Two numerical methods to evaluate stop-loss premiums - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2017

Two numerical methods to evaluate stop-loss premiums

Résumé

Two numerical methods are proposed to numerically evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The first method relies on a representation of the probability density function in terms of Laguerre polynomials and the gamma density, the second is a numerical inversion of the Laplace transform. Numerical comparisons are conducted at the end of the paper. MSC 2010: 60G55, 60G40, 12E10.
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Dates et versions

hal-01626545 , version 1 (30-10-2017)
hal-01626545 , version 2 (14-10-2019)
hal-01626545 , version 3 (06-01-2020)

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  • HAL Id : hal-01626545 , version 1

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Pierre-Olivier Goffard, Patrick J. Laub. Two numerical methods to evaluate stop-loss premiums. 2017. ⟨hal-01626545v1⟩
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