The Risk-sharing Of Insurance Contracts Analysis Based On Princcipal-agent Theory

In the late 1960 s, Marsac "Information Economics Review" was published, which marked the economics of information was generated. Some economists conducted in-depth research on the asymmetry of company’s internal information and incentive problems, among which many scholars have proposed and developed the principal-agent theory,thus two schools of thought were formed:One was empirical agency theory, the other was the principal- agent theory(ie delegation – agency theory). In Insurance Science, the principal- agent theory was mainly used in the research on the incentives system problems of insurance agent.In view of this, this paper first adopted the principal- agent theoretical model to study the optimal risk-sharing insurance contract design problems in the insurance industry, and conversed the principal- agent relationship between insurers and policyholders. We believe that:in order to avoid the damage of the contract protected property,the insurer entrust the policyholder to act in accordance with its intended action after signing the insurance contract. This paper mainly analyzed that on the occasion of information asymmetry,how to design the optimal insurance contact model when there was a certain moral risk behavior of the policyholders. By establishing the parameterization insurance contract analysis model of the distribution function,we drew a conclusion that : when there was a certain moral risk behavior of the agent(policyholder),and the principle(insurer)can’t inspect the effort level α precisely,as m>0,the Pareto optimal risk-sharing is damaged,while the optimal insurance contact should obey part of the insurance so that the compensation which insurers pay for the policyholders is less than the loss of the expected accident. The insurance contact with such structure can effectively reduce the agent’s moral risk,so as to improve the effectiveness of the principle benefits.Then, on the basis of the lag of ARMA time series model,the optimal parameter estimation theory of ARMA model was further used. According to the interdependence of adjacent period factors,set the predict premiums as the objective function, and the previous period insurance premium together with the action and natural state of the insured during the forecast period as factors, then establish the corresponding insurance premium payment model,of which the estimation parameter of insurance premium is β. Adopt the optimal theory iterative algorithm to optimize,so that the model parameters can be obtained when the objective function i.e the predictive insurance premium get the minimum. The insurance company then can substitute concrete data into the given model to predict the insurance premium payment, which is of certain theoretical significance and research value for the future study and application in the relative aspects.