Stop-loss premiums under dependence

Albers, W. (1999) Stop-loss premiums under dependence. Insurance: Mathematics and Economics, 24 (3). pp. 173-185. ISSN 0167-6687

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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.
Item Type:	Article
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Statistics and Probability (SP)
Link to this item:	http://purl.utwente.nl/publications/62349
Official URL:	http://dx.doi.org/10.1016/S0167-6687(98)00051-1
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