Aggregate: Introduction

Series Outline

1. Introduction
2. Creating a simple aggregate distribution (throw of dice, fixed and Poisson freqs)
3. About aggregate or compound loss distributions math and empirical examples; equal bucket size empirical distributions
4. Specifying a general aggregate loss distribution (freq if sev fixed, sev if freq fixed, kinds of freq dist)
5. Options for severity: shape, loc, and scale, examples
6. The Tweedie family of distributions
7. Defining exposure: counts, loss, or premium & loss ratio
8. Defining exposure: limits profiles
9. Mixed severity distributions
10. Per occurrence reinsurance
11. Aggregate reinsurance
12. The general form of an aggregate program
13. Pricing: applying limited expected values and distortions
14. Portfolios

Technical Appendix

1. Quantiles (VaR, Value at Risk): definition and computation
2. TVaR (Tail Value at Risk): definition and computation
3. Cat model PMLs
4. Numerical integration using cumsum
5. Fast Fourier Transforms (FFTs)

Video(s)

posted 2022-07-05 | tags: aggregate, compound distribution, insurance modeling, Python