A note on the computation of an actuarial Waring formula in the finite-exchangeable case - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

A note on the computation of an actuarial Waring formula in the finite-exchangeable case

Résumé

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.
Fichier principal
Vignette du fichier
ActuarialWaringRecurrence.pdf (320.75 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00557751 , version 1 (19-01-2011)
hal-00557751 , version 2 (01-03-2011)

Identifiants

  • HAL Id : hal-00557751 , version 2

Citer

Areski Cousin, Diana Dorobantu, Didier Rullière. A note on the computation of an actuarial Waring formula in the finite-exchangeable case. 2011. ⟨hal-00557751v2⟩
162 Consultations
659 Téléchargements

Partager

More