Approximating the Distribution of a Dynamic Risk Portfolio.

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)

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1983
Accession Number
ADA136039

Entities

People

  • W. S. Jewell

Organizations

  • University of California, Berkeley

Tags

DTIC Thesaurus Topics

  • Air Force
  • Algorithms
  • Binomials
  • California
  • Casualties
  • Classification
  • Computations
  • Contracts
  • Economics
  • Engineering
  • Industrial Engineering
  • Investments
  • Operations Research
  • Probability
  • Random Variables
  • Reliability Engineering
  • United States

Fields of Study

  • Mathematics

Readers

  • Enterprise Information Systems Architecture and Joint Command Capability Interoperability Support.
  • Mathematical Modeling and Probability Theory.
  • Trauma or Military Medicine