✦ LIBER ✦

Stop-loss premiums under dependence

✍ Scribed by Willem Albers

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 147 KB
Volume: 24
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(98)00051-1

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✦ Synopsis

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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