有利選擇、逆選擇或道德危險？探討再保險市場的資訊不對稱

Propitious/Adverse Selection or Moral Hazard? Information Asymmetry in the Reinsurance Markets

雖然在保險市場的資訊不對稱已經被廣泛討論，但在再保險市場卻不是如此。在本文中，我們探討是否以及哪一種形式的資訊不對稱存在於英國產險的再保險市場。利用1985至2012年的資料，我們發現有利選擇普遍存在於再保險市場，特別是在第三方責任險與其他及金錢損失再保險市場。此外，資訊不對稱現象也被發現存在於汽車與海上、航空及運輸再保險市場。我們進一步發現有利選擇存在於高損失率分出分量，但卻沒有證據顯示其存在於低損失率分出分量裡。

Although information asymmetry is extensively discussed in insurance markets, this is not the case in reinsurance markets. In this paper, we determine whether and which kind of information asymmetry exists within the United Kingdom non-life reinsurance markets. Using data from 1985 and 2012, we find that propitious selection is generally found to exist throughout the reinsurance markets, particularly in the third-party liability and miscellaneous and pecuniary loss reinsurance markets. Additionally, information asymmetry phenomena are also found in the motor and marine, aviation and transport reinsurance markets. Our results further reveal that propitious selection is found to exist in high loss ratio ceded quantiles, whereas there is no evidence of its existence in low loss ratio ceded quantiles.