1 resultado para OPTIMALITY

em Repositório Científico do Instituto Politécnico de Lisboa - Portugal


Relevância:

20.00% 20.00%

Publicador:

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.