Stop-loss premiums under dependence

Willem Albers

    Research output: Contribution to journalArticleAcademicpeer-review

    11 Citations (Scopus)


    Stop-loss premiums are typically calculated under the assumption that the insured lives in the underlying portfolio are independent. Here we study the effects of small departures from this assumption. Using Edgeworth expansions, it is made transparent which configurations of dependence parameters may cause substantial deviations in the stop-loss premiums.
    Original languageEnglish
    Pages (from-to)173-185
    Number of pages13
    JournalInsurance: mathematics & economics
    Issue number3
    Publication statusPublished - 1999


    • Individual model
    • Copula model
    • Frailty model
    • Aggregate claims
    • Common shock model
    • Edgeworth expansions


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