具扩散项的带免赔额的Erlang(2)问题的破产概率

本文从具有扩散项的模型出发,最终在个体理赔额服从Erlang(2)分布情形下利用解高阶微分-差分方程和鞅的办法得到了与免赔额d有关的原、再保的相应破产概率ψ(u)以及调节系数的表达公式。所得结果不仅仅直接的推广了文献[7]的相关结论,尤其在再保险的场合下研究该模型的文献还不多见,而且在保险资金可以入市的经济背景下也是具有现实意义的。     

MORAL HAZARD AND DYNAMIC INSURANCE DATA

This paper exploits dynamic features of insurance contracts in the empirical analysis of moral hazard. We first show that experience rating implies negative occurrence dependence under moral hazard: individual claim intensities decrease with the number of past claims. We then show that dynamic insurance data allow to distinguish this moral‐hazard effect from dynamic selection on unobservables. We develop nonparametric tests and estimate a flexible parametric model. We find no evidence of moral hazard in French car insurance. Our analysis contributes to a recent literature based on static data that has problems distinguishing between moral hazard and selection and dealing with dynamic features of actual insurance contracts. Methodologically, this paper builds on and extends the literature on state dependence and heterogeneity in event‐history data. (JEL: D82, G22, C41, C14)     

保险需求悖论的解释——来自中国汽车险市场的实证研究

经典的保险需求模型认为绝对风险规避系数递减时保险是一个劣质品,也就是说保险需求会随着财富水平的上升而下降,但这一结论与许多现实的保险行为不符。本文从损失和财富的关系角度出发对经典模型进行了扩展,讨论了在损失随财富变化时的保险需求变化,对保险需求的悖论进行了解释。论文还采用国内汽车险市场的微观数据对拓展模型进行了实证研究,结果显示车险投保人的个人财富与其所选择的保险金额、投保比率以及索赔金额之间存在着显著的正相关关系,检验表明模型的假设和结论具有很好的解释现实的能力。     

Managing High‐Tech Capacity Expansion via Reservation Contracts

We study capacity reservation contracts between a high‐tech manufacturer (supplier) and her OEM customer (buyer). The supplier and the buyer are partners who enter a ‘design‐win” agreement to develop the product, and who share the stochastic demand information. To encourage the supplier for more aggressive capacity expansion, the buyer reserves capacity upfront by paying a deductible fee. As capacity expansion demonstrates diseconomy of scale in this context, we assume convex capacity costs. We show that as the buyer's revenue margin decreases, the supplier faces a sequence of four profit scenarios with decreasing desirability. We examine the effects of market size and demand variability to the contract conditions. We propose two channel coordination contracts, and discuss how such contracts can be tailored for situations where the supplier has the option of not complying with the contract, and when the buyer's demand information is only partially updated during the supplier's capacity lead‐time.     

产品召回供应链中线性保险合约与订货决策

考虑一个由单供应商和单制造商组成的二级供应链,在不确定市场需求情形下考虑产品召回,站在制造商角度研究供应链线性保险合约下的最优订货决策以及最优线性保险合约决策。研究表明,最优的订货决策与产品召回概率以及线性保险系数相关,存在唯一的最优订货量来最大化制造商的利润。对于密度函数倒数的导数较大的一般需求分布函数,最优的线性保险系数与线性保险合约的固定费用以及产品召回概率有关。当产品召回概率和线性保险合约的固定费用均较小时或者产品召回概率较大但线性保险合约的固定费用适中时,制造商通过选择线性保险合约可以改善自己的利润。     

附免赔额保险协议下的供应链协调分析

针对供应链主体之间的风险转移问题,在批发价格契约的基础上引入了附免赔额的保险协议,明确了损失的定义及其概率分布.探讨了风险厌恶情况下免赔额对决策主体目标函数的影响,并给出了最优值的确定条件.比较分析了风险中性情况下最优订货量的取值,结果表明在一定条件下供应链可以协调;最后通过数值分析的方式研究了相应参数对保险费的影响,为决策者在确定保险协议时提供了决策依据.     

Policy tenure under the U.S. National Flood Insurance Program (NFIP)

In the United States, insurance against flood hazard (inland flooding or storm surge from hurricanes) has been provided mainly through the National Flood Insurance Program (NFIP) since 1968. The NFIP covers $1.23 trillion of assets today. This article provides the first analysis of flood insurance tenure ever undertaken: that is, the number of years that people keep their flood insurance policy before letting it lapse. Our analysis of the entire portfolio of the NFIP over the period 2001-2009 reveals that the median tenure of new policies during that time is between two and four years; it is also relatively stable over time and levels of flood hazard. Prior flood experience can affect tenure: people who have experienced small flood claims tend to hold onto their insurance longer; people who have experienced large flood claims tend to let their insurance lapse sooner. To overcome the policy and governance challenges posed by homeowners' inadequate insurance coverage, we discuss policy recommendations that include for banks and government-sponsored enterprises (GSEs) strengthening their requirements and the introduction of multiyear flood insurance contracts attached to the property, both of which are likely to provide more coverage stability and encourage investments in risk-reduction measures.     

Pricing of Full‐Service Repair Contracts with Learning,Optimized Maintenance,and Information Asymmetry

This article considers the optimal pricing of full‐service (FS) repair contracts by taking into account learning and maintenance efficiency effects, competition from service , and asymmetric information. We analyze on‐call service (OS) and FS contracts in a market where customers exhibit heterogeneous risk aversion. While the customers minimize their disutility over the equipment lifetime, the service provider maximizes expected profits arising from the portfolio of OS and FS contracts. We show that the optimal FS price depends inter alia on the customer's prior cost experience and on OS repair and maintenance costs. The optimal FS price is shown to increase as fewer OS customers are lost to competition, whereas improved repair learning enabled by FS reduces the optimal price. A numerical study based on data from a manufacturer of forklifts highlights the importance of learning in maintenance operations, which constitutes the key benefit of FS contracts; 81% of the customers select the FS option and are willing to pay an insurance premium of around 1.5% of total OS cost against volatility of repair costs.     

Perfect Competition in Markets With Adverse Selection

This paper proposes a perfectly competitive model of a market with adverse selection. Prices are determined by zero‐profit conditions, and the set of traded contracts is determined by free entry. Crucially for applications, contract characteristics are endogenously determined, consumers may have multiple dimensions of private information, and an equilibrium always exists. Equilibrium corresponds to the limit of a differentiated products Bertrand game. We apply the model to establish theoretical results on the equilibrium effects of mandates. Mandates can increase efficiency but have unintended consequences. With adverse selection, an insurance mandate reduces the price of low‐coverage policies, which necessarily has indirect effects such as increasing adverse selection on the intensive margin and causing some consumers to purchase less coverage.     

The Complementary Roles of Mitigation and Insurance in Managing Catastrophic Risks

This paper examines the impact that insurance coupled with specific risk mitigation measures (RMMs) could have on reducing losses from hurricanes and earthquakes as well as improving the solvency position of insurers who provide coverage against these hazards. We first explore why relatively few individuals adopt cost-effective RMMs by reporting on the results of empirical studies and controlled laboratory studies. We then investigate the impact that an RMM has on both the expected losses and those from a worst case scenario in two model cities—Oakland (an earthquake-prone area) and Miami/Dade County (a hurricane-prone area) which were constructed respectively with the assistance of two modeling firms. The paper then explores three programs for forging a meaningful public-private sector partnership: well-enforced building codes, insurance premium reductions linked with long-term loans, and lower deductibles on insurance policies tied to mitigation. We conclude by briefly examining four issues for future research on linking mitigation with insurance.     

机构投资者持股与上市公司违规行为的实证研究

本文采用部分可观测的Bivariate Probit估计方法,对2001年至2009年中国1729家上市公司进行回归检验,发现机构投资者持股比例降低了公司违规行为倾向,同时增加了公司违规行为被稽查的可能性。该结论在控制了机构投资者变量内生性的因素后仍旧稳健。进一步研究表明,相比公司经营违规,机构投资者对信息披露违规倾向的影响更强。另外,相比证券机构投资者,养老保险基金、社保基金、企业年金持股的公司中违规公司比例更低。除此以外,机构投资者对公司违规的抑制与检举作用并不受其它公司治理变量的影响。本文的研究表明中国机构投资者在预防与打击上市公司违规行为方面发挥了重要的作用,并且也为上市公司与监管部门提供了治理和防范企业违规的线索。     

具扩散项的停止-损失再保问题的破产概率

本文在具有扩散项的假定下,研究了原保险公司、再保险公司的破产问题.在索赔随机变量为指数情形,得到了免赔额与破产概率之间的关系,并且得到了如下的结果:1.随机风险模型生存概率的表达公式,从而得到了由扰动导致的破产概率的表达公式.2.分别得到了两类保险公司破产概率的表达公式.所得结果不仅推广了文献[1]的结果,而且使用的方法具有一定的独立价值.     

Medical consultant key to dealing effectively with insurance fraud and abuse.

An unexpected, but everpresent, by-product of the development of the health care insurance industry is the tendency of those using the industry's services to "game" the system. While fraud and abuse in the claiming of insurance benefits are not the only or the most significant cause of steeply rising health care costs, they certainly contribute to the problem. Payers are advised to maintain a sharp eye for potential fraud and abuse and to observe some simple rules for detecting and eliminating them.     

Health care costs: saving in the private sector

Robeson offers a number of options to employers to help reduce the impact of increasing health care costs. He points out that large organizations which employ hundreds of people have considerable market power which can be exerted to contain costs. It is suggested that the risk management departments assume the responsibility for managing the effort to reduce the costs of medical care and of the health insurance programs of these organizations since that staff is experienced at evaluating premiums and negotiating with third-party payors. The article examines a number of short-run strategies for firms to pursue to contain health care costs: (1) use alternative delivery systems such as health maintenance organizations (HMOs) which have cost-cutting potential but require marketing efforts to persuade employees of their desirability; (2) contracts with third-party payors which require a second opinion (peer review), a practice which saved one labor union over $2 million from 1972 to 1976; (3) implementation of insurance coverage for less expensive outpatient care; and (4) the use of claims review. These strategies are compared in terms of four criteria: supply of demand for health services; management effort; cost; and time necessary for realized savings. Robeson concludes that development of a management plan for containing health care costs requires an extensive analysis of alternatives, organizational objectives, existing policies, and resources, and offers a table summarizing the cost-containment strategies that a firm should consider.     

Index for Predicting Insurance Claims from Wind Storms with an Application in France

For insurance companies, wind storms represent a main source of volatility, leading to potentially huge aggregated claim amounts. In this article, we compare different constructions of a storm index allowing us to assess the economic impact of storms on an insurance portfolio by exploiting information from historical wind speed data. Contrary to historical insurance portfolio data, meteorological variables show fewer nonstationarities between years and are easily available with long observation records; hence, they represent a valuable source of additional information for insurers if the relation between observations of claims and wind speeds can be revealed. Since standard correlation measures between raw wind speeds and insurance claims are weak, a storm index focusing on high wind speeds can afford better information. A storm index approach has been applied to yearly aggregated claim amounts in Germany with promising results. Using historical meteorological and insurance data, we assess the consistency of the proposed index constructions with respect to various parameters and weights. Moreover, we are able to place the major insurance events since 1998 on a broader horizon beyond 40 years. Our approach provides a meteorological justification for calculating the return periods of extreme‐storm‐related insurance events whose magnitude has rarely been reached.     

我国城镇基本养老保险水平影响因素的经验研究

养老保险水平包含覆盖水平和待遇水平两个方面,本文运用国家统计局全国抽样调查数据,通过logistic模型和Tobit模型分别对影响城镇基本养老保险覆盖水平和待遇水平的因素进行了实证分析,重点研究制度性因素对养老保险水平的影响。得出如下结论:第一,我国城镇基本养老保险水平同时受制度性因素和个人特征因素影响,并且制度性因素对养老保险覆盖水平的作用突出。第二,在正规部门、第二产业就业以及具有固定或长期劳动合同的劳动者更有可能加入养老保险体系,其待遇水平与工作单位的规范性及所在行业也具有显著关系。第三,所处地区、家庭储蓄水平、文化程度、是否为党员及更换过工作单位等个人特征因素对养老保险水平也具有显著影响。     

重尾索赔条件下现代风险模型的破产概率估计:多险种混合情形

破产概率是非寿险保险风险理论的核心问题。与经典的Cramér-Lundberg模型相比, 由Li Zehui等建立的现代风险模型更为准确地描述了非寿险保险运营的主要特征, 对现实保险业务具有较好的解释力。本文基于现代风险模型, 考虑保险公司多个险种混合经营这一更为现实的情形, 在索赔额服从正则尾分布条件下获得了破产概率的渐近等价估计。我们发现, 在具有大额索赔特征的多个险种混合的条件下, 公司面临的极端索赔风险将由索赔额分布尾部最厚的那些险种决定, 而索赔额分布尾部相对较薄的那些险种的影响作用将被淹没。该结论的有效性可用MATLAB数值模拟得到理想的验证。本文结果是对风险模型研究的重要推广, 也为多险种混合情形下保险公司的风险控制与初始保证金界定提供了依据。     

CORPORATE RISK MANAGEMENT: A MODEL AND ITS APPLICATION

A problem faced by any corporate risk manager, once he has decided what set of properties will be insured, is to choose among the policies offered by potential insurers. This choice usually involves negotiating with insurers over the exact premium and deductible amounts which will characterize the coverage. In this paper, the problem is modeled in terms of expected utility of different forms of coverage. The model enables a risk manager to select among available terms of coverage and, more significantly, provides guidelines for him in negotiating with the insurers to obtain the best possible terms. As an illustration, an application using real data is described.     

Endogenous Contracts in Unionized Oligopoly

We study the endogenous determination of contracts in a unionized oligopoly and the welfare implications thereof. Alternative contracts specify the sequencing in the selection of R&D and wages. They can be classified as ‘fixed’ when the unions set wages before the firms make their R&D decisions or ‘floating’ when the sequencing of these choices is reversed. If the unions are highly employment‐oriented, we find that either all firm–union pairs choose floating‐wage contracts or both contract types may coexist depending on the degree of technological spillovers. However, when the unions have stronger preference over attaining a good wage deal, then it becomes very likely that fixed‐wage contracts will endogenously emerge because they can serve as an insurance device against oppor tunistic wage increases. Our welfare analysis suggests that welfare‐improving contracts may nevertheless not always arise in equilibrium.     

Market‐Implied Spread for Earthquake CAT Bonds: Financial Implications of Engineering Decisions

In the event of natural and man‐made disasters, owners of large‐scale infrastructure facilities (assets) need contingency plans to effectively restore the operations within the acceptable timescales. Traditionally, the insurance sector provides the coverage against potential losses. However, there are many problems associated with this traditional approach to risk transfer including counterparty risk and litigation. Recently, a number of innovative risk mitigation methods, termed alternative risk transfer (ART) methods, have been introduced to address these problems. One of the most important ART methods is catastrophe (CAT) bonds. The objective of this article is to develop an integrative model that links engineering design parameters with financial indicators including spread and bond rating. The developed framework is based on a four‐step structural loss model and transformed survival model to determine expected excess returns. We illustrate the framework for a seismically designed bridge using two unique CAT bond contracts. The results show a nonlinear relationship between engineering design parameters and market‐implied spread.