Computing the aggregate loss distribution based on numerical inversion of the compound empirical characteristic function of frequency and severity

A non-parametric method for evaluation of the aggregate loss distribution (ALD) by combining and numerically inverting the empirical characteristic functions (CFs) is presented and illustrated. This approach to evaluate ALD is based on purely non-parametric considerations, i.e., based on the empiric...

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Hauptverfasser:	Witkovsky, Viktor, Wimmer, Gejza, Duby, Tomas
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Risk Management Statistics - Applications Statistics - Computation
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