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Abstract
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 language | English |
|---|---|
| Place of Publication | Enschede |
| Publisher | University of Twente |
| Number of pages | 20 |
| Publication status | Published - 1998 |
Publication series
| Name | Memorandum |
|---|---|
| Publisher | Department of Applied Mathematics, University of Twente |
| No. | 1441 |
| ISSN (Print) | 0169-2690 |
Keywords
- MSC-62E20
- MSC-62P05
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Dive into the research topics of 'Stop-loss premiums under dependence'. Together they form a unique fingerprint.Research output
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Stop-loss premiums under dependence
Albers, W., 1999, In: Insurance: mathematics & economics. 24, 3, p. 173-185 13 p.Research output: Contribution to journal › Article › Academic › peer-review
12 Citations (Scopus)4 Downloads (Pure)