Abstract
A technique is demonstrated for aggregating bivariate claim size distributions using a two-dimensional Fast Fourier Transform. Three insurance applications are described in detail relating to: 1) individual risk rating, 2) loss and allocated expenses, and 3) Dynamic Financial Analysis.
Volume
Volume XC, Numbers 172 & 173
Page
274-307
Year
2003
Categories
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Covariance Methods
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Dynamic Financial Analysis (DFA);
Business Areas
Reinsurance
Excess (Non-Proportional);
Financial and Statistical Methods
Aggregation Methods
Fourier
Financial and Statistical Methods
Loss Distributions
Severity
Publications
Proceedings of the Casualty Actuarial Society
Prizes
Dorweiler Prize
Documents
