Mildenhall Aggregate

Loss Tools

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Example 8: Model a Portfolio of Risks

Tag: Agg Loss
Frequency Specification
Severity Distribution
Distribution Dist Type
Mean   Built-In
VarMult   Lognormal m, s, (T= 0)
Contagion   Pareto a, b
Discretization (all distributions)
  Layer
Num_L2   Attachment
There will be 2^Num_L2 buckets used to discretize the distribution.   Share
 
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Notes

References to Wang