원문정보
초록
영어
This paper investigates the optimal mark–to–market reinsurance and asset investment strategies for insurers with complete or partial information on expected return. The insurer with partial information is assumed to have prior belief on the expected return and to update her posterior beliefs by exploiting its price information. We show that the strategies of the insurer with partial information can be highly dependent on prior belief, and that variation in posterior beliefs gives rise to her counter–cyclical investment demand. By comparing the two insurers’ strategies, we show that insurer’s utility gain by the information acquisition is a concave function with respect to prior belief. This conclusion can be explained by the relative importance between reinsurance costs and demands on precautionary saving.
목차
1. Introduction
2. The Basic Set-Up
2.1. Financial Market
2.2. Insurance Claim
2.3. Reinsurance
2.4. The Insurer’s Goal
3. The CI Model: A Model with Complete Information
3.1. A Completely Informed Insurer
3.2. The Insurer’s Optimal Strategies
4. The PI Model: A Model with Partial Information
4.1. A Partially Informed Insurer
4.2. The Insurer’s Optimal Strategies
4.3. The Properties of the Certainty Equivalent Wealth f
5. Implications
5.1. Parameters
5.2. Optimal Reinsurance Strategy
5.3. Optimal Portfolio Strategy
5.4. The Effect of Information Quality
6. Conclusion
Appendix A. The Proof of Theorem 1
Appendix B. The Proof of Theorem 2
Appendix C. Proof of Proposition 1
Appendix D. Proof of Proposition 2
References