Mean–variance efficient strategies in proportional reinsurance under group correlation in a gaussian framework
2011; Springer Nature; Volume: 1; Issue: S2 Linguagem: Inglês
10.1007/s13385-011-0020-6
ISSN2190-9741
AutoresFlavio Pressacco, Paolo Serafini, Laura Ziani,
Tópico(s)Statistical Methods and Inference
ResumoThe paper concerns optimal mean–variance proportional reinsurance under group correlation. In order to solve the corresponding constrained quadratic optimization problem, we make large recourse both to the smart friendly technique originally proposed by B. de Finetti in his pioneering paper (Giornale Istituto Italiano Attuari 9:1–88, 1940) and to the well known Karush–Kuhn–Tucker conditions for constrained optimization. We offer closed form results and insightful considerations about the problem. In detail, we give closed form formulae to express the efficient mean–variance retention set both in the retention space and in the mean–variance one.
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