Publications
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Papers
Optimal Reinsurance and Portfolio Selection:Comparison between Partial and Complete Information...
- 발행일
- 2021.01.18
- 발행기관
- European Financial Management(2021)
- 저자
- Hyun-Tak Lee, Kyeong Tae Kim, Bong-Gyu Jang
- Link
- https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2727075
초록
This paper studies how partial information for insurers can have unique information quality over complete information in a two-state regime-switching market environment. In our models, we consider a partially-informed insurer who learns time variation in expected returns across the two regimes and a completely-informed insurer who ascertains how often such regime switches happen on average. We find that the optimal reinsurance and investment strategies for the partially-informed insurer depend on prior belief, whereas those for the completely-informed insurer do not. We also find that information quality can affect the insurersóptimal behaviors mainly through the relative difference between the risk-adjusted market premium and the risk-adjusted insurance premium projected on the financial market.Numerical results indicate that partial information on the market parameters tend to lead insurers to more conservative strategies than complete information does.
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