报告题目：Revisiting optimal insurance design under smooth ambiguity aversion

报告所属学科：应用经济学

报告人：Richard Peter（University of Iowa）

报告时间：2022年12月16日 18:00-21:00

报告地点：Zoom ID: 927 0377 2725

报告摘要：

We analyze optimal insurance design for a risk- and ambiguity-averse policyholder who is uncertain about the distribution of losses and faces linear transaction costs. We use smooth ambiguity preferences, a flexible ambiguity structure, and focus on indemnity schedules that satisfy the principle of indemnity and the no-sabotage condition for incentive compatibility. We characterize optimal insurance contracts and find that the marginal indemnity is either zero or one except at critical points. We then provide a condition for a straight deductible to be optimal and show that this condition is satisfied under various stochastic ordering assumptions on the priors. We discuss specific ambiguity structures, some of which give rise to indemnities with multiple layers. We also derive compara- tive statics. Greater ambiguity aversion always raises insurance demand whereas greater ambiguity has indeterminate effects. For policyholders with relative ambiguity prudence between zero and two, greater ambiguity raises insurance demand.

报告人简介：

Richard Peter is a TriStar Research Fellow and Associate Professor of Finance at the Tippie College of Business, University of Iowa. Peter received his Ph.D. in business from Ludwig Maximilian University in Munich in 2013. His research interests include the risk and uncertainty theory and how it improves our understanding of risk management and insurance behavior. He uses mainly applied microeconomic theory to answer descriptive and normative questions in risk and insurance economics. He has worked on topics such as genetic testing, prevention and precaution, saving over the life cycle, and the link between preferences, uncertainty and behavior. He obtains some awards & honors including Ernst-Meyer Prize-The Geneva Association(2013), Young Economist Best Paper Award-SCOR & European Group of Risk and Insurance Economists(2020). His work has appeared in Management Science, Journal of Risk and Insurance, Operations Research, Economic Theory, Journal of Health Economics, Journal of Risk and Uncertainty etc.