保险市场若干非对称信息问题的博弈分析
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摘要
本文运用博弈理论研究了保险市场上的若干非对称信息问题。全文共分三部分。
第一部分即第一章，主要阐述了风险厌恶假设的实验基础和保险的三种基本形式。
第二部分由第二、第三和第四章组成，主要阐述了对称信息与非对称信息条件下均衡保单的博弈理论。第二章首先较为详细地介绍了分析逆向选择问题的常用工具——状态空间图，然后利用此工具分析了各种市场结构下均衡保单的性质以及消费者剩余的分割情况。第三章阐述了逆向选择条件下的均衡保单，包括混同均衡保单、分离均衡保单、多期分离均衡保单并分析了它们的均衡性。第四章阐述了道德风险条件下的均衡保单。
第三部分由第五、第六、第七和第八章组成，是本文的重点内容。本部分分别运用状态空间图和博弈理论研究了风险分类和费率监管的效应、最大诚信原则和保险欺诈等问题。
第五章重点比较了不完全分类条件下两种不同分类方案(风险评估机构进行的风险分类和保险公司独立进行的风险分类)的效应。研究结果表明，对于规模较小的保险公司，由于其分类准确性较低，分类成本较高，因此这些保险公司宜求助于风险评估机构进行风险分类；对于规模较大的保险公司，当其在准确性方面的优势超过其在成本方面的劣势时，宜自己独立进行风险分类，否则宜求助于风险评估机构进行风险分类。鉴于我国保险公司的规模较小，本文建议，在我国有必要建立起独立于保险公司的风险评估机构。
第六章首先研究了费率监管的短期效应与长期效应。研究结果表明，从短期来看，费率监管是有效的，但从长期来看则是无效的；然后研究了逆向选择条件下保险公司对市场变化的反映能力。研究结果表明，费率监管削弱了保险公司对市场变化的反映能力，使保险费率的调整滞后于市场变化，导致保险公司利润波动。此外，费率监管的一个严重负面效应是致使高低风险投保人的福利遭受损失。有鉴于此，本文认为，在我国有必要实行保险费率的市场化。
第七章从博弈论的角度重点研究了保险公司对投保人是否如实告知的最优调查战略与最优赔付战略。首先，本文研究了信息完全不对称条件下保险公司的最优调查战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行确定性调查。其次，本文研究了信息部分不对称条件下保险公司的最优调查战略和最优赔付战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行随机性调查；保险公司的最优赔付战略是：若通过调查发现投保人不诚信，则保险公司不应赔付且不应退还保费。这正是我国《保险法》第十七条
第三款之规定。
第八章从博弈论的角度重点研究了在保险欺诈条件下保险公司的最优调查战略与最
优赔付战略。首先阐述了有成本状态证实条件下最优均衡保单的性质，然后探讨了有成本
掩盖条件下均衡保单应具有的性质。研究结果表明，在保险金是投保人虚报损失的线性函
数这一条件下，如保险公司无法调查保险事故的真相，则最优均衡保单要求:当保险事故
损失较小时，保险公司应给予过度保险;当保险事故损失较大时，保险公司则应给予部分
保险，即让投保人分担一部分风险，以阻止投保人故意夸大保险事故的损失。
Using the game theory, this dissertation focuses on some asymmetrical information issues on the insurance markets. It is organized as follows:
The first part, including one chapter, presents the experimental foundation of risk-aversion assumption and the three basic forms of insurance.
The second part, including three chapters, presents the game theory of asymmetrical information on insurance markets. In chapter two, firstly, we introduce the state-space diagram in detail, which is the main tool to study the adverse-selection issues. Secondly, we analyse the properties of the insurance policies at equilibrium and the allocation of the customer's surplus in various market structures. In chapter three, we examine the pool insurance policies, the separate insurance policies and their equilibria conditions in the presence of adverse selection, and then we examine the properties of the multi-period insurance policies. In chapter four, we examine the equilibrium policies in the presence of moral hazard.
The third part, including four chapters, is the key content of this dissertation. In this part, using the state-space diagrams and the game theory, we study the effects of risk classfication and rate regulation, principle of utmost good faith, insurance fraud etc.
Chapter five focuses on the effect comparison of two classfication schemes-the rating-institution scheme and the independent scheme under the imperfect classfication. The analysis reveals that the little scale insurers should employ the rating-institution classifications, due to their low accuracy and high cost, and that the large firms ought to employ the independent scheme when their accurate advantage overcomes the institution's cost advantage. The findings suggest that it is essential to establish risk-rating institution in our country
In chapter six, firstly, we study the short-term and the long-term effects of the rate regulation. The researsh results indicate that rate regulation is
effective in the short term, but is ineffective in the long run. Secondly, we study the abilities of insurance company to respond to the markets in the presence of advese selection. The findings reveal that the rate regulation weakens the abilities of insurance company to respond to the changing markets, makes the company's rate adjustment lag behind the markets change, and results in company's profits fluctuating. Besides, a serious negative effect of rate regulation is that the policy holders' welfares suffer loss. In view of this, it is necessary that the rate should be determined by the markets in our country.
In chapter seven, using the game theory, we study the optimal investigation strategies and the optimal payment strategies, depending on the facts that whether the policyholders tell the truth about the their risk. Firstly, we study the optimal investigation strategies of the insurance company under complete asymmetrical information conditions. The research results reveal that under this conditions the optimal investigation strategies of insurance company are: for the claim of policyholder who has purchased the low-risk insurance policies, the company should carry out deterministic investigation. Secondly, we study the optimal investigation strategies and the optimal payment strategies of insurance firms under partial asymmetrical information conditions. The research results indicate that under this conditions, the optimal strategies of the insurers are: for the claim of policyhloder who has purchased the low-risk insurance policies, the insurers should carry out random investigation; if the policyhloder is bad faith, the company should not pay the average and not return the premium to the insured. This is just the stipulation of clause seventeen in "Insurance Law".
In chapter eight, using the game theory, we study the optimal investigation strategies and the optimal payment strategies under insurance fraud. Firstly, we study the properties of equilibrium policies under the costly state verification and costly state falsification conditions. The resear
第一部分即第一章，主要阐述了风险厌恶假设的实验基础和保险的三种基本形式。
第二部分由第二、第三和第四章组成，主要阐述了对称信息与非对称信息条件下均衡保单的博弈理论。第二章首先较为详细地介绍了分析逆向选择问题的常用工具——状态空间图，然后利用此工具分析了各种市场结构下均衡保单的性质以及消费者剩余的分割情况。第三章阐述了逆向选择条件下的均衡保单，包括混同均衡保单、分离均衡保单、多期分离均衡保单并分析了它们的均衡性。第四章阐述了道德风险条件下的均衡保单。
第三部分由第五、第六、第七和第八章组成，是本文的重点内容。本部分分别运用状态空间图和博弈理论研究了风险分类和费率监管的效应、最大诚信原则和保险欺诈等问题。
第五章重点比较了不完全分类条件下两种不同分类方案(风险评估机构进行的风险分类和保险公司独立进行的风险分类)的效应。研究结果表明，对于规模较小的保险公司，由于其分类准确性较低，分类成本较高，因此这些保险公司宜求助于风险评估机构进行风险分类；对于规模较大的保险公司，当其在准确性方面的优势超过其在成本方面的劣势时，宜自己独立进行风险分类，否则宜求助于风险评估机构进行风险分类。鉴于我国保险公司的规模较小，本文建议，在我国有必要建立起独立于保险公司的风险评估机构。
第六章首先研究了费率监管的短期效应与长期效应。研究结果表明，从短期来看，费率监管是有效的，但从长期来看则是无效的；然后研究了逆向选择条件下保险公司对市场变化的反映能力。研究结果表明，费率监管削弱了保险公司对市场变化的反映能力，使保险费率的调整滞后于市场变化，导致保险公司利润波动。此外，费率监管的一个严重负面效应是致使高低风险投保人的福利遭受损失。有鉴于此，本文认为，在我国有必要实行保险费率的市场化。
第七章从博弈论的角度重点研究了保险公司对投保人是否如实告知的最优调查战略与最优赔付战略。首先，本文研究了信息完全不对称条件下保险公司的最优调查战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行确定性调查。其次，本文研究了信息部分不对称条件下保险公司的最优调查战略和最优赔付战略。研究结果表明，在此条件下，保险公司的最优调查战略是：对购买低风险保单投保人的索赔要求应进行随机性调查；保险公司的最优赔付战略是：若通过调查发现投保人不诚信，则保险公司不应赔付且不应退还保费。这正是我国《保险法》第十七条
第三款之规定。
第八章从博弈论的角度重点研究了在保险欺诈条件下保险公司的最优调查战略与最
优赔付战略。首先阐述了有成本状态证实条件下最优均衡保单的性质，然后探讨了有成本
掩盖条件下均衡保单应具有的性质。研究结果表明，在保险金是投保人虚报损失的线性函
数这一条件下，如保险公司无法调查保险事故的真相，则最优均衡保单要求:当保险事故
损失较小时，保险公司应给予过度保险;当保险事故损失较大时，保险公司则应给予部分
保险，即让投保人分担一部分风险，以阻止投保人故意夸大保险事故的损失。
Using the game theory, this dissertation focuses on some asymmetrical information issues on the insurance markets. It is organized as follows:
The first part, including one chapter, presents the experimental foundation of risk-aversion assumption and the three basic forms of insurance.
The second part, including three chapters, presents the game theory of asymmetrical information on insurance markets. In chapter two, firstly, we introduce the state-space diagram in detail, which is the main tool to study the adverse-selection issues. Secondly, we analyse the properties of the insurance policies at equilibrium and the allocation of the customer's surplus in various market structures. In chapter three, we examine the pool insurance policies, the separate insurance policies and their equilibria conditions in the presence of adverse selection, and then we examine the properties of the multi-period insurance policies. In chapter four, we examine the equilibrium policies in the presence of moral hazard.
The third part, including four chapters, is the key content of this dissertation. In this part, using the state-space diagrams and the game theory, we study the effects of risk classfication and rate regulation, principle of utmost good faith, insurance fraud etc.
Chapter five focuses on the effect comparison of two classfication schemes-the rating-institution scheme and the independent scheme under the imperfect classfication. The analysis reveals that the little scale insurers should employ the rating-institution classifications, due to their low accuracy and high cost, and that the large firms ought to employ the independent scheme when their accurate advantage overcomes the institution's cost advantage. The findings suggest that it is essential to establish risk-rating institution in our country
In chapter six, firstly, we study the short-term and the long-term effects of the rate regulation. The researsh results indicate that rate regulation is
effective in the short term, but is ineffective in the long run. Secondly, we study the abilities of insurance company to respond to the markets in the presence of advese selection. The findings reveal that the rate regulation weakens the abilities of insurance company to respond to the changing markets, makes the company's rate adjustment lag behind the markets change, and results in company's profits fluctuating. Besides, a serious negative effect of rate regulation is that the policy holders' welfares suffer loss. In view of this, it is necessary that the rate should be determined by the markets in our country.
In chapter seven, using the game theory, we study the optimal investigation strategies and the optimal payment strategies, depending on the facts that whether the policyholders tell the truth about the their risk. Firstly, we study the optimal investigation strategies of the insurance company under complete asymmetrical information conditions. The research results reveal that under this conditions the optimal investigation strategies of insurance company are: for the claim of policyholder who has purchased the low-risk insurance policies, the company should carry out deterministic investigation. Secondly, we study the optimal investigation strategies and the optimal payment strategies of insurance firms under partial asymmetrical information conditions. The research results indicate that under this conditions, the optimal strategies of the insurers are: for the claim of policyhloder who has purchased the low-risk insurance policies, the insurers should carry out random investigation; if the policyhloder is bad faith, the company should not pay the average and not return the premium to the insured. This is just the stipulation of clause seventeen in "Insurance Law".
In chapter eight, using the game theory, we study the optimal investigation strategies and the optimal payment strategies under insurance fraud. Firstly, we study the properties of equilibrium policies under the costly state verification and costly state falsification conditions. The resear
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[71]Klein,R.W.(1995),"Insurance Regulation in Transition,"Journal of Risk and Insurance,62,363-404.
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[2]高鸿桢：《实验经济学导论》，中国统计出版社，2003年。
[3]钱伯海：《经济学新论》，中国经济出版社，1999年。
[4]黄良文：《投资学》，中国对外经济贸易出版社，1999年。
[5]张维迎：《博弈论与信息经济学》，上海三联书店，上海人民出版社，1997年。
[6]陈学彬：《博弈学习理论》，上海财经大学出版社，1999年。
[7]裴光：《中国保险业监管研究》，中国金融出版社，1999年。
[8]魏华林、林宝清：《保险学》，高等教育出版社，1999年。
[9]龚六堂：《经济学中的优化方法》，北京大学出版社，2000年。
[10]魏华林、俞自由、郭道扬：《中国保险市场的开放及其监管》，中国金融出版社，1999年。
[11]博尔奇(挪威)：《保险经济学》，商务印书馆，1999年。
[12]罗伯特·吉本斯(美)：《博弈论基础》，中国社会科学出版社，1999年。
[13]马丁·奥斯本(加)、阿里尔·鲁宾斯坦(美)：《博弈论教程》，中国社会科学出版社，2000年。
[14]罗杰·B．迈尔森(美)：《博弈论：矛盾冲突分析》，中国社会出版社，2001年。
[15]任若恩、余修斌：《保险经济学》，北京航空航天出版社，2000年。
[16]《中华人民共和国保险法》，法律出版社，2002年。
[17]徐文虎、张仕英：“保险欺诈：永无止境的斗争”，《上海保险》，2001年第8期。
[18]梁涛：《论加快保险费率市场化的步伐》，《保险研究》，2001年第8期。
[19]唐汇龙：《费率市场化：中国保险改革面临的选择》，《上海保险》，2001年第9期。
[20]杨文灿：《如何防范保险欺诈》，《上海保险》，2001年第11期。
[21]张响贤、宣鸣、王勉：《论汽车保险费率市场化的趋势》，《保险研究》，2002年第1期。
[22]张俊才：《保险费率市场化与新产品开发》，《保险研究》，2002年第3期。
[23]孙祁祥、孙立明：《保险经济学研究述评》，《经济研究》，2002年第5期。
[24]钟峰杰：《诚信是保险企业经营的根本》，《上海保险》，2002年第10期。
[25]黄振华、赵大治：《车险：费率市场化的旋风》，《上海保险》，2002年第11期。
[26]毛宏、干天全、唐国春：《浅析我国保险费率体系的改革》，《上海保险》，2002年第12期。
[27]周肇光、刘奔、朱云婷：《保险业发展当以诚实守信为重点》，《上海保险》，2003年第
2期。
[28]张艳辉、赵桂芹：《车险费率市场化与自律同盟》，《上海保险》，2003年第2期。
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[74]Marshal,J.M.(1976)."Moral hazard,"American Economic Review,66,880-890.
[75]Meier, K.J.(1988)"The Political Economy of Regulation:The Case of Insurance,"Albany, NY:State University of New York Press.
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[80]Puelz, R. and A.Snow(1999)."Optimal incentive contracting with ex-ante and ex-post moral hazards:theory and evidence,"mimeo, Southern Methodist University, University of Georgia.
[81]Riley, J.G.(1979)."Informational equilibrium."Econometrica,47,331-359.
[82]Rothchild,M. and J.E.Stiglitz(1976)."Equilibrium in competitive insurance markets:The economics of markets with imperfect information,"Quarterly Journal of Economics,90,629-650.
[83]Shavell,S.(1979)."On moral hazard and insurance,"Quarterly Journal of Economics,93,541-562.
[84]Spence, M. and R.Zeckhauser(1971)."insurance,information and individual action,"American Economic Review,61,380-387.
[85]Stewart, J.(1994)."The welfare Implications of Moral Hazard and Adverse Selection in Competitive Insurance Markets,"Economic Inquiry,32,no.2 April, 193-208.
[86]Stiglitz, J.E.(1977)."Monopoly, non-linear pricing and imperfect information:The insurance market,"Review of Economic Studies,44,407-430.
[87]Townsend,R.(1979)."Optimal contracts and competitive contracts with costly state verification,"Journal of Economic Theory,22,265-293.
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[89]Wilson,C.(1977)."A model of insurance markets with incomplete information,"Journal of Economic Theory, 12,167-207.
[90]Winter, R.A.(1992)."Moral hazard and insurance contracts,"in Contributions to Insurance Economics,G.Dionne(ed),Kluwer Academic Publishers,61-96.