Publication
Reward-risk efficiency in proportional reinsurance with different risk measures
| dc.contributor.author | Pressacco, Flavio | |
| dc.contributor.author | Ziani, Laura | |
| dc.date.accessioned | 2012-04-23T12:42:00Z | |
| dc.date.available | 2012-04-23T12:42:00Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | 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. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1431 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | Risk measures | por |
| dc.subject | Reward-risk efficiency | por |
| dc.subject | Variable quota share proportional reinsurance | por |
| dc.subject | Group correlation | por |
| dc.title | Reward-risk efficiency in proportional reinsurance with different risk measures | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |