Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1432
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dc.contributor.authorPressacco, Flavio-
dc.contributor.authorZiani, Laura-
dc.date.accessioned2012-04-23T12:45:03Z-
dc.date.available2012-04-23T12:45:03Z-
dc.date.issued2011-07-
dc.identifier.urihttp://hdl.handle.net/10400.21/1432-
dc.description.abstractBased 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.language.isoengpor
dc.rightsopenAccesspor
dc.subjectMean-variance efficiencypor
dc.subjectConstrained quadratic optimizationpor
dc.subjectProportional reinsurancepor
dc.subjectGroup correlationpor
dc.titleFrom efficiency to optimality in proportional reinsurance under group correlationpor
dc.typeconferenceObjectpor
dc.peerreviewedyespor
degois.publication.locationXII Iberian-Italian Congress of Financial and Actuarial Mathematicspor
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