A flexible model for actuarial risks under dependence

Willem/Wim Albers, W.C.M. Kallenberg, V. Lukocius

    Research output: Contribution to journalArticleAcademicpeer-review

    Abstract

    Methods for computing risk measures, such as stop-loss premiums, tacitly assume independence of the underlying individual risks. This can lead to huge errors even when only small dependencies occur. In the present paper, a general model is developed which covers what happens in practice in a realistic way. Moreover, it is also flexible, in the sense that it allows application in practice. Accurate and transparent approximations are presented, and the results obtained are illustrated through explicit examples.
    Original languageUndefined
    Article number10.1080/03461230701862822
    Pages (from-to)152-167
    Number of pages16
    JournalScandinavian actuarial journal
    Volume2009
    Issue number2
    DOIs
    Publication statusPublished - Jun 2009

    Keywords

    • METIS-264403
    • IR-62836
    • EWI-15441

    Cite this