Bowley reinsurance with asymmetric information on the insurer's risk preferences
Bowley reinsurance with asymmetric information on the insurer's risk preferences
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DOI：
10.1080/03461238.2020.1867631
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发表时间：
2021-01
影响因子：
1.8
通讯作者：
Tim J. Boonen;K. Cheung;Yiying Zhang
中科院分区：
文献类型：
--
作者：
Tim J. Boonen;K. Cheung;Yiying Zhang
Bowley解是指当存在垄断性再保险公司时，再保险公司的最优定价密度和保险人的最优退让损失。在序时博弈中，再保险人首先设定定价核，然后保险人根据定价核选择再保险合同。本文研究了再保险人不知道保险人身份的不对称信息下保险人风险偏好的Bowley解。通过假设保险人采用风险价值度量或凸扭曲风险度量，确定保险人的最优定价核和再保险公司的最优割让损失函数。给出了数值算例来说明计算结果。
ABSTRACT The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsurer. In a sequential game, the reinsurer first sets the pricing kernel, and thereafter the insurer selects the reinsurance contract given the pricing kernel. In this article, we study Bowley solutions under asymmetric information on the insurer's risk preferences where the identity of the insurer is unknown to the reinsurer. By assuming that the insurer adopts a Value-at-Risk measure or a convex distortion risk measure, the optimal pricing kernel for the insurer and the optimal ceded loss function for the reinsurer are determined. Numerical examples are presented to illustrate the results.