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

Flavio Pressacco (1) , Paolo Serafini (2) , Laura Ziani (1)

1 Università degli Studi di Udine - University of Udine [Italie]
2 DIMI - Dipartimento di Matematica e Informatica - Universita Udine

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.

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

Domaines: Economies et finances

Flavio Pressacco, Paolo Serafini, Laura Ziani. Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework. 2010. ⟨hal-00496300⟩