The Geneva Papers on Risk and Insurance Theory
1573-6954
0926-4957
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Các bài báo tiêu biểu
Fairly Priced Deposit Insurance, Incentive Compatible Regulations, and Bank Asset Choices
Tập 21 - Trang 123-141 - 1996
This article provides incentive compatible regulations that support fairly
priced deposit insurance in a competitive banking industry. If informational
asymmetry exists between the regulator and banks regarding loan quality, but the
regulator can observe actual loan rates charged, then imposing a capital
requirement schedule that leads market loan rates to decrease in loan quality is
shown to be i...
The Consequences for a Monopolistic Insurance Firm of Evaluating Risk Better than Customers: The Adverse Selection Hypothesis Reversed
Tập 25 - Trang 65-79 - 2000
This article models a situation in which a monopolistic insurer evaluates risk
better than its customers. The resulting equilibrium allocations are compared to
the consequences of the standard adverse selection hypothesis. On the positive
side, they exhibit the property that low-risk people are better covered than
higher-risk people. On the normative side, the article shows that there are two
reas...
The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims
Tập 21 - Trang 7-28 - 1996
One of the most active areas of research in financial economics has been the
modeling of the term structure of interest rates and its relationship to the
pricing of contingent claims. There is a vast array of issues in the area, as
well as a variety of perspectives, ranging from theoretical to practical. This
article provides a general framework for the analysis of issues in the modeling
of the te...
The Valuation of Insurance under Uncertainty: Does Information about Probability Matter?
Tập 26 - Trang 195-224 - 2001
In a laboratory experiment we test the hypothesis that consumers' valuation of
insurance is sensitive to the amount of information available on the probability
of a potential loss. In order to test this hypothesis we simulate a market in
which we elicit individuals' willingness to pay to insure against a loss
characterised either by known or else vague probabilities. We use two distinct
treatments...
On Microfoundations of the Dual Theory of Choice
Tập 26 - Trang 117-137 - 2001
We show that Yaari's dual theory of choice under risk may be derived as an
indirect utility when a risk-neutral agent faces financial imperfections. We
consider an agent that maximizes expected discounted cash flows under a bid-ask
spread in the credit market. It turns out that the agent evaluates lotteries as
if she were maximizing Yaari's dual utility function. We also generalize the
dual theory...
Diffidence Theorem, State-Dependent Preferences, and DARA
Tập 26 - Trang 139-154 - 2001
C. Gollier (The Economics of Risk and Time. Cambridge: MIT Press, 2001) has
developed a standard technique based on the diffidence theorem. This theorem
provides a very simple instrument to solve relatively sophisticated problems
when preferences are state-independent. The object of this article is to show
that the theorem is also very useful to derive significant results with
state-dependent pref...
Adverse Selection When Loss Severities Differ: First-Best and Costly Equilibria
Tập 18 - Trang 173-182 - 1993
With information asymmetry between contracting parties, adverse selection may
result. A separation may be achieved if low-risk types can signal their
identity—for example, by selecting from a menu of price-quantity contracts. In
such models, signaling is costly and solutions are, at best, second best. These
models characterize risk types by differences in the probability, rather than in
severity, ...
The Double Liability Rule
Tập 15 - Trang 159-169 - 1990
Conventional liability rules do not lead to a first best allocation. Optimal
bilateral risk control can be achieved by not compensating any losses and, in
addition, charging each party a fine equal to the loss suffered by the other
party. In this way, each party internalizes the full accident loss. This paper
investigates the properties of this “double liability” rule under risk
neutrality and ris...