Estimating Risk and Risk Preferences in Insurance Markets

风险规避的概念对宏观经济、金融和保险都很重要。该奖项资助的创新研究将提供关于个人风险厌恶程度和异质性的直接证据。现有的证据大多是基于实验室实验和个人对假设调查问题的回答。这个项目的不同之处在于，它使用了有关个人购买保险决策的市场数据。这些数据与有关保险索赔历史的信息相结合。PI和他的合作者将开发一个基于预期效用理论的结构计量经济学模型。该模型将用于分析以色列汽车保险市场的数据。个体可以在两个未观察到的维度上发生变化——他们的风险水平和绝对风险厌恶系数——计量经济学模型将允许研究人员估计这两个因素的联合分布。然后，这些信息将与事后保险索赔数据相结合，使调查人员能够将事故风险的实际水平与风险规避区分开来。这个项目的结果将有利于决策者和其他需要预测个人在各种风险情况下做出的决定的人。这包括大多数保险和金融市场。

The concept of risk aversion is important for macroeconomics, finance, and insurance. This award funds innovative research that will provide direct evidence regarding the degree and hetereogeneity of individual risk aversion. Much of the existing evidence is based on laboratory experiments and answers given by individuals to hypothetical survey questions. This project is different because it uses market data about individual decisions about insurance purchases. These data are combined with information about insurance claims history.The PI and his co-author will develop a structural econometric model based on expected utility theory. This model will be used to analyze data from the market for automobile insurance in Israel. Individuals are allowed to vary in two unobserved dimensions -- their level of risk and their coefficient of absolute risk aversion -- and the econometric model will allow the researchers to estimate the joint distribution of these two factors. This information will then be combined with ex-post data on insurance claims to allow the investigators to separate actual levels of accident risk from risk aversion.The result sfrom this project will benefit policymakers and others who need to predict the decisions individuals make in a variety of risky situations. This includes most insurance and financial markets.