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