Stop-loss premiums under dependence

Willem/Wim Albers

Stop-loss premiums under dependence

Willem/Wim Albers

Research output: Book/Report › Report › Other research output

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	Undefined
Place of Publication	Enschede
Publisher	University of Twente, Department of Applied Mathematics
Publication status	Published - 1998

Keywords

EWI-3261
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.",

keywords = "EWI-3261, MSC-62E20, MSC-62P05",

author = "Willem/Wim Albers",

note = "Imported from MEMORANDA",

year = "1998",

language = "Undefined",

publisher = "University of Twente, Department of Applied Mathematics",

}

TY - BOOK

T1 - Stop-loss premiums under dependence

AU - Albers, Willem/Wim

N1 - Imported from MEMORANDA

PY - 1998

Y1 - 1998

N2 - 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.

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.

KW - EWI-3261

KW - MSC-62E20

KW - MSC-62P05

M3 - Report

BT - Stop-loss premiums under dependence

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -