Date of Award
Master of Science
Vytaras Brazauskas, Chao Zhu
In some types of insurance businesses, such as cyber or homeowners insurance, the assumption that risks are independent is violated. Because of this, the commonly used expected value premium principle does not work. Therefore, we propose different premium principles for pricing dependent risks. We derive formulas for these principles when the risks are normally distributed, pareto distributed and each risk is an aggregate loss. Furthermore, we investigate the behavior of the different premium principles related to a change in the dependence of the risks. Additionally, we examine the impact that a parameter of one risk has on the premium for each proposed principle.
Schultze, Mark Benedikt, "Pricing of Dependent Risks" (2019). Theses and Dissertations. 2250.