Stop-loss premiums under dependence. (English) Zbl 0945.62108
Summary: 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.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
Keywords:
common shock model; frailty model; copula model; individual model; aggregate claims; Edgeworth expansionsReferences:
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