Title: Orthogonal polynomial expansion with applications to insurance
Authors: Pierre-O Goffard - Université Lyon 1 (France) [presenting]
Abstract: A numerical method to approximate the probability density function of a nonnegative random variable is considered. It relies on an expansion in terms of the gamma density and its associated orthogonal polynomials. The method comes in very handy when applied to risk measure evaluation. The extension to statistical estimation is discussed as a perspective.