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.
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Electrical Engineering, Mathematics and Computer Science (EEMCS)
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