Arithmetization of distributions and linear goal programming
نویسنده
چکیده
Linear goal programming can be used as a complementary technique when local moment matching method up to the second moment gives some negative mass. This could happen when manipulating a discrete or mixed type severity distribution. In that case we can avoid a simple retreat to the first moment and look for an arithmetic distribution with equal mean and the second moment closest to that of the original distribution. © 2000 Elsevier Science B.V. All rights reserved.
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