【保险学术前沿】期刊Journal of Risk and Insurance 2024年91卷第4期目录及摘要

声明：本系列文章基于原期刊目录和摘要内容整理而得，仅限于读者交流学习。如有侵权，请联系删除。

期刊介绍：

《Journal of Risk and Insurance》为季刊，每年4期，每期发表文章8-10篇左右。2022-2023年影响因子为1.9，是风险管理与保险领域的顶级权威学术期刊。该期刊主要发表保险经济学和风险管理主题的理论和实证方面的学术论文，可以为保险市场的实践、决策和监管以及企业和家庭风险管理提供重要的信息。

本期看点：

●基于使用率的保险（usage-based insurance，UBI）：考虑带有信息量的监控技术在UBI保费差异化中的使用，发现该技术若不够准确，则会产生道德风险，这有助于解释实践中UBI合同的发展缓慢。

●数字化保险营销：与线下保险分销渠道相比，数字化渠道能筛选出风险较低的消费者，表现出更低的信息不对称和更高的盈利能力。

●P2P风险分担：在一个点对点（P2P）网络比例再保险风险分担模型中，发现最优的风险分担分配展现出一个三部分结构，包括长期极限和两个修正项。

●机器学习技术：运用机器学习识别保险欺诈—识别风险因素和异常客户行为；兼顾投保人个人行为和理性最优的退保决策，运用机器学习估算变额年金（VAs）的退保费用。

●补充保险：残疾保险补充保险激励了保险公司降低残疾风险的努力，但也激励了保险公司去促进有收入能力的残疾工人部分恢复工作，保险公司的努力抵消了工人的道德风险。

●保险机构效率：由于风险的相依性，公共保险机构和市场保险机构都无法达到第一最优效率，并且由于外部性的影响，两者之间的相对效率是不确定的。

Julia Holzapfel（慕尼黑大学）, Richard Peter（爱荷华大学）, Andreas Richter（慕尼黑大学）

摘要：Technological progress has improved insurers' ability to monitor policyholders and has led to usage-based insurance (UBI) contracts that incorporate behavioral risk factors in pricing. Economic theory predicts that any informative monitoring signal is adopted in equilibrium. In practice, the demand for UBI is still low to date with market shares in the single digits. We modify the standard moral-hazard model in insurance economics by trading off a simpler effort model for a richer strategy space, and by focusing on the use of monitoring for premium differentiation. In our model, an informative monitoring technology is in use if it is sufficiently accurate. Otherwise, the premium incentive from monitoring is not large enough to alleviate the incentive-compatibility constraint to an extent that would make policyholders better off. Our results help explain the slow adoption of UBI contracts in practice and provide an avenue to increase their appeal to policyholders.

技术进步提高了保险公司监控保单持有人的能力，并导致了将行为风险因素纳入定价的基于使用率的保险（usage-based insurance，UBI）合同的出现。经济理论预测，在均衡状态下，任何有信息量的监控信号都会被采用。实际上，迄今为止UBI的需求仍然很低，市场份额仅为个位数。我们通过权衡一个更简单的努力模型和一个更丰富的策略空间，以及专注于监控技术在保费差异化中的使用，来修改保险经济学中的标准道德风险模型。在我们的模型中，如果有信息量的监控技术足够准确，则使用该技术。否则，监控的保费激励不足以在一定程度上缓解激励相容性约束，从而使保单持有人受益。我们的结果有助于解释实践中UBI合同的缓慢采用，并提供了增加它们对保单持有人吸引力的途径。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12433

Finbarr Murphy（利默里克大学）, Wei Xu（上海财经大学）, Xian Xu（复旦大学）

摘要：Extant research holds that digital sales channels advance competition and service or goods availability but rarely details the attendant information asymmetry. Leveraging a large unique dataset, this study examines a specific case in which consumers have a choice between offline and digital channels for insurance purchases. We find that digital channels screen in consumers with lower unobserved risk. For term life, endowment and disease insurance products, the average risks of the policies purchased through digital channels were significantly lower than those purchased offline after controlling for all observed risk characteristics. This risk screening effect mainly comes from the inclusion of new low-risk enrollees. As a consequence, digital channels exhibit lower information asymmetry and greater profitability compared to offline channels.

现有研究认为，数字销售渠道促进了竞争、提高了服务或商品的可用性，但很少详细说明随之而来的信息不对称问题。本研究利用一个独特的大数据集，研究了消费者在线下和数字渠道之间选择购买保险的具体案例。我们发现，数字渠道能筛选出未观察风险较低的消费者。就定期寿险、两全保险和疾病保险产品而言，在控制了所有观察到的风险特征后，通过数字渠道购买的保单的平均风险明显低于线下购买的保单。这种风险筛选效应主要来自新的低风险投保人的加入。因此，与线下渠道相比，数字渠道表现出更低的信息不对称性和更高的盈利能力。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12496

Denisa Banulescu-Radu（法国国立奥尔良大学），Meryem Yankol-Schalck（法国IPAG商学院）

摘要：Identifying insurance fraud is a difficult task due to the complex nature of the fraud itself, the diversity of techniques employed, the rarity of fraud cases observed in data sets, and the relatively limited allocation of human, financial, and time resources to carry out investigations. The aim of this paper is to provide a clean and well structured study on modeling fraud on home insurance contracts, using real French data from 2013 to 2017. Several methods are developed to identify risk factors and unusual customer behaviors. Traditional econometric models as well as new machine-learning algorithms with good predictive performance and high operational efficiency are tested, while maintaining method interpretability. Each methodology is evaluated on the basis of adequate performance measures and the issue of imbalanced databases is also addressed. Finally, specific methods are applied to interpret the results of the machine-learning methods.

由于欺诈本身的复杂性、所采用技术的多样性、数据集中观察到的欺诈案件的罕见性，以及开展调查的人力、财力和时间资源分配相对有限，识别保险欺诈是一项艰巨的任务。本文旨在利用 2013 年至 2017 年的法国真实数据，对家庭保险合同欺诈建模进行简洁、结构合理的研究。本文开发了几种方法来识别风险因素和异常客户行为。在保持方法可解释性的同时，测试了传统计量经济学模型以及具有良好预测性能和较高操作效率的新型机器学习算法。每种方法都根据适当的性能指标进行了评估，同时还讨论了不平衡数据库的问题。最后，采用了具体方法来解释机器学习方法的结果。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12452

Bowen Jia（香港中文大学），Ling Wang（中央财经大学），Hoi Ying Wong（香港中文大学）

摘要：We develop a novel machine learning (ML) framework to estimate a surrender charge for variable annuities (VAs) with the balance between human behavior and rational optimality. Optimality accounts for insurers' potential losses from strategic surrenders by policyholders who attempt to take advantage of the market situation. However, policyholders sometimes need to surrender a VA because of sudden personal financial distress or a terminal illness. The literature contains contributions for these two surrender decisions separately, but we consider them simultaneously using ML. The ML framework is a Bayesian mixture of a deep optimal stopping rule based on potentially high-dimensional financial variables and a statistical model with historical data. This framework can help insurers and pension funds to set surrender charges and perform stress testing in ways that balance profits and social responsibility by incorporating policyholders' behavioral data.

我们开发了一种新颖的机器学习（ML）框架，用于估算变额年金（VAs）的退保费用，同时兼顾人类行为和理性最优性。最优性考虑了投保人试图利用市场形势进行战略性退保给保险公司带来的潜在损失。然而，投保人有时会因为突然的个人经济困难或身患绝症而需要退保。有文献分别对这两种退保决策进行了分析，但我们使用机器学习同时考虑了这两种决策。这个机器学习框架是基于潜在高维金融变量的深度最优止损规则和历史数据统计模型的贝叶斯混合模型。这一框架可以帮助保险公司和养老基金通过纳入投保人的行为数据，以平衡利润和社会责任的方式设定退保费用并进行压力测试。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12428

Samal Abdikerimova（伊利诺伊大学厄巴纳-香槟分校）, Tim J. Boonen（香港大学）, Runhuan Feng（清华大学）

摘要：Risk sharing has been practiced in various forms in the financial industry. This paper is the first to study both dynamic and static risk-sharing mechanisms for a group of participants over multiple periods. The design of risk-sharing strategies is based on the Pareto optimization of quadratic utilities of participants' reserves. Such a framework builds a connection between portfolio optimization in the finance literature and that for risk sharing in the insurance literature. Building on the most common form of reinsurance—pro rata treaties, we propose a peer-to-peer (P2P) network for risk sharing. Assuming independent multivariate losses over time, we find that the optimal risk-sharing allocation exhibits a three-component structure with the long-term limit and two correction terms. This allows us to show convergence of the risk-sharing solution and the ratios of long-term reserves. Furthermore, we study the impact of actuarial fairness on various risk-sharing strategies and their long-term limits.

风险分担在金融行业中以多种形式被实践。本文首次研究多个参与者在多个时期内的动态和静态风险分担机制。风险分担策略的设计基于参与者准备金二次效用的帕累托优化。这种框架在金融文献中的投资组合优化和保险文献中的风险分担之间建立了联系。基于再保险最常见的形式——比例再保险合同，我们提出了一个点对点（P2P）网络用于风险分担。假设随时间变化多变量损失之间独立，我们发现最优的风险分担分配展现出一个三部分结构，包括长期极限和两个修正项。这使我们能够展示风险分担解决方案和长期准备金比率的收敛性。此外，我们研究了精算公平性对各种风险分担策略及其长期极限的影响。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12460

Nicola Garbarino(慕尼黑路德维希-马克西米利安大学；Ifo 经济研究所), Benjamin Guin(英格兰银行), Jonathan Lee(格拉斯哥大学)

摘要：Subsidized insurance against extreme weather events improves affordability among households in at-risk areas but it can weaken the risk signal via property prices. Leveraging a granular data set of all property transactions and flood events in England, we study the effects of a reinsurance scheme that lowers insurance premiums for at-risk properties. We document that the introduction of this scheme increases prices and transaction volumes of flood-prone properties. This fully offsets the negative direct effects of flooding on property prices, with high-income areas and high-value properties benefiting relatively more. Our findings speak to the debate on climate adaptation policies and their consequences for wealth distribution.

针对极端天气事件的补贴保险提高了高危地区家庭的承受能力，但它可能会削弱通过房地产价格传递出的风险信号。利用英国所有财产交易和洪水事件的详细数据集，我们研究了降低风险财产保费的再保险计划的影响。我们的研究表明，该计划的引入提高了易受洪水影响的房产的价格和交易量。这完全抵消了洪水对房产的直接负面影响，高收入地区和高价值房产受益相对较多。我们的研究结果说明了关于气候适应政策及其对财富分配的影响的争论。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12491

S. Hun Seog（首尔大学）

摘要：We theoretically investigate the equilibria and efficiencies of public and market insurance institutions within a framework where loss probabilities are interdependently influenced by the efforts of individuals and institutions (firms). We highlight the multilateral nature of interdependency, which exists within individuals, within firms, and between them. Our analysis reveals that both public and market institutions fall short of achieving first-best efficiency, and that the relative efficiencies between the two are indeterminate, due to the externalities. Regarding effort levels, we find that under the public institution, individual efforts are lower while institutional efforts are higher compared with the social optimum and the market institution. We also find that individual and/or institutional efforts are lower under the market institution than the social optimum, with both efforts lower under severe externalities.

我们从理论上研究了在损失概率受到个人和机构（公司）努力相互影响的框架下，公共保险机构和市场保险机构的均衡和效率。我们强调了这种相互依赖性的多边性质，它存在于个人之间、公司内部以及个人与公司之间。我们的分析表明，公共保险机构和市场保险机构都无法达到第一最优效率，并且由于外部性的影响，两者之间的相对效率是不确定的。关于努力水平，我们发现，对于公共保险机构而言，个人的努力水平低于社会最优水平和市场保险机构，而机构的努力水平则高于社会最优水平和市场保险机构。我们还发现，对于市场保险机构而言，个人和/或机构的努力水平低于社会最优水平，特别是在严重的外部性情况下，两者的努力水平都较低。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12484

Pierre Koning（阿姆斯特丹自由大学；IZA（劳动经济研究所））, Max van Lent（IZA（劳动经济研究所）；莱顿大学）

摘要：While it is well known that supplementary private Disability Insurance (DI) has the potential to increase workers' moral hazard, the extra coverage may also increase incentives for private insurers to reduce caseloads by means of prevention and reintegration activities. With unique administrative data on DI contracts of firms in the Netherlands, this paper aims to disentangle these worker and insurer responses to increased coverage. Supplementary insurance increases the insurers' incentive to lower disability risks, but in our setting it also creates an incentive for the insurers to facilitate partial work resumption of disabled workers who have earnings capacity. Using firm- and time-fixed effects models on the absence and employment rates, we find that insurer effort counteracts workers' moral hazard.

众所周知，补充性的私人残疾保险有可能增加工人的道德风险，但是额外的保险覆盖也可能激励商业保险公司通过预防努力和重新整合活动减少赔案数量。利用荷兰公司残疾保险合同的独特行政数据，本文旨在探究工人和保险公司对保险覆盖范围增加的反应。我们发现，补充保险激励了保险公司降低残疾风险的努力，但在我们考虑的情况下，它也激励了保险公司去促进有收入能力的残疾工人部分恢复工作。通过使用公司和时间固定效应模型对缺勤和就业率进行分析，我们发现保险公司的努力抵消了工人的道德风险。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.12464