Calculation of Compound Distribution

Pavel V. Shevchenko ()
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Pavel V. Shevchenko: CSIRO, Mathematics, Informatics and Statistics

Chapter Chapter 3 in Modelling Operational Risk Using Bayesian Inference, 2011, pp 71-109 from Springer

Abstract: Abstract Estimation of the capital under the LDA requires evaluation of compound loss distributions. Closed-form solutions are not available for the distributions typically used in operational risk and numerical evaluation is required. This chapter describes numerical algorithms that can be successfully used for this problem. In particular Monte Carlo, Panjer recursion and Fourier transformation methods are presented. Also, several closed-form approximations are reviewed.

Keywords: Characteristic Function; Fast Fourier Transform; Annual Loss; Probability Generate Function; Fast Fourier Transform Algorithm (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-15923-7_3

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DOI: 10.1007/978-3-642-15923-7_3

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