Orthogonal polynomial expansions to evaluate stop-loss premiums
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Publication:2297085
DOI10.1016/j.cam.2019.112648zbMath1451.91166arXiv1712.03468OpenAlexW2995762387MaRDI QIDQ2297085
Patrick J. Laub, Pierre-Olivier Goffard
Publication date: 18 February 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.03468
Stopping times; optimal stopping problems; gambling theory (60G40) Laplace transform (44A10) Approximation by polynomials (41A10) Actuarial mathematics (91G05)
Related Items (6)
Finite-time ruin probabilities using bivariate Laguerre series ⋮ Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses ⋮ Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ Matrix representations of life insurance payments ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ ActuarialOrthogonalPolynomials
Uses Software
Cites Work
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