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Orientador(es)
Resumo(s)
Based 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.
Descrição
Palavras-chave
Mean-variance efficiency Constrained quadratic optimization Proportional reinsurance Group correlation