Optimal Insurance: Dual Utility, Random Losses, and Adverse Selection

• 成果类型: Article
• 署名作者: Gershkov, Alex; Moldovanu, Benny; Strack, Philipp; Zhang, Mengxi
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem; University of Surrey; University of Bonn; Yale University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20221247
• 发表日期: 2023
• 页码: 2581-2614
• 关键词: ESTIMATING RISK PREFERENCES; expected-utility; disappointment; CHOICE; MARKETS; aversion; Heterogeneity; equilibrium; uncertainty; INFORMATION

摘要

We study a generalization of the classical monopoly insurance prob-lem under adverse selection (see Stiglitz 1977) where we allow for a random distribution of losses , possibly correlated with the agent's risk parameter that is private information. Our model explains pat-terns of observed customer behavior and predicts insurance con-tracts most often observed in practice: these consist of menus of several deductible-premium pairs or menus of insurance with cov-erage limits-premium pairs. A main departure from the classical insurance literature is obtained here by endowing the agents with risk-averse preferences that can be represented by a dual utility func-tional (Yaari 1987). (JEL D81, D82, D86, D91, G22)