<p>This paper is based on the structural model proposed by Cohen and Einav [2007]<br />to estimate the joint distribution of risk and risk aversion in the automobile insurance<br />market. However, while they estimated the model for a single insurer in the Israeli<br />market, we estimated the model by considering the top ve insurers in the Brazilian<br />market at the same time. This difference allowed us to capture the eect of competition<br />on the joint distribution of risk and risk aversion. A counterfactual exercise allowed<br />us to verify that the insurer with the largest market share can implement the optimal<br />contract, while the others do not.</p>

This study compares the explanatory power of the residual income valuation (RIV), abnormal earnings growth (AEG) and free cash flow (FCF) models in the Brazilian capital market, through an empirical test to compare the three models, using data on companies listed on the BOVESPA. Each model was analyzed annually over the period from 1995 to 2002 by multiple linear regression. The results show that from 1995 to 1999 the RIV model had better explanatory power than the other two models, and from 2000 to 2002 the AEG and RIV models were the same, an indicator of the Brazilian market's development in the more recent years of the study period. The FCF model had the least explanatory power in all the years analyzed. The results were confirmed by panel data analysis.

O preço final em um contrato de seguro de automóvel não depende apenas da seguradora, mas também do corretor de seguros. Sendo assim, o corretor é capaz de alterar o mecanismo desenhado inicialmente pela seguradora, distorcendo a alocação do risco entre as partes. Este artigo adapta o modelo de Stahl (1989) ao mercado de seguros de automóveis com o objetivo de explicar o comportamento estratégico dos corretores. O modelo prevê que o valor esperado da taxa de comissão escolhida pelo corretor seja função decrescente do prêmio requerido pela seguradora. Esta previsão foi testada e confirmada empiricamente, utilizando dados sobre vendas de apólices no mercado brasileiro. Na prática, este artigo contribui para que as seguradoras tenham maior controle sobre o prêmio final do seguro, o que torna a alocação do risco mais eficiente neste mercado.
The final price in a contract of automobile insurance depends not only the insurance company, but also the insurance agent. Thus, the agent is able to change the mechanism initially designed by the insurer, distorting the allocation of risk between the parts. This article adapts the model of Stahl (1989) to automobile insurance market in order to explain the agent's strategic behavior. The model predicts that the expected value of the commission rate chosen by the agent is a decreasing function of the premium required by the insurer. This prediction was tested and confirmed empirically using data on sales of policies in the Brazilian market. In practice, this article gives to the insurers more control over the final price, which drives to a more efficient allocation of risk in this market

We analyze Brazilian data on auto insurance and document that (a) about 20% of policies are sold without brokerage commission; (b) over 40% are sold at the highest fee allowed; and (c) the remaining contracts are associated with a spread‐out distribution of fees. Static models cannot rationalize these findings. We develop a dynamic model of price competition with search and switching costs that reproduces them. We use the equilibrium structure to estimate the model parameters and infer the brokers' expected earnings, the frequency that insurees switch brokers, and the counterfactual effects of a price ceiling policy.

ResumoAo analisar uma extensa base de dados sobre o mercado brasileiro de seguros de automóveis, encontramos um fato estilizado: a frequência de sinistros declarados é maior nos primeiros meses de vigência contratual. Para explicá-lo, propomos uma versão modicada do modelo de Venezia e Levy (1980), na qual demonstramos que a pseudofranquia é menor no início do contrato. A pseudofranquia é um valor não observável, superior à franquia estipulada em contrato, até o qual o segurado tem incentivo a não declarar suas perdas. Dado que a pseudofranquia é menor no início do contrato, o modelo prevê que haverá uma frequência maior de perdas (de menor valor) sendo declaradas neste período. Para testar esta previsão, regredimos o logaritmo das indenizações contra dummies de tempo, e obtivemos que no primeiro trimestre de vigência o valor médio das perdas declaradas é aproximadamente 2,21% menor em relação ao segundo trimestre. Esta informação pode ser utilizada pelas seguradoras para ajustar o valor das franquias nos primeiros meses dos contratos a fim de reduzir suas taxas de sinistralidade. Palavras-ChaveSeguro de automóvel. Pseudofranquia. Declarar sinistro. AbstractUpon analyzing an extensive database on the Brazilian auto insurance market, we found a stylized fact: the frequency of claims is higher in the first months of the contract. In order to explain this fact, we propose a modified version of Venezia and Levy (1980) model, in which we show that pseudodeductible is lower at the beginning of the contract. The pseudodeductible is an unobservable threshold, higher than the deductible stipulated in the contract, below which the insuree has an incentive not to claim his losses. Given that the pseudodeductible is smaller at the beginning of the contract, the model predicts that there will be a higher frequency of losses (of lower value) being claimed in this period. In order to test this prediction, we regressed the logarithm of ♦ Agradecemos ao CNPq por ter possibilitado e financiado esta pesquisa.