Skip to main navigation Skip to search Skip to main content

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 languageEnglish
    Place of PublicationEnschede
    PublisherUniversity of Twente
    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

    Fingerprint

    Dive into the research topics of 'Stop-loss premiums under dependence'. Together they form a unique fingerprint.
    View full fingerprint

    • 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

      17   Link opens in a new tab Citations (Scopus)
      4 Downloads (Pure)

    Cite this