4 citations · 6 across the 8 of their papers we have counts for
3 papers · 1 filter
Orthogonal polynomial expansions to evaluate stop-loss premiums
Pierre-Olivier Goffard, Patrick J. Laub
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.…
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
Pierre-Olivier Goffard, Andrey Sarantsev
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality al…
Orthonormal polynomial expansions and lognormal sum densities
Søren Asmussen, Pierre-Olivier Goffard, Patrick J. Laub
Approximations for an unknown density in terms of a reference density and its associated orthonormal polynomials are discussed. The main application is the approximation…