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Some applications of sums of random variables in non-life insurance

Mihaela Covrig, Iulian Mircea, Ovidiu Veghes, Radu Serban


In the non-life insurance business, an actuary faces the problem of determining the distribution function of a sum of random variables which are not necessarily independent, like aggregate claims of an insurance portfolio. The paper points out some applications of approximating such sums when the individual distribution functions of the terms are known, but their dependence unknown, for the computation of the stop-loss premiums and estimates of the ruin probability.


comonotonicity, insurance premium principle, stop-loss premium, stochastic dominance, ruin probability.

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