Approximating the Distribution of a Dynamic Risk Portfolio.
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
Pagination or Media Count:
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
- Administration and Management
- Economics and Cost Analysis
- Statistics and Probability