9. Aggregate Loss Models

  1. Stuart A. Klugman1,
  2. Harry H. Panjer2 and
  3. Gordon E. Willmot2

Published Online: 30 JAN 2012

DOI: 10.1002/9780470391341.ch9

Loss Models: From Data to Decisions, Third Edition

Loss Models: From Data to Decisions, Third Edition

How to Cite

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008) Aggregate Loss Models, in Loss Models: From Data to Decisions, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470391341.ch9

Author Information

  1. 1

    Drake University

  2. 2

    University of Waterloo

Publication History

  1. Published Online: 30 JAN 2012
  2. Published Print: 21 SEP 2008

ISBN Information

Print ISBN: 9780470187814

Online ISBN: 9780470391341

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Keywords:

  • aggregate loss models;
  • aggregate claims distribution;
  • recursive method;
  • compound frequency models;
  • numerical stability

Summary

This chapter contains sections titled:

  • Introduction

  • Model Choices

  • The Compound Model for Aggregate Claims

  • Analytic Results

  • Computing the Aggregate Claims Distribution

  • The Recursive Method

  • The Impact of Individual Policy Modifications on Aggregate Payments

  • Inversion Methods

  • Calculations with Approximate Distributions

  • Comparison of Methods

  • The Individual Risk Model

  • TVaR for Aggregate Losses