A note on the computation of an actuarial Waring formula in the finite-exchangeable case
AbstractWe 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.
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Date of creation: 19 Jan 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-30 (All new papers)
- NEP-BAN-2011-01-30 (Banking)
- NEP-CMP-2011-01-30 (Computational Economics)
- NEP-RMG-2011-01-30 (Risk Management)
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