Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1431
Título: Reward-risk efficiency in proportional reinsurance with different risk measures
Autor: Pressacco, Flavio
Ziani, Laura
Palavras-chave: Risk measures
Reward-risk efficiency
Variable quota share proportional reinsurance
Group correlation
Data: Jul-2011
Resumo: We have studied, in particular under normality of the implied random variables, the connections between different measures of risk such as the standard deviation, the W-ruin probability and the p-V@R. We discuss conditions granting the equivalence of these measures with respect to risk preference relations and the equivalence of dominance and efficiency of risk-reward criteria involving these measures. Then more specifically we applied these concepts to rigorously face the problem of finding the efficient set of de Finetti’s variable quota share proportional reinsurance.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1431
Aparece nas colecções:ISCAL - Comunicações

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
34b.pdf151,7 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.