Approximations for stop-loss reinsurance premiums

DOI10.1016/j.insmatheco.2005.02.001zbMath1110.62147OpenAlexW2736706927MaRDI QIDQ882850

Wilbert C. M. Kallenberg, Rajko Reijnen, Willem Albers

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.001

zbMATH Keywords

Aggregate claimsDependent claimsIndividual modelStop-loss premium

Mathematics Subject Classification ID

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

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Cites Work

• Unnamed Item
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Comonotonicity, correlation order and premium principles
• On the computation of aggregate claims distributions: some new approximations
• Stop-loss premiums under dependence
• How to (and how not to) compute stop-loss premiums in practice
• On the dependency of risks in the individual life model
• Optimal reinsurance in relation to ordering of risks
• The numerical evaluation of the aggregate claim density function via integral equations