Research On Optimal Reinsurance Under Asymmetric Information

Information is the key factor in market trading,trading initiative often in the hands of information advantage.Classical economics assumes that all agents have the same amount of information,but in real life,information symmetry does not exist.In the reinsurance market,the insurer is usually the information advantager because the reinsurance company does not have full access to the private information of the policyholder.In the case of information asymmetry,the insurer may use its information advantage to damage the interests of the reinsurer in order to pursue the maximization of its own interests.If the reinsurer realizes that the other party is manipulating information,it will act accordingly,and the deal will be difficult to close.In order to solve this problem,the reinsurer often choose to design appropriate contract clauses to encourage the insurer to voluntarily reveal more hidden information.In this thesis,the optimal stop-loss reinsurance problem under asymmetric information is studied from the perspective of the reinsurer.We assume that there are two types of insurers and a monopoly reinsurer in the market.The two types of insurers not only face different potential risks,but also have different risk preferences.The above is private information concealed by the insurer,and the reinsurer cannot match the risk information to the two insurers one by one.Using the classical principal-agent model,we design a reinsurance menu consisting of two types of stop-loss reinsurance through individual rational constraints and incentive compatibility constraints.The insurer chooses the policy according to his own interests,and the policy he chooses maximizes the expected profit of the reinsurer.We study the optimal reinsurance under Va R and concave distortion risk measure respectively and obtain the optimal retention.On the basis of the concave distortion risk measure,the thesis further studies TVa R and obtains the concrete form of optimal stop-loss reinsurance.In our conclusion,the optimal reinsurance includes two design schemes: separating equilibrium and pooling equilibrium.We give the optimal choice in different market conditions and find that the separation equilibrium strategy is always the best in the same case.