Stop-loss premiums under dependence

Willem/Wim Albers

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    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
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Publication statusPublished - 1998


    • EWI-3261
    • MSC-62E20
    • MSC-62P05

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