Are Risk Preferences Stable across Contexts? Evidence from Insurance Data
Are Risk Preferences Stable across Contexts? Evidence from Insurance Data
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DOI：
10.1257/aer.101.2.591
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发表时间：
2011-04-01
影响因子：
10.7
通讯作者：
Teitelbaum, Joshua C.
中科院分区：
文献类型：
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作者：
Barseghyan, Levon;Prince, Jeffrey;Teitelbaum, Joshua C.
使用一个独特的数据集，我们测试家庭在汽车和住房保险方面的免赔额选择是否反映了稳定的风险偏好。我们的检验依赖于一个结构模型，该模型假设家庭是客观的预期效用最大化者，索赔是由家庭覆盖特定的泊松过程产生的。我们发现，稳定风险偏好的假设被数据否定了。我们的分析表明，许多家庭在住房免赔额选择上表现出比汽车免赔额选择更大的风险厌恶。我们的结果对几个替代的建模假设是稳健的。(JEL D11、D83)
Using a unique dataset, we test whether households' deductible choices in auto and home insurance reflect stable risk preferences. Our test relies on a structural model that assumes households are objective expected utility maximizers and claims are generated by household-coverage specific Poisson processes. We find that the hypothesis of stable risk preferences is rejected by the data. Our analysis suggests that many households exhibit greater risk aversion in their home deductible choices than their auto deductible choices. Our results are robust to several alternative modeling assumptions. (JEL D11, D83)