Polynomial approximations for bivariate aggregate claims amount probability distributions

DOI10.1007/s11009-015-9470-7zbMath1380.65023OpenAlexW4299804096MaRDI QIDQ518862

Pierre-Olivier Goffard, Denys Pommeret, Stéphane Loisel

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9470-7

zbMATH Keywords

orthogonal polynomialsbivariate distributionbivariate aggregate claims modelbivariate Laplace transformnatural exponential families with quadratic variance functionsnumerical inversion of Laplace transform

Mathematics Subject Classification ID

Related Items (6)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ A Bayesian motivated Laplace inversion for multivariate probability distributions ⋮ Matrix representations of life insurance payments ⋮ Recovery of bivariate functions from the values of its Radon transform using Laplace inversion ⋮ Approximating the probability density function of a transformation of random variables ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums

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