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

Areski Cousin (1) , Diana Dorobantu (1) , Didier Rullière (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Domaines: Economies et finances; Combinatoire [math.CO]; Probabilités [math.PR]

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