ON THE DEPENDENCY OF RISKS IN THE INDIVIDUAL LIFE MODEL

The paper considers several types of dependencies between the differen t risks of a life insurance portfolio. Each policy is assumed to have a positive face amount (or an amount at risk) during a certain referen ce period. The amount is due if the policy holder dies during the refe rence period. First, we will look for the type of dependency between i ndividuals that gives rise to the riskiest aggregate claims in the sen se that it leads to the largest stop-loss premiums. Further, this resu lt is used to derive results for weaker forms of dependency, where the only non-independent risks of the portfolio are the risks of couples.