Approximating the Distribution of a Dynamic Risk Portfolio
- 1 October 1984
- journal article
- research article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 14 (2) , 135-148
- https://doi.org/10.1017/s0515036100004943
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.Keywords
This publication has 3 references indexed in Scilit:
- Recursive Evaluation of a Family of Compound DistributionsASTIN Bulletin, 1981
- Further Results on Recursive Evaluation of Compound DistributionsASTIN Bulletin, 1981
- Compound Poisson DistributionsJournal of the Operational Research Society, 1966