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題 名 | 資訊不對稱下再保市場之最適風險分攤=Optimal Risk Sharing in Reinsurance Market under Information Asymmetry |
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作 者 | 許碩芬; | 書刊名 | 管理學報 |
卷 期 | 18:2 2001.06[民90.06] |
頁 次 | 頁255-267 |
分類號 | 563.7 |
關鍵詞 | 最適自留額; 均衡分析; 同一命運原則; 貝氏信賴定價法; Optimal retention; Equilibrium analysis; Follow-the-fortunes principle; Bayesian credibility formula; |
語 文 | 中文(Chinese) |
中文摘要 | 本文分別探討資訊對稱、資訊不對稱情況下,再保市場中之風險分攤。結果顯示相較於資訊對稱的情況,在資訊不對稱之下,風險趨避程度較大的原保公司,其均衡時的自留額水準較高,顯示原保與再保之間的風險分攤出現效率損失。本文進一步以貝氏信賴定價模式來改善資訊不對稱情況下之風險分攤效益,使原保與再保之間回復資訊對稱下的柏拉圖最適風險分攤情況。 |
英文摘要 | This paper developed an equilibrium model to analyze the optimal risk sharing between the primary insurer and the reinsurer. This paper shows that, the optimal level of retention became larger under information asymmetry in comparison with the symmetric case. This paper also demonstrates that even with asymmetric information, the Pareto optimal allocation of risk can still be achieved by contingent pricing known as the Bayesian credibility formula. |
本系統中英文摘要資訊取自各篇刊載內容。