Optimal reinsurance and portfolio selection: Comparison between partial and complete information models
研究了部分信息与完全信息模型下保险公司的最优再保险和投资策略，发现部分信息使策略更保守，且信息质量通过风险溢价差异影响决策。
Abstract We consider partial and complete information models to investigate how partial information has a unique quality over complete information for insurers. We find that optimal reinsurance and investment strategies for the partially informed insurer depend on prior beliefs, whereas those for the completely informed insurer do not. In addition, information quality can affect insurer behaviour, mainly through the relative difference between risk‐adjusted market premium and risk‐adjusted insurance premium projected on the financial markets. Numerical results indicate that partial information increases the conservativeness of insurer strategies.