Derive the discretized version of a continuous distribution using the method of rounding and local moment matching.
Free SOA Exam ASTAM (Advanced Short-Term Actuarial Mathematics) lesson in Aggregate Models. 15 min read, ~2,287 words.
Method of rounding (mass dispersal): place and. Total probability preserved. Local moment matching with p moments: on each interval of length, place masses at grid points so the first moments of match. Most common variant matches 0th and 1st moments ( ). Probability AND mean exactly preserved. Both methods need...
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- Example 2
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Learning objectives
- 2b
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