Stop-loss premiums under dependence

DOI10.1016/S0167-6687(98)00051-1zbMath0945.62108OpenAlexW2080309714MaRDI QIDQ1302122

Willem Albers

Publication date: 3 October 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00051-1

zbMATH Keywords

Edgeworth expansionsfrailty modelindividual modelcopula modelcommon shock modelaggregate claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

Validation of positive expectation dependence ⋮ Approximations for stop-loss reinsurance premiums ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Compound Poisson approximations for individual models with dependent risks. ⋮ Detecting positive quadrant dependence and positive function dependence ⋮ Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach ⋮ Validation of positive quadrant dependence ⋮ A flexible model for actuarial risks under dependence ⋮ Pricing formulae for derivatives in insurance using Malliavin calculus ⋮ Validation of association

Cites Work

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• Asymptotic expansions for the power of distribution free tests in the one-sample problem
• Comonotonicity, correlation order and premium principles
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• The compound Poisson approximation for a portfolio of dependent risks

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