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

Author

Listed:
  • 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)

Abstract

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.

Suggested Citation

  • Flavio Pressacco & Paolo Serafini & Laura Ziani, 2010. "Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework," Working Papers hal-00496300, HAL.
  • Handle: RePEc:hal:wpaper:hal-00496300
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00496300
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    Keywords

    group correlation; Mean-Variance efficiency; constrained quadratic optimization; proportional reinsurance; group correlation.;

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