【作者】 葛良骥；

【导师】 张庆洪；

【作者基本信息】 同济大学 ， 技术经济及管理， 2008， 博士

【摘要】 近年来,巨灾事件给人类社会造成了巨大损失。传统保险机制在管理巨灾风险时遇到巨大挑战。尽管私人部门在巨灾风险管理方面尝试了种种小同的创新机制,一定程度上拓展了承保能力,但这并没有从根本上解决私人巨灾市场失灵的问题。当私人部门无法有效管理巨灾风险时,公共部门的干预是一种自然的选择。政府干预能够有效解决私人巨灾市场的问题,并在一定程度上实现社会福利的改进。公共干预的这些效果使得建立公共/私人部门合作的混合巨灾风险管理计划成为管理巨灾风险的一种理想模式,而如何选择有效的公共干预形式,以及如何确立混合巨灾风险管理计划中公共和私人部门的风险分担问题是混合巨灾风险管理研究中的核心问题。因此本文采取定性和定量分析相结合,分析巨灾风险管理中不同公共干预形式的效果,以及混合巨灾风险管理计划中的风险分摊问题,以期对建立我国混合巨灾风险管理计划有所贡献。围绕上述研究议题,本文首先讨论私人部门下巨灾风险的可保性标准问题,总结私人巨灾风险转移的渠道、创新机制,阐述私人巨灾市场失灵现象;其次,本文从供给和需求双方面系统分析私人巨灾市场失灵的原因,论述巨灾风险管理公共干预的重要性和目的所在。继而总结巨灾风险管理中政府不同的干预形式,详细分析不同干预形式的效果及优劣。至此,在前述研究结论的基础上,从理论和实践两个层面探讨混合巨灾风险管理计划的构建,分析公共和私人部门之间的风险分配问题,并特别关注信息不对称的影响;实践方面,考察、比较不同国家的混合巨灾风险管理计划,总结不同组织模式需要的背景条件和一般原则,并最终对建立我国混合巨灾风险管理提出设想和建议。论文的研究及其结论主要可以分为以下几部分:1.系统总结私人部门的巨灾风险转移机制,提出了私人巨灾市场失灵存在于供给和需求两方面。分析私人巨灾失灵的原因。提出了相互机制下的事后违约问题,并借鉴Kocherlakota(1996)的重复博弈模型,在一个动态框架下分析了相互机制风险分配的违约风险和退出威胁。研究结论表明:如果参与成员没有足够的远见,就有可能在当期选择违约,且当事后分摊的损失增大时,相互分摊机制存续的可能性就越小,这符合国外巨灾市场的经济现实。针对近期文献中提出了巨灾风险全球分散的创新思路,指出基于大数定律假设前提的研究的局限性,基于一个稳定分布的研究思路,并借助控制不等式理论,重新研究巨灾的集合分散效应,指出全球分散的不足之处,研究结论在一定程度上解释了私人保险公司不愿主动承担巨灾风险的原因。在巨灾保险需求方面,总结了巨灾保险需求中的反常现象,提出心理因素是影响巨灾保险需求不足的重要原因。由此在行为金融学的分析框架下,讨论心理因素对巨灾保险需求的影响。通过对相关文献的综述,总结了基于目标的巨灾保险需求决策模式,提出了基于该决策模式的解释思路。2.分析不同公共干预模式对私人巨灾市场的影响。继续在前述重复博弈的框架下引入政府惩罚机制,讨论了其解决违约问题的效果和对风险分配的影响。结论表明惩罚机制能够有效解决相互分配下的违约风险,实现风险的帕累托优化配置,且不会改变私人部门风险配置的基本原则。通过一个简单的图形分析框架讨论了财政补贴中保费补贴和管理费补贴两种模式在不同前提下的区别,发现如果采取固定金额的财政补贴,则保费和管理费两种模式没有区别,而如果采用比例补贴,则保费模式要优于管理费模式。系统总结了文献中关于逆选择市场下的强制保险问题。对于强制保险,综述总结了不同文献中提出的均衡概念,指出了强制保险和自愿附加险结合的方式能够实现M&S均衡。因而是解决巨灾保险需求且不影响私人部门资源分配的有效干预形式。对于政府救济问题,拓展了Kim & Schlesinger(2005)的研究框架,在考虑政府救济的资金来源的前提下,分析逆选择市场上不同形式的政府救济对巨灾保险市场均衡的影响,提出旨在补贴低收入群体的政府救济原则。3.在混合巨灾风险管理计划的构建中,提出政府/私人部门之间的风险分担是其成功的关键。借鉴Michel-Kerjan(2006)的分析思路,在期望效用的分析框架下讨论了混合巨灾风险管理计划中政府/私人部门之间的风险分摊问题,提出了基于不同资金成本的保费和风险分配问题。结论表明,在基本的原则上私人部门的分保比例随巨灾保险费率的上升而下降。如果考虑信息不对称的影响,则政府的保费策略依赖于其资金成本。当资金成本上升时,政府可以提高保费也可以降低分保的上限,强制要求私人部门承担更多的风险。比较不同国家混合巨灾风险管理计划的实践经验,总结不同组织形式需要的背景条件和优缺点,并对建立我国混合巨灾风险管理计划提出建议。本文的主要创新之处如下:1.系统分析私人巨灾市场失灵的原因。在供给方面,动态框架下分析了相互原则下的退出机制和巨灾风险的全球分散问题。需求方面,系统总结了基于行为金融视角的保险需求决策。不少研究提到了私人巨灾市场失灵问题,但几乎没有文献系统定量分析私人巨灾市场失灵的原因。本文第三章首次从供给和需求两方面系统论述了私人巨灾市场失灵的原因。在重复博弈的动态框架下发现,成员公司的事后违约和退出是导致相互机制失灵的重要原因。而资本市场不完美、巨灾风险的厚尾特征等等也大大降低了私人部门为巨灾风险提供资金的意愿,影响了私人部门机制创新的实际效果。从行为金融的角度,个人的非理性决策和非经济性质的目标决策模式是导致巨灾保险需求不足的重要原因。2.总结并定量分析不同公共干预模式对巨灾保险市场的影响,分别分析了惩罚机制、财政补贴模式以及政府救济对巨灾保险市场均衡的影响。继续第三章的博弈模型分析政府惩罚机制对相互分配机制存续性和风险分配形式的影响,发现惩罚机制能够协助实现风险的帕累托最优分配,且分配形式仍然服从相互原则;利用图形分析框架,分别讨论了保费补贴和管理费补贴的差异,发现固定金额的前提下,两种模式没有差异,而如果采用比例补贴模式,保费补贴能起到更好的激励作用。在考虑资金来源的前提下,讨论逆选择市场上政府救助对巨灾保险的替代效应,提出了政府救助和补贴水平的合理区间,选择合理的补贴和救济水平可以实现对低收入人群的补贴,且不影响高收入人群的保险需求。3.定量分析混合巨灾风险管理计划中公共和私人部门之间的风险分配问题以及信息不对称的作用。本文第五章讨论了混合巨灾风险管理计划的构建问题。与绝大多数定性论述的文献不同,本文通过一个博弈模型讨论了公共和私人部门之间的风险分配问题,特别关注了信号传递对政府保费和风险分担限额策略的作用,同时考虑了政府注资的资金成本对混合巨灾风险管理计划中两部门风险分摊结果的影响。在仅考虑商业保险和公共部门的前提下,如果资金成本足够低,则政府应该制定低费率,而当资金成本上升时,政府可以提高保费也可以降低商业保险公司风险转移的上限,以确保私人部门风险承担比例。更多还原

【Abstract】 Catastrophe risk has brought great losses to the world, and the traditional insurance mechanism is now facing great challenges in managing catastrophe risk. Although the private sector has tried to develop several of innovations in order to expand the insurance coverage, but they don’t solve such dilemmas of private catastrophe market failure. Such failures have led to the discussion of public intervention of catastrophe risk management which is a natural choice when private market can not solve the problem by itself. The public-private cooperation is an efficient way to manage catastrophe risks. How to make the correct decisions from different options of public intervention, together with the risk sharing between the two public and the private sectors are the key successful issues of the integrated catastrophe risk management. Under such background, this thesis analyzes the results of different public interventions in catastrophe risk management, as well as the risk sharing between the public and the private sectors in the integrated catastrophe risk management, and hopes it can give some insights to the organization of the catastrophe risk management mechanism in China.This thesis firstly discusses the insurability standards of catastrophe risks, concludes the risk transfer channels in private catastrophe risk market as well as its’ innovations, and the phenomena of private catastrophe insurance market failure. It then analyzes reasons leading to the private catastrophe market failure from both supply and demand sides, so as to interpret the importance of public intervention. The second section of the thesis then focuses on the results of various public interventions using economic analysis, and the optimal risk sharing between the public and private sectors. After the theoretical analysis, the thesis then compares public-private catastrophe risk management models of different countries in the practice, concludes the conditions for different forms of models. The last section then gives some advices to the integrated catastrophe risk management in China. The main contents of the thesis are as follows:1. Systematically sums up the risk transfer mechanisms of private sector catastrophe, and points out that private catastrophe market failure exits in both supply and demand sides. In the analysis of the reasons for the private catastrophe failure, the thesis discusses the ex post default in mutual principle under a dynamic framework by the repeat game model of Kocherlakota (1996) . Our results show that if the members are myopic, then the mutual firm may not be able to exit, and its probability of existence decreases with the lossest the members should pay after the catastrophe event. These results corresponds the economic reality in the catastrophe market.The work points out the limitations of the research of the global diversification of catastrophes based on the law of large numbers. It then reanalyzes the cross section diversification of catastrophes under a frame work of stable distribution and majorization theory. The results find out the limitation of cross section diversification among independent catastrophe risks and partly explain why private insurance firms do not want to offer catastrophe coverage.On the demand side, the thesis sums up the anomalies at the catastrophe demand side, and give the argument that psychological issues are key factors affecting the catastrophe insurance demand. It then shows a framework of behavioral economy, and sums up a target decisions process. It argues that such a decision making process can explain anomalies during catastrophe insurance demand to some extent.2. Thesis analyzes the influence of different public interventions on the private catastrophe insurance market. Still under the framework of repeat game model in private section, it analyzes the role of public punishment in the existence of mutual principle, and the results show that public punishment can help to solve the default risk under mutual principle without affect the optimal risk allocation in the private catastrophe market.The discussion of government subsidiary shows that there is no difference between premium subsidiary and management fees subsidiary. But when the subsidiary is a proportion of the premium, then the form of premium subsidiary takes advantage of the form of management fees.It systematically sums up the compulsory insurance under the market with adverse selection. It gives the different equilibrium under adverse selection, and shows that the combination of compulsory insurance and private addition coverage can lead to the M&S Subsidiary equilibrium. Compulsory insurance is the effective way to solve the catastrophe insurance demand and without changing the Pareto risk allocation of private insurance sectors.As for the government relief, the thesis expand the research of Kim & Schlesinger in 2005 by analyzing the effect of government relief on the market equilibrium with adverse selection considering the resources and costs of government funds, and found the basic principle of government relief which aims at helping those with low incomes.3. In the research of the organization of integrated catastrophe risk management, the thesis arguments that risk sharing between public and private sectors is the key successful factor of the whole mechanism. The thesis follows the way of Michel-Kerjan (2006) , considers the optimal risk sharing in the integrated catastrophe risk management in an expected utility framework. The results show that the optimal decision depends on funding cost of the government. When the cost increases, the government can increase the premium or decrease the upper limit of the private sectors’ risk transfer to force the private sector to share more risk.After comparing various integrated catastrophe insurance pool in different countries, the thesis gives some advices to the organization of Chinese catastrophe insurance pool.The main innovations of the thesis are as follows:1. Systematic analysis of the reasons of private catastrophe market failure. Many articles have mentioned the private catastrophe market failure, but very few of them die the work of systematic and quantitative analysis of it’s reasons. The third section of the thesis is the first to analyze the reasons of private catastrophe market from both supply and demand sides. On the supply side, the thesis discusses the ex post default and exit threats of the mutual principle using a repeated game model, and then analyzes the limitation of global diversification of catastrophe risks under a framework of stable distribution.2. Sums up the effect of various public interventions on the catastrophe insurance e market. Almost all the articles in China are focusing on the efficiency comparison of government relief and the ex ante financing of catastrophe risks by catastrophe risk pool, but none of them have discussed the effects and efficiency of various public interventions using quantitative methods. The fourth section of the work firstly sums up the (dis) advantages of various public interventions, and then analyzes the effects and efficiency of those interventions. Continuing the repeated game model in the third section, it discusses the effect government punishment on the market equilibrium and risk sharing in the mutual principle. It then analyzes the efficiency of different financial subsidiaries as well as the effect of government relief on the catastrophe insurance market with adverse selection.3. The analysis of optimal risk sharing between public and private sectors in the integrated catastrophe risk pool. As the key factor of integrated catastrophe risk pool is the reasonable risk sharing between government and private sectors, the fifth section of the thesis discusses above question in a model with game theory. The quantitative method is the most important improvement of this thesis in comparison with other articles in this area; the model especially focuses on the impact of information on the optimal risk allocation as well as the role of funding cost of the government.更多还原