Stop-loss premiums under dependence

Willem/Wim Albers

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    9 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 languageUndefined
    Article number10.1016/S0167-6687(98)00051-1
    Pages (from-to)173-185
    Number of pages13
    JournalInsurance: mathematics & economics
    Issue number3
    Publication statusPublished - 1999


    • EWI-12853
    • Individual model
    • Copula model
    • Frailty model
    • IR-62349
    • Aggregate claims
    • Common shock model
    • Edgeworth expansions

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