The Mellin Transform in Probabilistic Cash Flow Modeling
作者:
ChanS. Park,
期刊:
The Engineering Economist
(Taylor Available online 1986)
卷期:
Volume 32,
issue 2
页码: 115-134
ISSN:0013-791X
年代: 1986
DOI:10.1080/00137918608902958
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper expands some of the useful properties of the Mellin transform in risk analysis. The Mellin transform is particularly useful in evaluating the present value of a cash flow profile that contains produces or quotients of independent random variables. Just as we can obtain moments directly from the Fourier, Laplace, and geometric transforms, so can we obtain statistical moments from the Mellin transform without taking the inversion process or derivatives. The Mellin transform is also useful in computing any order of moments for a cash flow distribution based on discrete-payment and discrete compounding. A few examples are shown in this paper to demonstrate the operational properties of the Mellin transform.
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