학회소식
[2017년 제 2차] Mark-to-Market Reinsurance and Portfoli
작성자 : 관리자
조회수 : 776
게시일 :
2017-05-30
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.
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