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Approximating the Distribution of a Dynamic Risk Portfolio

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  • Jewell, William S.

Abstract

In a previous paper, Jewell and Sundt showed how to approximate a 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.

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  • Jewell, William S., 1984. "Approximating the Distribution of a Dynamic Risk Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 14(2), pages 135-148, October.
    • Handle: RePEc:cup:astinb:v:14:y:1984:i:02:p:135-148_00
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    Cited by:

    1. Gathy, Maude & Lefèvre, Claude, 2010. "On the Lagrangian Katz family of distributions as a claim frequency model," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 76-83, August.

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