À繫¿¬±¸ Á¦ ±Ç È£ (2017³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.1235~1265
pp.1235~1265
Mark?to?Market Reinsurance and Portfolio Selection : Implications for Information Quality
Bong-Gyu Jang Department of Industrial and Management Engineering, POSTECH
Kyeong Tae Kim Department of Industrial and Management Engineering, POSTECH
Hyun?Tak Lee Risk Management Institute, National University of Singapore
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.
Bong-Gyu Jang
Kyeong Tae Kim
Hyun?Tak Lee
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.