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Old 09-05-2018, 11:31 AM
juandeoyar juandeoyar is offline
Join Date: Feb 2018
College: ISEG Actuarial Science
Favorite beer: Leffe Blond
Posts: 36
Default Pricing Minimum Bias Procedure Multiplicative

Hello everyone,

For who is familiarized with this method, I can't get why I am obtaining different relativities when I start with different seeds.

Following the multiplicative method weighted by exposure from the CAS paper ( file page 31), It converges to the same results only by giving a value of 1,5 to y2.

If I change the starting y2 to 1,7, I get different final relativities (using a convergence pass value of 0,0000001 which is considerable low). What am I missing?

Edit: there was a problem in the code while it normalizes. The results are verified now.
(don't know how to delete the post)

Last edited by juandeoyar; 09-05-2018 at 03:52 PM..
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