Type of Document Dissertation Author Yan, Zhiqiang Author's Email Address davyyan@gmail.com URN etd-09032009-111457 Title REINSURANCE CONTRACTING WITH ADVERSE SELECTION AND MORAL HAZARD: THEORY AND EVIDENCE Degree Ph.D. Department Risk Management and Insurance Advisory Committee
Advisor Name Title Ajay Subramanian Committee Chair George Zanjani Committee Member Martin Grace Committee Member Richard Phillips Committee Member Susan Laury Committee Member Keywords
- contract theory
- reinsurance market
- adverse selection
- moral hazard
- asymmetric information
Date of Defense 2009-05-28 Availability unrestricted Abstract This dissertation includes two essays on adverse selection and moral hazard problems in reinsurance markets. The first essay builds a competitive principal-agent model that considers adverse selection and moral hazard jointly, and characterizes graphically various forms of separating Nash equilibria. In the second essay, we use panel data on U.S. property liability reinsurance for the period 1995-2000 to test for the existence of adverse selection and moral hazard. We find that (1) adverse selection is present in private passenger auto liability reinsurance market and homeowners reinsurance market, but not in product liability reinsurance market; (2) residual moral hazard does not exist in all the three largest lines of reinsurance, but is present in overall reinsurance markets; and (3) moral hazard is present in the product liability reinsurance market, but not in the other two lines of reinsurance.Files
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