Mildenhall Aggregate

Loss Tools

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Ideas for Future Development

ClassMethods
AggCo
  1. Construct a BivEmpCo density from a bivariate sample
  2. Constants for scripting, like OWC
FinCo
  1. Pricing finite reinsurance: combine with the Portfolio class; allow user to input payout patterns by line of business, contract terms etc. Return pricing statistics for various finite reinsurance structures.
ParamFile
  1. Add suggested contagion factor
Portfolio
  1. .Stats method: return all stats, TLN fits and estimated unit, for each member of the portfolio and for the aggregate.
  2. Return density, using common input unit
  3. Multivariate sample: sort out code.
  4. Some kind of persistence implementation.
EmpCo
  1. InverseDist: compute the distribution of 1/X. Returns a new EmpCo.

Other Issues and Research Ideas

  1. Wang review discussion points:
  2. Correlation
  3. Bayesian approach to estimating contagion from historical exposures and observed frequencies.
  4. LDF and CCDF methodology: Bayesian bootstrap method; BF method as Buhlmann credibility; claim count development method; loss development method; practical modeling
  5. Software implementation of very large 2-d FFTs. What is the practical upper limit on size? (Ans: 4096 x 4096 on a standard PC, 128MB memory required.)