MODEL COMPOUNDS DALAM MENGHITUNG AGGREGATE LOSS

Calculation of aggregate loss distributions

Estimation of the operational risk capital under the Loss Distribution Approach requires evaluation of aggregate (compound) loss distributions which is one of the classic problems in risk theory. Closed-form solutions are not available for the distributions typically used in operational risk. However with modern computer processing power, these distributions can be calculated virtually exactly ...

Multivariate Credibility for Aggregate Loss Models

Multivariate Credibility for Aggregate Loss Models Credibility is a form of insurance pricing that is widely used, particularly in North America. It is a special type of experience rating that employs a weighted average of claims experience and a previously established price to determine a new price, for each risk class under consideration. This article extends traditional credibility formulas ...

Network tomography from aggregate loss reports

Multicast applications and network monitors can potentially benefit from the ability to infer the loss rates along links within a multicast tree. Estimators, known generically by minc, or multicast inference of network characteristics, have been developed to provide this ability. They consider multicast data packets to be probes, and conduct inference based upon reports of which probes reached ...

A Dynamic Model of Aggregate Demand and Aggregate Supply

A Method ‘io Calculate Aggregate Excess Loss Distributions

The purpose of the paper is to develop a method of calculating the aggregate loss distribution of excess claims based on a formula described in the book Risk Theory by Beard, Pentikainenen, and Pesonen. This formula requires that the claim frequency distribution satisfy a certain recursive relationship. The first part of the paper shows that a claim frequency distributions of excess claims deri...