhloder is bad faith, the company should not pay the average and not return the premium to the insured. This is just the stipulation of clause seventeen in "Insurance Law".In chapter eight, using the game theory, we study the optimal investigation strategies and the optimal payment strategies under insurance fraud. Firstly, we study the properties of equilibrium policies under the costly state verification and costly state falsification conditions. The resear更多还原