Aggregate Loss Model
Collective risk model combining frequency and severity distributions via Panjer recursion / Monte Carlo simulation.
Frequency
Expected claim count: 2.00
Severity
Support up to 100,000
Mean
3,615
Std. dev.
4,201
CV
116.2%
Aggregate loss distribution
VaR / TVaR — Panjer
| Level | VaR | TVaR |
|---|---|---|
| 90.0% | 8,550 | 13,124 |
| 95.0% | 11,450 | 16,481 |
| 99.0% | 19,200 | 25,690 |
| 99.5% | 23,200 | 30,508 |
Assumptions & limitations
- Severity is discretised on a grid of width h by the method of rounding; results converge as h shrinks and max steps grows, at the cost of computation.
- Panjer recursion assumes claim counts and severities are independent and severities i.i.d.
- Monte Carlo comparison uses a fixed seed for reproducibility; results will vary with seed for small n.