基于期望效用与前景理论的行为决策精算定价模型

The Decision-Making Actuarial Pricing Model Based on Expected Utility Theory and Prospect Theory

由于部分保险产品很难对被保险人进行区别定价,逆向选择问题在诸如健康保险之类的保险产品中非常严重。本文将利用期望效用理论和前景理论分别与传统精算定价模型进行结合,推导出行为决策精算定价模型,从根本上解决统一定价和逆向选择行为的问题,进一步证明行为决策精算定价模型解的存在性和唯一性的充分条件,讨论其模型的性质,最后对行为决策精算定价模型进行归纳,并推广到更一般的形式。

Adverse selection is very serious in some types of insurance products, especially those that cannot be priced based on individual health conditions such as the health insurance. This paper combined the traditional actuarial pricing model with the expected utility theory and the prospect theory to derive the decision-making actuarial pricing model. It could mitigate the adverse selection problem under the uniform pricing system. This paper would also justify the sufficient conditions for the existence of the decision-making actuarial pricing model and its uniqueness. Finally, the paper summarized the proposed decision-making actuarial pricing model and extended it to the general form.