On the dependency of risks in the individual life model
AbstractThe paper considers several types of dependencies between the different risks of a life insurance portfolio. Each policy is assumed to having a positive face amount (or an amount at risk) during a certain reference period. The amount is due if the policy holder dies during the reference period.First, we will look for the type of dependency between the individuals that gives rise to the riskiest aggregate claims in the sense that it leads to the largest stop-loss premiums. Further, this result is used to derive results for weaker forms of dependency, where the only non-independent risks of the portfolio are the risks of couples (wife and husband).
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/118676.
Date of creation: 1995
Date of revision:
Contact details of provider:
Web page: http://www.kuleuven.be
Model; Risk; Dependency; Life insurance; Insurance; Portfolio; Stop-loss premium;
Other versions of this item:
- Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dhaene, Jan & Goovaerts, Marc, 1996.
"Dependency of risks and stop-loss order,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/200183, Katholieke Universiteit Leuven.
- Dhaene, Jan & Goovaerts, Marc, 1995. "Dependency of risks and stop-loss order," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/118672, Katholieke Universiteit Leuven.
- Kaas, R., 1993. "How to (and how not to) compute stop-loss premiums in practice," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 241-254, December.
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