Stop-loss premiums under dependence

Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach

“…For an insurance company, claim amounts can be tackled in the sense of comonotonicity and positive correlation [1]. Let Y i 's (claim amount with …nite mean, real valued, non-negative r.v.)…”

“…At least one of these is random function by sense of stochastic processes [1]. Usually P t is seen as independent increments and S t is stochastic.…”

Sarmanov distribution class for dependent risks and its applications

“…As an expression of positive dependence or positive correlation, the correlation order, over joint distributions in the class of bivariate distributed random variables with given marginals 1 F and 2 F , states that ( )…”

Claim dependence with common effects in credibility models

“…The motivation for this paper is in contrast to the papers by Denuit (2002, 2003) where they address dependencies only for the frequency of claims. In addition, this paper allows for developing a credibility premium which has the advantage of being expressed as in (1). We compare numerical results of our model with that of the ordinary Bayesian framework commonly used in developing credibility premiums.…”