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Bounding High Aggregate Loss Probabilities by aditya garg is a document available to read on EtoBox.

The document discusses 6 approaches for rapidly bounding the exceedance probabilities of high aggregate losses from catastrophe models: 4 upper bounds and 2 approximations. It examines these approaches using a large event loss table for US hurricanes. The Moment bound is favored for its tightness and computational speed. The Gamma distribution is strongly favored as a flexible model for single event losses due to its tractable form and ability to incorporate a loss cap.

Author

aditya garg

Language

EN