Researchers at Catholic University Louvain (UCLouvain) Have Reported New Data on Applied Probability Research (Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses)

2021 AUG 02 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- New research on Mathematics - Applied Probability Research is the subject of a report. According to news reporting originating in Louvain-la-Neuve, Belgium, by NewsRx journalists, research stated, “This paper exploits the representation of the conditional mean risk sharing allocations in terms of size-biased transforms to derive effective approximations within insurance pools of limited size. Precisely, the probability density functions involved in this representation are expanded with respect to the Gamma density and its associated Laguerre orthonormal polynomials, or with respect to the Normal density and its associated Hermite polynomials when the size of the pool gets larger.”

The news reporters obtained a quote from the research from Catholic University Louvain (UCLouvain), “Depending on the thickness of the tails of the loss distributions, the latter may be replaced with their Esscher transform (or exponential tilting) of negative order. The numerical method then consists in truncating the series expansions to a limited number of terms. This results in an approximation in terms of the first moments of the individual loss distributions. Compound Panjer-Katz sums are considered as an application. The proposed method is compared with the well-established Panjer recursive algorithm.”

According to the news reporters, the research concluded: “It appears to provide the analyst with reliable approximations that can be used to tune system parameters, before performing exact calculations.”

This research has been peer-reviewed.

For more information on this research see: Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses. Methodology and Computing in Applied Probability, 2021. Methodology and Computing in Applied Probability can be contacted at: Springer, Van Godewijckstraat 30, 3311 Gz Dordrecht, Netherlands. (Springer - www.springer.com; Methodology and Computing in Applied Probability - http://www.springerlink.com/content/1387-5841/)

Our news correspondents report that additional information may be obtained by contacting Michel Denuit, Catholic University Louvain (UCLouvain), Inst Stat Biostat & Actuarial Sci Isba, Louvain Inst Data Anal Modeling Lidam, Louvain La Neuve, Belgium.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1007/s11009-021-09881-7. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

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