### Abstract

Original language | Undefined |
---|---|

Place of Publication | Enschede |

Publisher | University of Twente, Department of Applied Mathematics |

Number of pages | 24 |

Publication status | Published - May 2007 |

### Publication series

Name | |
---|---|

Publisher | Department of Applied Mathematics, University of Twente |

No. | P2773/1837 |

ISSN (Print) | 1874-4850 |

ISSN (Electronic) | 1874-4850 |

### Keywords

- IR-67130
- Aggregate claims
- stop-loss premium
- Dependent claims
- METIS-241632
- MSC-62F10
- confidence bounds
- EWI-9921
- MSC-62P05
- MSC-62E17
- Estimation error

### Cite this

*Estimation effects on stop-loss premiums under dependence*. Enschede: University of Twente, Department of Applied Mathematics.

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*Estimation effects on stop-loss premiums under dependence*. University of Twente, Department of Applied Mathematics, Enschede.

**Estimation effects on stop-loss premiums under dependence.** / Albers, Willem/Wim; Kallenberg, W.C.M.

Research output: Book/Report › Report › Professional

TY - BOOK

T1 - Estimation effects on stop-loss premiums under dependence

AU - Albers, Willem/Wim

AU - Kallenberg, W.C.M.

N1 - eemcs-eprint-9921

PY - 2007/5

Y1 - 2007/5

N2 - Even a small amount of dependence in large insurance portfolios can lead to huge errors in relevant risk measures, such as stop-loss premiums. This has been shown in a model where the majority consists of ordinary claims and a small fraction of special claims. The special claims are dependent in the sense that a whole group is exposed to damage. In this model, the parameters have to be estimated. The effect of the estimation step is studied here. The estimation error is dominated by the part of the parameters related to the special claims, because by their nature we do not have many observations of them. Although the estimation error in this way is restricted to a few parameters, it turns out that it may be quite substantial. Upper and lower confidence bounds are given for the stop-loss premium, thus protecting against the estimation effect.

AB - Even a small amount of dependence in large insurance portfolios can lead to huge errors in relevant risk measures, such as stop-loss premiums. This has been shown in a model where the majority consists of ordinary claims and a small fraction of special claims. The special claims are dependent in the sense that a whole group is exposed to damage. In this model, the parameters have to be estimated. The effect of the estimation step is studied here. The estimation error is dominated by the part of the parameters related to the special claims, because by their nature we do not have many observations of them. Although the estimation error in this way is restricted to a few parameters, it turns out that it may be quite substantial. Upper and lower confidence bounds are given for the stop-loss premium, thus protecting against the estimation effect.

KW - IR-67130

KW - Aggregate claims

KW - stop-loss premium

KW - Dependent claims

KW - METIS-241632

KW - MSC-62F10

KW - confidence bounds

KW - EWI-9921

KW - MSC-62P05

KW - MSC-62E17

KW - Estimation error

M3 - Report

BT - Estimation effects on stop-loss premiums under dependence

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -