Computing the value-at-risk of aggregate severities

Henryk Gzyl

Journal of Operational Risk

Abstract: ABSTRACT Aside from the difficulties encountered in computing the distribution of a compound loss and then its value-at-risk, the insurance analyst or risk analyst may also have to compute the distribution of an aggregate of compound losses and its value-at-risk. This paper shows how to do this by using an extension of a recently developed method for computing the distribution of compound losses. This technique is particularly useful for cases when explicit models can be used to compute the multidimensional Laplace transforms of all compound losses.

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