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Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework

Listed author(s):
  • Flavio Pressacco


    (DIFI - Dept. of Finance, University of Udine, Italy - Dept. of Finance, University of Udine, Italy)

  • Paolo Serafini


    (DIMI - Dipartimento di Matematica e Informatica - Universita Udine - Università degli studi di Udine)

  • Laura Ziani


    (DIFI - Dept. of Finance, University of Udine, Italy - Dept. of Finance, University of Udine)

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    The 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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    Paper provided by HAL in its series Working Papers with number hal-00496300.

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    Date of creation: 01 Mar 2010
    Handle: RePEc:hal:wpaper:hal-00496300
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