Browsing by Author "Pressacco, Flavio"
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- From efficiency to optimality in proportional reinsurance under group correlationPublication . Pressacco, Flavio; Ziani, LauraBased on our recent discovery of closed form formulae of efficient Mean Variance retentions in variable quota-share proportional reinsurance under group correlation, we analyzed the influence of different combination of correlation and safety loading levels on the efficient frontier, both in a single period stylized problem and in a multiperiod one.
- Reward-risk efficiency in proportional reinsurance with different risk measuresPublication . Pressacco, Flavio; Ziani, LauraWe 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.