Accession Number:

ADA136039

Title:

Approximating the Distribution of a Dynamic Risk Portfolio.

Descriptive Note:

Research rept.,

Corporate Author:

CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s):

Report Date:

1983-11-01

Pagination or Media Count:

30.0

Abstract:

In a previous paper, Jewell and Sundt showed how to approximate the distribution of total losses from a large, fixed heterogeneous portfolio, using a recursive algorithm developed by Panjer for the distribution of a random sum of random variables a single casualty contract. This paper extends the approximation procedure to large, dynamic heterogeneous portfolios, in order to model either a portfolio of correlated casualty contracts, or a future portfolio, whose composition is not known with certainty. Author

Subject Categories:

  • Administration and Management
  • Economics and Cost Analysis
  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE