In this paper we introduce the idea of naive efficiency in proportional reinsurance. It is based on the intuitive idea of using (proportional) reinsurance to reduce, within an acceptable level, a proper measure of riskiness for each risk of a given portfolio. It is shown that, if the individual risk measure is chosen as as the one given by the covariance over expectation ratio, there is a strong connection between the set of naive efficient retentions and the set of mean variance efficient ones. As a general result the first set is a subset of the second one, but there is perfect matching in the particular interesting cases of no correlation and group correlation.
Naive decisions and mean-variance efficiency in proportional reinsurance under group correlation.
PRESSACCO, Flavio;SERAFINI, Paolo;ZIANI, Laura
2010-01-01
Abstract
In this paper we introduce the idea of naive efficiency in proportional reinsurance. It is based on the intuitive idea of using (proportional) reinsurance to reduce, within an acceptable level, a proper measure of riskiness for each risk of a given portfolio. It is shown that, if the individual risk measure is chosen as as the one given by the covariance over expectation ratio, there is a strong connection between the set of naive efficient retentions and the set of mean variance efficient ones. As a general result the first set is a subset of the second one, but there is perfect matching in the particular interesting cases of no correlation and group correlation.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
