Aggregate Loss Distributions

Meyers, Glenn G. ( (no email) )
Mon, 13 Apr 1998 11:31:24 -0400

Last year the Committee on the Theory of Risk (COTOR) commissioned a
study by Shaun Wang to do a study on computational methods of
calculating aggregate loss distributions when the lines of insurance are
correlated.

Shaun's study has been approved by COTOR and is now available at the CAS
web site by going through: Research -> Committee on the Theory of Risk
-> Aggregation of Correlated Risk Portfolios.

This report discusses both simulation and Fourier methods.

In addition the web site includes an Excel spreadsheet - FFTCalc - that
illustrates the Fourier methodology using Excel's Fast Fourier
Transform. The steps in the calculation are mapped out and should be
easy to follow.

The Committee on the Theory of Risk invites comments. You can reply
either to all of CASNet or directly to me.

Glenn Meyers
Insurance Services Office, Inc.
Internet: gmeyers@iso.com
Voice:(212) 898-5938
Fax: (212) 898-6060

Visit the CAS Web Site at http://www.casact.org
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