Stop-loss Premiums under Dependence

摘要

Stop-loss premiums are typically calculated under the assumption that the insured211u001elives in the underlying portfolio are independent. Here the authors study the 211u001eeffects of small departures from this assumption. Using Edgeworth expansions, it 211u001eis made transparent which configurations of dependence parameters may cause 211u001esubstantial deviations in the stop-loss premiums.