Approximating the Distribution of a Dynamic Risk Portfolio

William S. Jewell

ASTIN Bulletin, 1984, vol. 14, issue 2, 135-148

Abstract: In a previous paper, Jewell and Sundt showed how to approximate a 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.

Date: 1984
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