Orthogonal polynomial expansions to evaluate stop-loss premiums

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

zbMATH Keywords

orthogonal polynomialsstop-loss premiumreinsurancerisk theorynumerical Laplace transform inversion

Mathematics Subject Classification ID

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

• GitHub

Cites Work

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