The Report of the Research Working Party on Correlations and Dependencies Among All Risk Sources Report (Part 2): Aggregating Bivariate Claim Severities With Numerical Fourier Inversion

Link
https://www.casact.org/sites/default/files/database/forum_06wforum_06w209.pdf
Abstract
This chapter will apply continuous Fourier transforms to compute the bivariate aggregate claims distribution arising from a bivariate severity distribution and a univariate claim count distribution.
Volume
Winter
Page
109 - 114
Year
2006
Publications
Casualty Actuarial Society E-Forum
Authors
David L Homer