Two numerical methods to evaluate stop-loss premiums
Goffard, Pierre-Olivier ; Laub, Patrick J.
HAL, hal-01626545 / Harvested from HAL
Text on HAL
Two numerical methods are proposed to numerically evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty. The first method relies on a representation of the probability density function in terms of Laguerre polynomials and the gamma density, the second is a numerical inversion of the Laplace transform. Numerical comparisons are conducted at the end of the paper. MSC 2010: 60G55, 60G40, 12E10.
Publié le : 2017-10-30
Classification:  reinsurance,  stop-loss premium,  numerical Laplace transform inversion,  orthogonal polynomials,  Risk theory,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-01626545,
     author = {Goffard, Pierre-Olivier and Laub, Patrick J.},
     title = {Two numerical methods to evaluate stop-loss premiums},
     journal = {HAL},
     volume = {2017},
     number = {0},
     year = {2017},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01626545}
}

Goffard, Pierre-Olivier; Laub, Patrick J. Two numerical methods to evaluate stop-loss premiums. HAL, Tome 2017 (2017) no. 0, . http://gdmltest.u-ga.fr/item/hal-01626545/