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Stop-loss premiums under dependence

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  • Albers, Willem

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  • Albers, Willem, 1999. "Stop-loss premiums under dependence," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 173-185, May.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:173-185
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    References listed on IDEAS

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    1. Dhaene, Jan & Goovaerts, Marc J., 1996. "Dependency of Risks and Stop-Loss Order1," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 201-212, November.
    2. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    3. 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.
    4. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    5. Goovaerts, M. J. & Dhaene, J., 1996. "The compound Poisson approximation for a portfolio of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 81-85, May.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Genest, Christian & Marceau, Etienne & Mesfioui, Mhamed, 2003. "Compound Poisson approximations for individual models with dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 73-91, February.
    2. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2018. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Post-Print hal-01561987, HAL.
    3. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
    4. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    5. Tank, Fatih & Gebizlioglu, Omer L. & Apaydin, Aysen, 2006. "Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 189-194, February.
    6. Reijnen, Rajko & Albers, Willem & Kallenberg, Wilbert C.M., 2005. "Approximations for stop-loss reinsurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 237-250, June.
    7. Janic-Wroblewska, A. & Kallenberg, W. C. M. & Ledwina, T., 2004. "Detecting positive quadrant dependence and positive function dependence," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 467-487, June.
    8. Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Papers 1707.05061, arXiv.org.
    9. Ledwina, Teresa & Wyłupek, Grzegorz, 2014. "Validation of positive quadrant dependence," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 38-47.
    10. repec:hal:journl:hal-00536925 is not listed on IDEAS
    11. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Working Papers hal-01561987, HAL.
    12. Ćmiel, Bogdan & Ledwina, Teresa, 2020. "Validation of association," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 55-67.

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