Publication
From efficiency to optimality in proportional reinsurance under group correlation
| dc.contributor.author | Pressacco, Flavio | |
| dc.contributor.author | Ziani, Laura | |
| dc.date.accessioned | 2012-04-23T12:45:03Z | |
| dc.date.available | 2012-04-23T12:45:03Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | 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. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1432 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | Mean-variance efficiency | por |
| dc.subject | Constrained quadratic optimization | por |
| dc.subject | Proportional reinsurance | por |
| dc.subject | Group correlation | por |
| dc.title | From efficiency to optimality in proportional reinsurance under group correlation | 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 |