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The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Flavio Pressacco

    (University of Udine, Dept. of Economics and Finance)

  • Laura Ziani

    (University of Udine, Dept. of Economics and Finance)

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.

Suggested Citation

  • Flavio Pressacco & Laura Ziani, 2012. "The influence of correlation and loading on M–V efficient retentions in variable quota share proportional reinsurance," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 349-357, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-2342-0_41
    DOI: 10.1007/978-88-470-2342-0_41
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