Approximations for stop-loss reinsurance premiums

Rajko Reijnen, Willem Albers, Wilbert C.M. Kallenberg

    Research output: Contribution to journalArticleAcademicpeer-review

    11 Citations (Scopus)
    5 Downloads (Pure)


    Various approximations of stop-loss reinsurance premiums are described in literature. For a wide variety of claim size distributions and retention levels, such approximations are compared in this paper to each other, as well as to a quantitative criterion. For the aggregate claims two models are used, both involving various model parameters. In the first model the claims are simply independent, while a certain dependence structure is assumed in the second model. A relatively simple rule of thumb is formulated for choosing the best approximation for either model. This approximation satisfies the aforementioned criterion. Finally, by comparing the two models, it is demonstrated that a small degree of dependence between the claims already has a substantial effect on the stop-loss premiums. The difference can run up to a factor 500.
    Original languageEnglish
    Pages (from-to)237-250
    Number of pages14
    JournalInsurance: mathematics & economics
    Issue number3
    Publication statusPublished - 2005


    • MSC-62E17
    • MSC-62P05
    • Individual model
    • Aggregate claims
    • Stop-loss premium
    • Dependent claims


    Dive into the research topics of 'Approximations for stop-loss reinsurance premiums'. Together they form a unique fingerprint.

    Cite this