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- W1490385227 abstract "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." @default.
- W1490385227 created "2016-06-24" @default.
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- W1490385227 date "1984-10-01" @default.
- W1490385227 modified "2023-10-17" @default.
- W1490385227 title "Approximating the Distribution of a Dynamic Risk Portfolio" @default.
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- W1490385227 doi "https://doi.org/10.1017/s0515036100004943" @default.
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