Stop-loss premiums under dependence

Willem Albers

Stop-loss premiums under dependence

Willem Albers

Research output: Book/Report › Report › Professional

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, Department of Applied Mathematics
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

Cite this

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title = "Stop-loss premiums under dependence",

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.",

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year = "1998",

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PY - 1998

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AB - 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.

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KW - MSC-62P05

M3 - Report

T3 - Memorandum

BT - Stop-loss premiums under dependence

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -

Stop-loss premiums under dependence

Abstract

Publication series

Keywords

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