An Incentive‐Compatible Experiment on Probabilistic Insurance and Implications for an Insurer's Solvency Level
通过激励相容实验，用真实货币支付检验概率保险假说，发现消费者对保险的支付意愿随违约风险增加而急剧下降，并据此建议保险公司应选择零违约风险策略。
A BSTRACT This article is the first to conduct an incentive‐compatible experiment using real monetary payoffs to test the hypothesis of probabilistic insurance, which states that willingness to pay for insurance decreases sharply in the presence of even small default probabilities as compared to a risk‐free insurance contract. In our experiment, 181 participants state their willingness to pay for insurance contracts with different levels of default risk. We find that the willingness to pay sharply decreases with increasing default risk. Our results, hence, strongly support the hypothesis of probabilistic insurance. Furthermore, we study the impact of customer reaction to default risk on an insurer's optimal solvency level using our experimentally obtained data on insurance demand. We show that an insurer should choose to be default‐free rather than having even a very small default probability. This risk strategy is also optimal when assuming substantial transaction costs for risk management activities undertaken to achieve the maximum solvency level.