基于数理分析的保险业道德风险研究.doc

西安建筑科技大学硕士学位论文 基于数理分析的保险业道德风险研究 专 业：应用数学 硕 士 生：高亚利 指导教师：王建国 副教授 摘 要 随着我国保险业的不断发展，保险代理市场出现了种种弊端，如：隐瞒投保人风险、故意做假保险单、误导投保人等。针对保险代理人道德风险频繁发生的现状，本文运用以委托—代理理论为主的信息经济学，研究探讨了保险代理人的道德风险问题。 通过对保险业道德风险的成因的分析，发现一方面是由于保险人和保险代理人双方信息不对称，利益不一致等系统性原因；另一方面是保险人采用不合理的经营方式等技术性原因。 本文从两个角度探讨了如何规避保险业道德风险。第一 ，将保险代理人和保险人置于委托代理框架中，在保险人的产出函数为非线性函数的前提下，且分别在双方信息对称与信息不对称的条件下，建立了委托—代理数理模型，并分析了最优激励合约的特征。第二，分别在混合战略纳什均衡模型和动态委托—代理模型下，分析了保险人的查处行为和保险代理人的道德风险行为，并讨论了保险人防范道德风险的临界查处成本、查处空间和保险代理人的违规行为所得的收益及违规行为空间，最后给出了防范道德风险的具体措施。 关键词：保险；委托；代理；道德风险；激励机制 西安建筑科技大学硕士学位论文 Studies on the Moral Hazard of Insurance Industry Based on the Mathematical Analysis Specialty: Applied mathematics Name:Gao Ya-li Instructor: Wang Jian-guo Associate professor ABSTRACT With the continuous development of China’s insurance industry, there have been various drawbacks in the insurance agency market, such as: covering of the insured risks, intentional fraud insurance and misleading the insured and so on. Targeting to these problems, this paper, with the principal-agent theory based information economics, studies the insurance agent’s moral risk problem. Through the analysis of the causes of moral risk in the insurance industry, it is found that one is the asymmetric information and conflicting interests between the insurer and the insurance agent and another is that insurance companies use unreasonable operating methods. This paper discusses how to avoid insurance moral risk from two perspectives. First, the insurance agent and the insured are placed in the principal-agent framework, where the insurer’s output function is a nonlinear function, a principal-agent mathematical model is established for symmetric information and asymmetric information for the two sides, and the characteristics of optimal incentive contracts are analyzed. Second, respectively, under the mixed strategy Nash equilibrium model and the dynamic principal-agent model, it is analyzed the insurer’s investigating be