A note on the computation of an actuarial Waring formula in the finite-exchangeable caseReportar como inadecuado




A note on the computation of an actuarial Waring formula in the finite-exchangeable case - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

* Corresponding author 1 SAF - Laboratoire de Sciences Actuarielle et Financière

Abstract : We present in this paper the actuarial Waring formula, which is used in several fields, like life-insurance or credit risk. In a particular framework where considered random variables are exchangeable, we show that some problems can occur when using this formula. We propose alternative recursions in order to improve the complexity of the calculations, and to cope with the numerical instability of the formula.





Autor: Areski Cousin - Diana Dorobantu - Didier Rullière -

Fuente: https://hal.archives-ouvertes.fr/



DESCARGAR PDF




Documentos relacionados