平滑歧义规避下直接可演绎项目的最优性

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2025-04-26 DOI:10.1016/j.jebo.2025.107001

Yichun Chi , Richard Peter , Wei Wei

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引用次数: 0

摘要

研究了具有线性交易成本的光滑可识别歧义规避下的最优保险设计问题。我们对赔偿表及其相关的保留函数施加单调性。阿罗关于直接免赔额是最优的基本结论可能站不住脚。我们提供了三个条件来恢复它：(i)歧义不影响大的损失；（ii）先验按照一阶随机优势排序，损失大的先验出现较差的概率大于损失小的先验出现较差的概率；或（iii）按风险率顺序排列先验。我们还推导了比较静力学，并得出了直观的结果。

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On the optimality of straight deductibles under smooth ambiguity aversion

We solve the optimal insurance design problem under identifiable smooth ambiguity aversion with linear transaction cost. We impose monotonicity on indemnity schedules and their associated retention functions. Arrow’s cornerstone result that a straight deductible is optimal may fail to hold. We provide three conditions to restore it: (i) ambiguity does not affect large losses; (ii) priors are ordered according to first-order stochastic dominance and the probability of worse priors is greater conditional on observing a large loss than a small loss; or (iii) priors are ordered in the hazard rate order. We also derive comparative statics and find intuitive results.

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.