Posts Tagged ‘ actuarial stuff ’

Compound Poisson and vectorized computations

October 12, 2012
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Compound Poisson and vectorized computations

Yesterday, I was asked how to write a code to generate a compound Poisson variables, i.e. a series of random variables  where  is a counting random variable (here Poisson disributed) and where the 's are i.i.d (and ind...

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