• Title of article

    Stop-loss premiums under dependence

  • Author/Authors

    Albers، نويسنده , , Willem، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1999
  • Pages
    13
  • From page
    173
  • To page
    185
  • 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.
  • Keywords
    Individual model , Aggregate claims , Edgeworth expansions , Common shock model , Frailty Model , Copula model
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    1999
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1542202

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1542202