Higher moments under dependence uncertainty with applications in insurance
The paper provides critical theoretical and practical contributions to actuarial science by demonstrating the often-overlooked significance of higher-order mixed moments. It offers tools for robust risk assessment through sharp bounds and standardized rank coefficients. The findings emphasize that while higher-order moments often have a monotonic effect on overall capital requirements and life annuity pricing, their influence on individual risk contribution can be highly nuanced. This calls for actuaries and risk managers to move beyond traditional second-order moment analysis and carefully consider complex dependence structures to ensure accurate risk management and pricing in insurance.