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Approximating the Distribution of a Dynamic Risk Portfolio

Published online by Cambridge University Press:  29 August 2014

William S. Jewell*
Affiliation:
Department of Industrial Engineering and Operations Research, University of California, Berkeley
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Abstract

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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.

Type
Research Article
Copyright
Copyright © International Actuarial Association 1984

References

REFERENCES

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Jewell, W. S. and Sundt, B. (1981) Improved Approximations for the Distribution of a Heterogeneous Risk Portfolio, Bulletin of the Association of Swiss Actuaries, 221240.Google Scholar
Panjer, H. H. (1981) Recursive Evaluation of a Family of Compound Distributions, ASTIN Bulletin, 12, 2226.CrossRefGoogle Scholar
Sundt, B. and Jewell, W. S. (1981) Further Results on Recursive Evaluation of Compound Distributions, ASTIN Bulletin, 12, 2739.CrossRefGoogle Scholar