From efficiency to optimality in proportional reinsurance under group correlation
| Data(s) |
23/04/2012
23/04/2012
01/07/2011
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|---|---|
| Resumo |
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. |
| Identificador | |
| Idioma(s) |
eng |
| Direitos |
openAccess |
| Palavras-Chave | #Mean-variance efficiency #Constrained quadratic optimization #Proportional reinsurance #Group correlation |
| Tipo |
conferenceObject |
