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THE INFLUENCE OF CORRELATION AND LOADING ON M-V EFFICIENT RETENTIONS IN VARIABLE QUOTA SHARE PROPORTIONAL REINSURANCE.

PRESSACCO, Flavio
•
ZIANI, Laura
2012
  • conference object

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 on the efficient frontier of two key variables, correlation and safety loading levels, in a single period stylized problem.We found a clear separated influence of each variable (given the level of the other) and a surprising joint influence of both on the efficient set
DOI
10.1007/978-88-470-2342-0_41
Archivio
http://hdl.handle.net/11390/865992
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84900619240
Diritti
metadata only access
Soggetti
  • Mean Variance efficie...

  • constrained quadratic...

  • variable quota share

  • proportional reinsura...

  • group correlation

  • loading strategies

Scopus© citazioni
0
Data di acquisizione
Jun 2, 2022
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Visualizzazioni
3
Data di acquisizione
Apr 19, 2024
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