教師資料查詢 | 類別: 會議論文 | 教師: 汪琪玲 Kili C. Wang (瀏覽個人網頁)

標題:Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles
學年108
學期1
發表日期2019/08/04
作品名稱Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles
作品名稱(其他語言)
著者Yi-Chieh Huang; Kamhon Kan; Larry Y. Tzeng; Kili C. Wang
作品所屬單位
出版者
會議名稱American Risk and Insurance Association 2019 Annual Meeting
會議地點舊金山, 美國
摘要Knowing how small violation individuals would accept against stochastic dominancerules is a prerequisite for applying almost stochastic dominance criteria. Different fromprevious results obtained by experiments, this paper estimates acceptable violation againststochastic dominance rules with 940,904 observations of real data on a deductible choiceof automobile theft insurance. We find that for all policyholders in the sample who chose a low deductible, the upper bound estimate of acceptable violation ratio is 8.198−08 which is close to zero. On the other hand, considering most decision makers, such as 99% (95%) of the policyholders in the sample, who chose the low deductible, the upper bound estimate of the acceptable violation ratio is 0.0399 (0.0727). Our results provide reference values of the acceptable violation ratio and justification for applying almost stochastic dominance rules.
關鍵字stochastic dominance;generalized almost second-degree stochastic domi- nance;preference parameter;automobile theft insurance;deductible
語言英文
收錄於
會議性質國際
校內研討會地點
研討會時間20190804~20190807
通訊作者
國別美國
公開徵稿
出版型式
出處
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