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Old 11-28-2017, 09:30 AM
r8ingStuff r8ingStuff is offline
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Default 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?
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Old 11-28-2017, 10:20 AM
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Carol Marler
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What does FFT stand for?
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Old 11-28-2017, 10:21 AM
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Fast Fourier Transform, which is the technique used in the Sean Wang paper.
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Old 11-28-2017, 12:52 PM
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Fast Fourier Transform, which is the technique used in the Sean Wang paper.
Thanks.
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Old 12-10-2017, 05:55 PM
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FFT's are awesome if a bit nuanced, and they are very good among non-simulation 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; 12-10-2017 at 06:03 PM..
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Old 12-20-2017, 01:21 PM
r8ingStuff r8ingStuff is offline
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Thanks, PAC. I didn't know about that second paper, but I'll give it a look over.
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