後悔型式效用函數風險參數之估計---台灣家計單位實證研究

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Title:	後悔型式效用函數風險參數之估計---台灣家計單位實證研究
Authors:	田峻吉
Contributors:	淡江大學保險學系
Date:	2009
Issue Date:	2010-04-15 15:30:55 (UTC+8)
Abstract:	Bell(1982)提出後悔理論，開啟後悔情緒對於個體決策影響之探討。後悔理論之期望效用(Regret-Theoretical Expected Utility; RTEU)包含兩個部份：一般效用函數加上可以描述後悔情緒的後悔轉換函數所組成。過去文獻探討後悔效用函數多侷限於實驗設計與理論推導的方式，並沒有利用實證資料推估後悔效用函數。本計劃主要目的是使用我國主計處家庭收支調查統計資料與樂透彩券資料對於後悔效用函數相關性質與參數估計進行實證研究。本研究以Braun and Muermann (2004)的模型為基礎，先建立個體在具有後悔情緒下是否購買樂透彩券的理論模型。並以此模型作為實證研究的依據，利用主計處家庭收支調查統計資料，得到初始財富、樂透彩券購買數量等資訊，再根據理論模型公式計算每期樂透彩券預估總銷售量。並且將預估總銷售量與實際總銷售量做比較，使其兩者誤差平方值為最小，用以推估後悔轉換函數之參數。本計畫也會帶入不同形式之效用函數與後悔轉換函數，以驗證更多有關後悔理論之性質。希望本計劃結果能夠幫助釐清後悔情緒對於個體決策之影響，並且使用實證資料使我們更了解後悔效用函數之性質。 Even though expected utility (EU) provide the useful approach to analyze the individual’s behavior under risk and uncertainty, there still exist some paradoxes and violations against the axioms of expected utility. Regret, one kind of human’s emotion, proposed by Bell (1985), plays a significant role in making the decision such as buying insurance, gambling and proceeding asset allocation. The regret-theoretical expected utility (RTEU) includes two parts: one is the traditional expected utility function; the other is the regret-transformed function. Although a large number of studies have been made on this topic by experimental or theoretical methodologies, little attention has been given to this problem by empirical testing. The purpose of this project is to estimate the parameters of RTEU by using Survey of Family Income and Expenditure (SFIE) and Lottery data in Taiwan. At the beginning, regret-theoretical model of this project, based on Braun and Muermann (2004), create the criterion to determine whether the individual buy lottery tickets or not. Then, by utilizing SFIE about household initial wealth, expenditure on lottery ticket, we can calculate the estimated total lotto sales for every turn. To minimize the square difference between the estimated and the actual total lotto sales, we can estimate the parameters of RTEU. The results of this project could provide a clearer version for characteristics of RTEU and help us understand how regret emotion affects the household’s decision.
Appears in Collections:	[Graduate Institute & Department of Insurance Insurance] Research Paper

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