Orthogonal polynomial expansions to evaluate stop-loss premiums

Pierre-Olivier Goffard; Patrick J. Laub

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arXiv · 1712.03468

Orthogonal polynomial expansions to evaluate stop-loss premiums

Pierre-Olivier Goffard·Patrick J. Laub

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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.

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BibTeX RIS

Pierre-Olivier Goffard, Patrick J. Laub. 2019-11-28. Orthogonal polynomial expansions to evaluate stop-loss premiums. https://arxiv.org/abs/1712.03468

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