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#1




FFT Agg Distribution with Property?
I've worked a bit through Sean Wang's paper "Aggregation of Correlated Risk Portfolios," and I was able to put together some examples combining several casualty lines into an aggregate distribution (GL, AL, etc.). Does anyone know how something like this would work with Commercial Property, where you typically deal with exposure curves instead of severity curves?

#2




What does FFT stand for?
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Carol Marler, "Just My Opinion" Pluto is no longer a planet and I am no longer an actuary. Please take my opinions as nonactuarial. My latest favorite quotes, updated Apr 5, 2018. Spoiler: 
#4




Thanks.
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Carol Marler, "Just My Opinion" Pluto is no longer a planet and I am no longer an actuary. Please take my opinions as nonactuarial. My latest favorite quotes, updated Apr 5, 2018. Spoiler: 
#5




FFT's are awesome if a bit nuanced, and they are very good among nonsimulation approaches to aggregating distributions.
In addition to Sean Wang's paper, you may find Homer & Clark's INSURANCE APPLICATIONS OF BIVARIATE DISTRIBUTIONS accessible and insightful for your purposes. Also, for more technical descriptions you may find some useful information in Numerical Recipes. Note that you can "FFT" anything of a suitable form but need to ensure your results make sense (see Numerical Recipes or other references for a fuller description of FFTs and "spectral methods"). Last edited by PAC; 12102017 at 05:03 PM.. 
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aggregate, distribution, fft 
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