Orthogonal polynomial expansions to evaluate stop-loss premiums
Probability
2019-12-02 v2
Abstract
A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The method relies on a representation of the probability density function in terms of Laguerre polynomials and the gamma density. We compare the method against a well established Laplace transform inversion technique at the end of the paper.
Keywords
Cite
@article{arxiv.1712.03468,
title = {Orthogonal polynomial expansions to evaluate stop-loss premiums},
author = {Pierre-Olivier Goffard and Patrick J. Laub},
journal= {arXiv preprint arXiv:1712.03468},
year = {2019}
}