Składka stop-loss w zależnym modelu ryzyka
STOP-LOSS PREMIUM IN THE DEPENDENT RISK MODEL

Summary/Abstract: In the classical risk model it is assumed that the individual claim sizes are independent. However, in the practical application of this model this assumption is not appropriate. For example, several policies may concern the same person or a marriage may have a policy in the same portfolio. In the second case, it is dependence, because both are exposed to the same risks. To consider a group life (or health) insurance of the employees working in the same place, it is necessary to take into consideration the dependence between the risks of an insurance portfolio. The employees are exposed to the same risks, such as illness (e.g. flu), a single event (e.g. the collapse of a workshop). In order to protect oneself against large individual claims or against the fluctuation in the number of claims, the insurer takes out reinsurance cover for his insurance portfolio. If S is the aggregate claim amount and d is a retention, then the net stop-loss premium is defined The effect of the dependence on the stop-loss premium will be considered in this paper.

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