Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework
AbstractThe 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 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 formulas to express the efficient mean-variance retention set both in the retention space and in the mean-variance one.
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Bibliographic InfoPaper provided by HAL in its series Working Papers with number hal-00496300.
Date of creation: 01 Mar 2010
Date of revision:
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00496300/en/
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Mean-Variance efficiency; constrained quadratic optimization; proportional reinsurance; group correlation.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-10 (All new papers)
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