Estimating Risk Preferences from Deductible Choice
利用汽车保险合同中的免赔额选择数据，构建结构计量模型来估计风险偏好，并发现风险态度存在巨大且偏斜的异质性，女性比男性更厌恶风险，风险厌恶随年龄呈U形变化，收入与财富与绝对风险厌恶正相关。
We develop a structural econometric model to estimate risk preferences from data on deductible choices in auto insurance contracts. We account for adverse selection by modeling unobserved heterogeneity in both risk (claim rate) and risk aversion. We find large and skewed heterogeneity in risk attitudes. In addition, women are more risk averse than men, risk aversion exhibits a U-shape with respect to age, and proxies for income and wealth are positively associated with absolute risk aversion. Finally, unobserved heterogeneity in risk aversion is greater than that of risk, and, as we illustrate, has important implications for insurance pricing.