Identification of Insurance Models with Multidimensional Screening

Gaurab Aryal (aryalg@bu.edu), Isabelle Perrigne and Quang Vuong

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Abstract: This paper addresses the identification of insurance models with multidimensional screening where insurees have private information about their risk and risk aversion. The model includes a random damage and the possibility of several claims. Screening of insurees relies on their certainty equivalence. The paper then investigates how data availability on the number of offered coverages and reported claims affects the identification of the model primitives under four different scenarios. We show that the model structure is identified despite bunching due to multidimensional screening and/or a finite number of offered coverages. The observed number of claims plays a key role in the identification of the joint distribution of risk and risk aversion. In addition, the paper derives all the restrictions imposed by the model on observables. Our results are constructive with explicit equations for estimation and model testing.

Date: 2015-08, Revised 2016-01
New Economics Papers: this item is included in nep-cta and nep-ias
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Citations: View citations in EconPapers (1)

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http://arxiv.org/pdf/1508.02919 Latest version (application/pdf)

Related works:
Working Paper: Identification of Insurance Models with Multidimensional Screening (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1508.02919

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