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：
The Geneva Risk and Insurance Review（《日内瓦风险与保险评论》，简称GRIR）是由日内瓦协会（The Geneva Association）出版的学术期刊，同时也是欧洲风险与保险经济学家协会（European Group of Risk and Insurance Economists）的官方期刊。GRIR的研究范围广泛，包括保险产品和市场的经济学、不确定性下的决策理论、个人、公司和社会的风险分担或风险缓解机制。特别关注与风险分担和缓解机制相关的市场失灵问题，例如由信息摩擦和激励问题引起的市场失灵，以及政府在通过监管或社会保险提供风险管理方面的作用。期刊的出版周期为每年两期，分别在3月和9月发布。
本期看点：
在贴现预期效用下，可持续性行动的最优性条件是，事后来看，人们几乎肯定会对“过度”的预防性储蓄、过多的保险和对冲覆盖，或过度的风险承担感到后悔。
通过要求使用私人数据来提高风险分类的准确性，并不一定能激励保险公司创建更精细的风险类别。
在有隐性信息或隐性行动的情况下，均衡分配可能就不是有效的，因此需要对其他效率边界进行规范分析，以确定政策变化在允许潜在的帕累托改进的意义上是否可取。
基于期望相依的消费资本资产定价模型(C-CAPM)能够现实地匹配股权和方差风险溢价。消费二阶期望相依风险成为驱动资产价格的不确定性的重要来源。
本期目录
The economics of self-protection.
Welfare analysis in insurance markets.
Evaluating sustainability actions under uncertainty: the role of improbable extreme scenarios.
Big data, risk classification, and privacy in insurance markets.
Risk preferences and risk perceptions in insurance experiments: some methodological challenges.
The role of normative analysis in markets with hidden knowledge and hidden actions.
Who is ambiguity neutral?
An alternative representation of the C-CAPM with higher-order risks.
The economics of self-protection
自我保护经济学
作者
Richard Peter（爱荷华大学）
摘要：Self-protection is a costly activity that reduces the probability of an unfavorable outcome. Even the simplest model with a binary risk of loss and expected utility of final wealth produces interesting comparative statics that are by no means trivial. This article provides a selective survey of the economics of self-protection. It puts particular emphasis on the contributions made by members of the European Group of Risk and Insurance Economists and research published in the Geneva Risk and Insurance Review. The article provides a conceptual framework to catalog existing models of self-protection, discusses the tension between risk aversion and downside risk aversion, reveals the role of probability thresholds, surveys extensions to non-expected utility, and highlights the recent surge in two-period models. Ideas for future research directions are also developed.
自我保护是一种降低不利结果概率的高成本活动。即使是最简单的包含二元风险和终端财富期望效用的模型，也能产生有趣且非平凡的比较静态分析。本文对自我保护经济学进行了选择性综述，特别强调了欧洲风险与保险经济学家协会（European Group of Risk and Insurance Economists）的贡献，以及发表在《日内瓦风险与保险评论》（Geneva Risk and Insurance Review）上的研究。文章提供了一个概念框架来分类现有的自我保护模型，讨论了风险厌恶与下行风险厌恶之间的密切关系，揭示了概率阈值的作用，回顾了对非期望效用的扩展，并强调了近期在两阶段模型方面的研究明显增加，还提出了未来研究方向的建议。
原文链接：
https://link.springer.com/article/10.1057/s10713-023-00094-1
Welfare analysis in insurance markets
保险市场的福利分析
作者
Casey Rothschild(韦尔斯利学院)
摘要：“Efficiency” in economics can be employed in two distinct ways: as a statement about the class of policies that all policy advisors would agree to, regardless of their views about distributional preferences; or as something valuable that policy advisors potentially need to trade-off against equity goals. This distinction can be safely put to the side in some settings, for instance when information is symmetric, individuals have linear-in-consumption preferences, and the planner can implement person-specific taxes and transfers. In asymmetric information settings like insurance markets, it cannot. The efficiency notion employed by Einav and Finkelstein (J Econ Perspect 25(1):115–138, 2011) for studying competitive insurance markets (EF-efficiency) can therefore only be understood in the second way, and policy recommendations based on EF-efficiency alone thus amount to a tacit expression of indifference to distributional concerns.
在经济学中，“效率”可以以两种截然不同的方式使用：作为一种关于所有政策顾问都会同意的政策类别的声明，无论他们对分配偏好的看法如何；或者作为一种有价值的东西，政策顾问可能需要与公平目标进行权衡。在某些情况下，这种区别可以被安全地暂不考虑，例如当信息是对称的，个体具有线性消费偏好，并且规划者可以实施针对个人的税收和转移支付时。但在保险市场这样的信息不对称的环境中，就不能这样做。因此，Einav和Finkelstein(J economics outlook 25(1):115 - 138,2011)在研究竞争性保险市场时所使用的效率概念(EF-efficiency)只能以第二种方式理解，因此仅基于EF-efficiency的政策建议就相当于默认了不关心分配问题。
原文链接：
https://link.springer.com/article/10.1057/s10713-024-00096-7
Evaluating sustainability actions under uncertainty: the role of improbable extreme scenarios
评估不确定性下的可持续性行动：不可能的极端情景的作用
作者
Christian Gollier(图卢兹大学)
摘要：An optimality condition for sustainability actions under discounted expected utility is that, ex post, we should almost surely regret having adjusted them too much for risk. In other words, ex post, one would almost surely feel regret for "excess" precautionary saving, excess insurance and hedging coverage, or for excess risk-bearing. Moreover, for marginal investments whose impacts materialize in t years, t tending to infinity, their state-contingent present value tends to zero almost surely, in spite of the fact that their expected value is one. The value of sustainable actions is thus mostly derived from very improbable extreme scenarios.
在贴现预期效用下，可持续性行动的最优性条件是，事后来看，人们几乎肯定会后悔风险调整得过多。换句话说，事后来看，人们几乎肯定会对“过度”的预防性储蓄、过多的保险和对冲覆盖，或过度的风险承担感到后悔。此外，对于那些在t年后产生影响的边际投资，当t趋于无穷大时，尽管它们的预期值是1，但它们的状态依赖的现值几乎肯定会趋于零。因此，可持续行动的价值主要来自于非常不可能发生的极端情景。
原文链接：
https://link.springer.com/article/10.1057/s10713-023-00095-0
Big data, risk classification, and privacy in insurance markets
保险市场中的大数据、风险分类与隐私
作者
Martin Eling（圣加仑大学）, Irina Gemmo（蒙特利尔高等商学院）, Danjela Guxha （圣加仑大学 ）， Hato Schmeiser（圣加仑大学 ）
摘要：The development of new technologies and big data analytics tools has had a profound impact on the insurance industry. A new wave of insurance economics research has emerged to study the changes and challenges those big data analytics developments engendered on the insurance industry. We provide a comprehensive literature review on big data, risk classification, and privacy in insurance markets, and discuss avenues for future research. Our study is complemented by an application of the use of big data in risk classification, considering individuals' privacy preferences. We propose a framework for analyzing the trade-off between the accuracy of risk classification and the discount offered to policyholders as an incentive to share private data. Furthermore, we discuss the conditions under which using policyholders' private data to classify risks more accurately is profitable for an insurer. In particular, we find that improving the accuracy of risk classification, if achieved by requiring the use of private data, does not necessarily provide an incentive for insurers to create more granular risk classes.
新技术和大数据分析工具的发展对保险业产生了深远的影响。一股新的保险经济学研究浪潮已经出现，以研究这些大数据分析技术发展对保险业带来的变化和挑战。我们对保险市场中的大数据、风险分类和隐私进行了全面的文献综述，并讨论了未来研究的途径。我们的研究得到了大数据在风险分类中应用的补充，考虑了个人的隐私偏好。我们提出了一个框架，用于分析风险分类的准确性与作为共享私人数据激励而向保单持有人提供的折扣之间的权衡。此外，我们讨论了在何种条件下，使用保单持有人的私人数据能更准确地对风险进行分类从而对保险公司有利。特别是，我们发现，如果通过要求使用私人数据来提高风险分类的准确性，并不一定能激励保险公司创建更精细的风险类别。
原文链接：
https://link.springer.com/article/10.1057/s10713-024-00098-5
Risk preferences and risk perceptions in insurance experiments: some methodological challenges
保险实验中的风险偏好与风险感知：一些方法论上的挑战
作者
Glenn W. Harrison（佐治亚州立大学；开普敦大学）
摘要：The ability to run experiments, or to see natural data as a quasi-experiment, does not free one from the need for theory when evaluating insurance behavior. Theory can be used to motivate the experimental design, evaluate latent effects from the experiment, or test hypotheses about latent effects or about observable effects that could be confounded by latent effects. The risk, evident in the broader behavioral literature in general, is the attention given to “behavioral story-telling” in lieu of rigorous scholarship. Such story-telling certainly has a role in fueling speculation about possible casual forces at work generating the data we see, but should not be mistaken for the final word. There is also a severe cost in terms of the heroic assumptions needed for identification. Again, such identifying assumptions can have a valuable role, but many general claims rely critically on those assumptions. Controlled laboratory experiments and Bayesian econometric methods should play a complementary role to field experiments and quasi-experiments. One clear lesson from the evaluation of methodological challenges is to use theory more, to explore the ability of “standard economics” to explain behavior. The time has long passed where straw men theories are set up to fail when confronted with behavior. Just as we want to consider flexible parametric functional forms when appropriate, we should be open to conventional economics applied more flexibly.
进行实验或将自然数据视为准实验的能力，并不能免除人们在评估保险行为时对理论的需求。理论可用于激励实验设计，评估实验的潜在效应，或检验关于潜在效应或可能被潜在效应混淆的可观察效应的假设。在更广泛的行为文献中，风险是对“行为故事讲述”的关注，而不是严格的学术研究。这种讲故事的方式肯定会助长人们对可能的偶然力量的猜测，从而产生我们看到的数据，但不应被误认为是最终的结论。在识别所需的大胆假设方面也有巨大的代价。同样，这种识别假设可以发挥宝贵作用，但许多一般性主张都严重依赖于这些假设。控制实验室实验和贝叶斯计量经济学方法应该与现场实验和准实验相辅相成。从方法论挑战的评估中得到的一个明确教训是，要更多地使用理论，探索“标准经济学”解释行为的能力。稻草人理论在面对行为时失败的时代早已过去。正如我们想在适当的时候考虑灵活的参数函数形式一样，我们应该对更灵活地应用传统经济学持开放态度。
原文链接：
https://link.springer.com/article/10.1057/s10713-024-00097-6
The role of normative analysis in markets with hidden knowledge and hidden actions
规范分析在具有隐性信息和隐性行动市场中的作用
作者
Keith J. Crocker（宾夕法尼亚州立大学）
摘要：When examining the economic impact of a change in policy regime, one may elect to conduct a positive analysis that considers the effect of such a policy change on the allocations supported as a market equilibrium. An alternative approach would be to perform a normative analysis that examines the effect of the regime change on the set of Pareto optimal allocations in the economy. In settings where the Fundamental Welfare Theorems hold, the isomorphism between equilibrium and Pareto efficient allocations implies that the choice of approach is largely a matter of convenience. When this isomorphism fails to hold, as in settings with hidden information or hidden actions, the equilibrium allocations may not be efficient so that a normative analysis of the alternative efficiency frontiers is required to determine whether the policy change is desirable in the sense of permitting potential Pareto improvements. If so, then an equilibrium analysis may be used to determine the extent to which such improvements may be realized by market participants.
在研究政策制度变化对经济的影响时，人们可以选择进行实证分析，考虑这种政策变化对作为市场均衡支持的分配的影响。另一种方法是进行规范分析，研究制度变革对经济中帕累托最优分配的影响。在基本福利定理成立的情况下，均衡分配与帕累托最优分配之间的同构性意味着方法的选择在很大程度上只是一个方便的问题。当这种同构关系不成立时，比如在有隐性信息或隐性行动的情况下，均衡分配可能就不是有效的，因此需要对其他效率边界进行规范分析，以确定政策变化在允许潜在的帕累托改进的意义上是否可取。如果是这样，则可利用均衡分析来确定市场参与者可在多大程度上实现这种改进。
原文链接：
https://link.springer.com/article/10.1057/s10713-024-00101-z
Who is ambiguity neutral?
谁是模糊中性者？
作者
Pavlo Blavatskyy（蒙彼利埃商学院）
摘要：A subjective expected utility maximizer is usually considered to be neutral to ambiguity (Knightian uncertainty). Arguably, a decision-maker who behaves as if he or she forms probabilistic beliefs over uncertain events (but does not necessarily maximize expected utility) is also ambiguity neutral. This note proposes a simple definition of (absolute) ambiguity neutrality in choice under Knightian uncertainty: if a decision-maker bets more money on event A rather than on event B then he or she should also consistently bet less money on event B (rather than on event A). This definition is consistent with the classic Ellsberg two- and three-color paradoxes.
主观预期效用最大化者通常被认为对模糊性（奈特不确定性，Knightian uncertainty）保持中立。可以这样说，对不确定事件形成概率信念（但不一定最大化预期效用）的决策者也是模糊中性的。本文提出了奈特不确定性条件下选择的（绝对）模糊中性的一个简单定义：如果决策者在事件 A 而非事件 B 上押注更多，那么他或她也应该始终在事件 B（而非事件 A）上押注更少。这一定义与经典的埃尔斯伯格（Ellsberg）双色悖论和三色悖论是一致的。
原文链接：
https://link.springer.com/article/10.1057/s10713-023-00086-1
An alternative representation of the C-CAPM with higher-order risks
具有高阶风险的C-CAPM的替代表述
作者
Georges Dionne（蒙特利尔高等商学院）, Jingyuan Li（岭南大学） & Cdric Okou（国际货币基金组织研究部）
摘要：This paper exploits the concept of expectation dependence to propose an alternative representation of the consumption-based capital asset pricing model (C-CAPM). While the first-degree expectation dependence (FED) drives the C-CAPM’s riskiness for a risk-averse investor, the second-degree expectation dependence (SED) is required to account for the downside risk faced by a prudent investor. Theoretical and empirical assessments reveal that the expectation dependence-based C-CAPM can realistically match equity and variance risk premia. The consumption SED risk emerges as a fundamental source of uncertainty driving asset prices.
本文利用期望相依的概念，提出了一种消费资本资产定价模型 (C-CAPM) 的替代表述。一阶期望相依（FED）决定了风险厌恶投资者的C-CAPM风险性，二阶期望相依（SED）则需要考虑谨慎投资者面临的下行风险。理论和实证评估表明，基于期望相依的C-CAPM能够现实地匹配股权和方差风险溢价。消费SED风险成为驱动资产价格的不确定性的重要来源。
本文作者可以追加内容哦 !
