
Accession Number : ADA136039
Title : Approximating the Distribution of a Dynamic Risk Portfolio.
Descriptive Note : Research rept.,
Corporate Author : CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
Personal Author(s) : Jewell,W S
PDF Url : ADA136039
Report Date : Nov 1983
Pagination or Media Count : 30
Abstract : In a previous paper, Jewell and Sundt showed how to approximate the 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. (Author)
Descriptors : *Mathematical models, *Risk, *Distribution functions, *Approximation(Mathematics), *Insurance, *Investments, Random variables, Computations, Recursive functions, Algorithms
Subject Categories : Administration and Management
Economics and Cost Analysis
Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE