Orthogonal polynomial expansions to evaluate stop-loss premiums

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:370

Article

Goffard, Pierre-Olivier¹  Laub, Patrick J.¹ 

[1] Univ Lyon, Univ Lyon 1, LSAF EA 2429, Inst Sci Financiere & Assurances, 50 Ave Tony Garnier, F-69007 Lyon, France

关键词: Risk theory;    Orthogonal polynomials;    Numerical Laplace transform inversion;    Reinsurance;    Stop-loss premium;   

DOI  :  10.1016/j.cam.2019.112648

来源: Elsevier

【 摘 要 】

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. (C) 2019 Elsevier B.V. All rights reserved.

【 授权许可】

Free