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
THE INFLUENCE OF CORRELATION AND LOADING ON M-V EFFICIENT RETENTIONS IN VARIABLE QUOTA SHARE PROPORTIONAL REINSURANCE.
PRESSACCO, Flavio;ZIANI, Laura
2012-01-01
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 setFile in questo prodotto:
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