Stop-loss premiums under dependence

Willem Albers

    Research output: Book/ReportReportProfessional

    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 languageEnglish
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Number of pages20
    Publication statusPublished - 1998

    Publication series

    NameMemorandum
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1441
    ISSN (Print)0169-2690

    Keywords

    • MSC-62E20
    • MSC-62P05

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