EconPapers    
Economics at your fingertips  
 

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

Areski Cousin (), Diana Dorobantu () and Didier Rulliere ()
Additional contact information
Areski Cousin: SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Diana Dorobantu: SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

Working Papers from HAL

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.

Date: 2011-01-19
New Economics Papers: this item is included in nep-ban, nep-cmp and nep-rmg
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00557751v2
References: View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://hal.archives-ouvertes.fr/hal-00557751v2/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-00557751

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-05-26
Handle: RePEc:hal:wpaper:hal-00557751