Orthogonal polynomial expansions to evaluate stop-loss premiums
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Publication:2297085
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.
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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Cited in
(8)- Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
- Matrix representations of life insurance payments
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Approximating the first passage time density from data using generalized Laguerre polynomials
- ActuarialOrthogonalPolynomials
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