Orthogonal polynomial expansions to evaluate stop-loss premiums - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

Orthogonal polynomial expansions to evaluate stop-loss premiums

Résumé

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.
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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)

Identifiants

  • HAL Id : hal-01626545 , version 2

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Pierre-Olivier Goffard, Patrick J. Laub. Orthogonal polynomial expansions to evaluate stop-loss premiums. 2019. ⟨hal-01626545v2⟩
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