Mildenhall Aggregate

Loss Tools

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Ideas for Future Development

  1. Construct a BivEmpCo density from a bivariate sample
  2. Constants for scripting, like OWC
  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.
  1. Add suggested contagion factor
  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.
  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.)