There is a growing concern in the actuarial literature for the effect of dependence between individual risks Xi on the distribution of the aggregate claim S = X1 + · · · + Xn. Recent work by Dhaene and Goovaerts (Dhaene, J., Goovaerts, M.J., 1996. ASTIN Bulletin 26, 201–212; Dhaene, J., Goovaerts, M.J., 1997. Insurance: Mathematics and Economics 19, 243–253) and Müller (Müller, A., 1997a. Insur...