Aggregation of Correlated Risk Portfolios: Models & Algorithms
by Shaun S. Wang for the CAS Committee on Theory of Risk
Abstract: Aggregate loss distributions are probability distributions of the total dollar amount of loss under one or a block of insurance policies. They combine the separate effects of the underlying frequency and severity distributions. In the actuarial literature, a number of methods have been developed for modeling and computing the aggregate loss distributions, see Heckman & Meyers (1983), Panjer (1981) and Robertson (1992). The main issue underlying this research project is how to combine aggregate loss distributions for separate but correlated classes of business.
Published in: Proceedings of the Casualty Actuarial Society, Vol. 85, No. 163, (November 1998), pp. 848-937.
Discussion of Aggregation of Correlated Risk Portfolios: Models & Algorithms