Orthogonal polynomial expansions to evaluate stop-loss premiums (Q2297085)
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scientific article; zbMATH DE number 7169478
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| English | Orthogonal polynomial expansions to evaluate stop-loss premiums |
scientific article; zbMATH DE number 7169478 |
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Orthogonal polynomial expansions to evaluate stop-loss premiums (English)
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18 February 2020
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The authors introduce a numerical method to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. Orthogonal polynomials are used to derive an approximation formula to recover an unknown probability measure from the knowledge of its moments.
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risk theory
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orthogonal polynomials
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numerical Laplace transform inversion
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reinsurance
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stop-loss premium
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0.8394735
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0.8367714
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0.82560694
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0.8244396
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