The Nature of Risk Preferences: Evidence from Insurance Choices

• 成果类型: Article
• 署名作者: Barseghyan, Levon; Molinari, Francesca; O'Donoghue, Ted; Teitelbaum, Joshua C.
• 署名单位: Cornell University; Georgetown University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.103.6.2499
• 发表日期: 2013
• 页码: 2499-2529
• 关键词: Adverse selection; prospect-theory; moral hazard; probability; disappointment; DECISION; MODEL; uncertainty; PSYCHOLOGY; ECONOMICS

摘要

We use data on insurance deductible choices to estimate a structural model of risky choice that incorporates standard risk aversion (diminishing marginal utility for wealth) and probability distortions. We find that probability distortions- characterized by substantial overweighting of small probabilities and only mild insensitivity to probability changes-play an important role in explaining the aversion to risk manifested in deductible choices. This finding is robust to allowing for observed and unobserved heterogeneity in preferences. We demonstrate that neither Koszegi-Rabin loss aversion alone nor Gul disappointment aversion alone can explain our estimated probability distortions, signifying a key role for probability weighting.