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Pricing Pension Insurance: The Proposed Levy Structure for the Pension Protection Fund

✍ Scribed by David McCarthy; Anthony Neuberger


Book ID
111212603
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
108 KB
Volume
26
Category
Article
ISSN
0143-5671

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The problem of determining optimal retention levels for a non-life portfolio consisting of a number of independent sub-portfolios was first discussed by de Finetti (1946). He considered retention levels to be optimal if they minimized the variance of the insurer's profit from the portfolio subject t