+ Reply to Thread
Results 1 to 8 of 8

Thread: Solving a LogNormal Conditional expectation equation - Insurance

  1. #1
    Points: 14, Level: 1
    Level completed: 27%, Points required for next Level: 36

    Posts
    4
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Question Solving a LogNormal Conditional expectation equation - Insurance




    Hi everyone,

    I am a newbie here and apologize if this post is in the wrong forum.

    I need help to solve the following LogNormal Conditional expectation equation for MuNew such that:

    (e^(MuNew + Sigma^2/2)*normcdf((-log(LowerLimit)+MuNew+Sigma^2)/Sigma))
    /
    (1-logncdf(LowerLimit, MuNew, Sigma)) - Severity = 0.0001

    normcdf = Standard Normal cumulative distribution function. Hence Mu = 0, Sigma =1
    logncdf= Lognormal cumulative distribution function

    Is there any pros out there that can help me?

    Thanks!!

    Br, Magnus

  2. #2
    Devorador de queso
    Points: 95,940, Level: 100
    Level completed: 0%, Points required for next Level: 0
    Awards:
    Posting AwardCommunity AwardDiscussion EnderFrequent Poster
    Dason's Avatar
    Location
    Tampa, FL
    Posts
    12,937
    Thanks
    307
    Thanked 2,630 Times in 2,246 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    What is LowerLimit?
    I don't have emotions and sometimes that makes me very sad.

  3. #3
    Points: 14, Level: 1
    Level completed: 27%, Points required for next Level: 36

    Posts
    4
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    Quote Originally Posted by Dason View Post
    What is LowerLimit?
    Hi,

    LowerLimit = Deductible i.e. a number greater than 0.

  4. #4
    Devorador de queso
    Points: 95,940, Level: 100
    Level completed: 0%, Points required for next Level: 0
    Awards:
    Posting AwardCommunity AwardDiscussion EnderFrequent Poster
    Dason's Avatar
    Location
    Tampa, FL
    Posts
    12,937
    Thanks
    307
    Thanked 2,630 Times in 2,246 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    So all the parameters but MuNew are fixed known quantities?
    I don't have emotions and sometimes that makes me very sad.

  5. #5
    Points: 14, Level: 1
    Level completed: 27%, Points required for next Level: 36

    Posts
    4
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    Quote Originally Posted by Dason View Post
    So all the parameters but MuNew are fixed known quantities?
    Yes, that's correct.

  6. #6
    Devorador de queso
    Points: 95,940, Level: 100
    Level completed: 0%, Points required for next Level: 0
    Awards:
    Posting AwardCommunity AwardDiscussion EnderFrequent Poster
    Dason's Avatar
    Location
    Tampa, FL
    Posts
    12,937
    Thanks
    307
    Thanked 2,630 Times in 2,246 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    Solver in Excel should be able to do this kind of thing. Otherwise if you move everything to one side equation then ultimately you're just looking the zeroes/roots of the resulting expression and most math/stats packages have root solvers easily available. Are you using any particular software for this?
    I don't have emotions and sometimes that makes me very sad.

  7. #7
    Points: 14, Level: 1
    Level completed: 27%, Points required for next Level: 36

    Posts
    4
    Thanks
    0
    Thanked 0 Times in 0 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance

    Quote Originally Posted by Dason View Post
    Solver in Excel should be able to do this kind of thing. Otherwise if you move everything to one side equation then ultimately you're just looking the zeroes/roots of the resulting expression and most math/stats packages have root solvers easily available. Are you using any particular software for this?
    I am using MATLAB to solve this by running through loops. Could use Solver but it's also based on loops. Thus I want to skip the looping part.

    Is it possible for you to help me solve this equation? I don't have any software other than MATLAB and Excel.

  8. #8
    Devorador de queso
    Points: 95,940, Level: 100
    Level completed: 0%, Points required for next Level: 0
    Awards:
    Posting AwardCommunity AwardDiscussion EnderFrequent Poster
    Dason's Avatar
    Location
    Tampa, FL
    Posts
    12,937
    Thanks
    307
    Thanked 2,630 Times in 2,246 Posts

    Re: Solving a LogNormal Conditional expectation equation - Insurance


    I mean I don't think there is a closed form solution for what you want so any method to solve will be iteration based. With matlab I wouldn't think you would need to explicitly write out the loops by hand though.
    I don't have emotions and sometimes that makes me very sad.

+ Reply to Thread

           




Tags for this Thread

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats