The comparison of C++ and Mathematica in the generation of pseudo random numbers for financial and actuarial applications

Subscribe (Full Service)


	Search: The ACM Digital Library The Guide

	Feedback

The comparison of C++ and Mathematica in the generation of pseudo random numbers for financial and actuarial applications

Full text

Pdf (336 KB)

Source

International Conference on APL archive
Proceedings of the APL98 conference on Array processing language table of contents

Rome, Italy

Pages: 27 - 31

Year of Publication: 1998

ISBN:1-58113-181-X

Also published in ...

Authors

Marco Micocci	University of Rome "La Sapienza"
Angelo Manna	University of Rome "La Sapienza"
Alvaro Tomassetti	University of Rome "La Sapienza"

Sponsors

Italian Chapter of SIGApl : Italian Chapter of SIGApl
SIGAPL: ACM Special Interest Group on APL Programming Language

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 2, Downloads (12 Months): 26, Citation Count: 0

Additional Information:

abstract references index terms collaborative colleagues peer to peer

Tools and Actions:	Review this Article Save this Article to a Binder Display Formats: BibTeX EndNote ACM Ref

DOI Bookmark:	Use this link to bookmark this Article: http://doi.acm.org/10.1145/327559.327606 What is a DOI?

ABSTRACT

The paper considers the role of pseudo random number generators in the financial and actuarial numerical applications. Some generators are compared and some considerations are made about the distortion coming from their use. A general approach for the calculation of risk in financial and actuarial problems is presented.

REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	BRUNO G., TOMASSETTI A. (1997) Valutazioni di portafogli polizze sulla vita con tasi d'interesse stocastici: rischi degli investimenti e rischi demografici. Un metodo di calcolo noto; un diverso metodo proposto (pagg- 21). Seminar of the Italian Institute of Actuaries (18/12/1997).
	2	BRUNO G.,CAMERINI E., TOMASSETTI A. (1998) metodi per la valutazione dei rischi finanziari e demografici di un portafoglio polizze sulla vita con tassi d'interesse stocastici. Applicazioni (pagg- 1-30). Seminar of the Italian Institute of Actuaries (3/6/1998).
	3	CAMERINI G.; A. TOMASSETTI (1997) Un contributo al metodo Montecarlo nel procedimento M.A.G.I.S, (metodo anni di gestione individuale e per sorteggio) Giornale dell'Instituto Italiano degli Attuari (pagg- 1-9).
	4	COUTURE R.L'ECUYER P. (1997) Distribution Properties of Multiply-with-Carry Random Number Generators American Mathematical Society.
	5	L'ECUYER L. (1998)Handbook on Simulation ed. Jerry Banks, Wiley;
	6	LEWIS P.A., GOODMAN A.S., MILLER J.S. (1969) A pseudo-rardon generartor for the System /IBM Syst. n. 2/1969.
	7	Makoto Matsumoto , Takuji Nishimura, Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.8 n.1, p.3-30, Jan. 1998 [doi>10.1145/272991.272995]
	8	PARKER G. (1997) Stochastic analysis of the interactions between Investments and Insurance risks (pagg 55-84) North American Actuarial Journal (aprile 1997).
	9	A. TOMASSETTI, A. MANNA S. PUCCI (1995) Procedimenti esatti in orizzonti temporali finiti per la valutazione delle distribuzioni di probabilita dell'ammontare delle varie rovine nonche' delle corrispondenti epoche nella teoria individuale del rischio "(pagg 51-78) Giornale dell'Istituto Italinao degli Attuari.