Estimating risk preferences from deductible choice:
"We use a large data set of deductible choices in auto insurance contracts to estimate the distribution of risk preferences in our sample. To do so, we develop a structural econometric model, which accounts for adverse selection by allowing for unobserved heterogeneity in both risk (probability...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11461 |
| Schlagworte: | |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | "We use a large data set of deductible choices in auto insurance contracts to estimate the distribution of risk preferences in our sample. To do so, we develop a structural econometric model, which accounts for adverse selection by allowing for unobserved heterogeneity in both risk (probability of an accident) and risk aversion. Ex-post claim information separately identifies the marginal distribution of risk, while the joint distribution of risk and risk aversion is identified by the deductible choice. We find that individuals in our sample have on average an estimated absolute risk aversion which is higher than other estimates found in the literature. Using annual income as a measure of wealth, we find an average two-digit coefficient of relative risk aversion. We also find that women tend to be more risk averse than men, that proxies for income and wealth are positively related to absolute risk aversion, that unobserved heterogeneity in risk preferences is higher relative to that of risk, and that unobserved risk is positively correlated with unobserved risk aversion. Finally, we use our results for counterfactual exercises that assess the profitability of insurance contracts under various assumptions"--National Bureau of Economic Research web site. |
| Beschreibung: | 63 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11461 | |
| 520 | 3 | |a "We use a large data set of deductible choices in auto insurance contracts to estimate the distribution of risk preferences in our sample. To do so, we develop a structural econometric model, which accounts for adverse selection by allowing for unobserved heterogeneity in both risk (probability of an accident) and risk aversion. Ex-post claim information separately identifies the marginal distribution of risk, while the joint distribution of risk and risk aversion is identified by the deductible choice. We find that individuals in our sample have on average an estimated absolute risk aversion which is higher than other estimates found in the literature. Using annual income as a measure of wealth, we find an average two-digit coefficient of relative risk aversion. We also find that women tend to be more risk averse than men, that proxies for income and wealth are positively related to absolute risk aversion, that unobserved heterogeneity in risk preferences is higher relative to that of risk, and that unobserved risk is positively correlated with unobserved risk aversion. Finally, we use our results for counterfactual exercises that assess the profitability of insurance contracts under various assumptions"--National Bureau of Economic Research web site. | |
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| 650 | 4 | |a Automobile insurance | |
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| id | DE-604.BV023591567 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906897 |
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| physical | 63 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Cohen, Alma Verfasser (DE-588)129362034 aut Estimating risk preferences from deductible choice Alma Cohen ; Liran Einav Cambridge, Mass. National Bureau of Economic Research 2005 63 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11461 "We use a large data set of deductible choices in auto insurance contracts to estimate the distribution of risk preferences in our sample. To do so, we develop a structural econometric model, which accounts for adverse selection by allowing for unobserved heterogeneity in both risk (probability of an accident) and risk aversion. Ex-post claim information separately identifies the marginal distribution of risk, while the joint distribution of risk and risk aversion is identified by the deductible choice. We find that individuals in our sample have on average an estimated absolute risk aversion which is higher than other estimates found in the literature. Using annual income as a measure of wealth, we find an average two-digit coefficient of relative risk aversion. We also find that women tend to be more risk averse than men, that proxies for income and wealth are positively related to absolute risk aversion, that unobserved heterogeneity in risk preferences is higher relative to that of risk, and that unobserved risk is positively correlated with unobserved risk aversion. Finally, we use our results for counterfactual exercises that assess the profitability of insurance contracts under various assumptions"--National Bureau of Economic Research web site. Ökonometrisches Modell Automobile insurance Deductibles (Insurance) Econometric models Risk assessment Einav, Liran 1970- Verfasser (DE-588)130571709 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11461 (DE-604)BV002801238 11461 http://papers.nber.org/papers/w11461.pdf kostenfrei Volltext |
| spellingShingle | Cohen, Alma Einav, Liran 1970- Estimating risk preferences from deductible choice National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Automobile insurance Deductibles (Insurance) Econometric models Risk assessment |
| title | Estimating risk preferences from deductible choice |
| title_auth | Estimating risk preferences from deductible choice |
| title_exact_search | Estimating risk preferences from deductible choice |
| title_exact_search_txtP | Estimating risk preferences from deductible choice |
| title_full | Estimating risk preferences from deductible choice Alma Cohen ; Liran Einav |
| title_fullStr | Estimating risk preferences from deductible choice Alma Cohen ; Liran Einav |
| title_full_unstemmed | Estimating risk preferences from deductible choice Alma Cohen ; Liran Einav |
| title_short | Estimating risk preferences from deductible choice |
| title_sort | estimating risk preferences from deductible choice |
| topic | Ökonometrisches Modell Automobile insurance Deductibles (Insurance) Econometric models Risk assessment |
| topic_facet | Ökonometrisches Modell Automobile insurance Deductibles (Insurance) Econometric models Risk assessment |
| url | http://papers.nber.org/papers/w11461.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT cohenalma estimatingriskpreferencesfromdeductiblechoice AT einavliran estimatingriskpreferencesfromdeductiblechoice |