Modeling Loss Ratios for Aggregate Features
research
insurance
risk
Very early work on aggregate loss distributions! From the introduction:
I have never been happy with using a lognormal to model loss ratios. This note explains why and offers an alternative. The alternative is something we could easily implement in a spreadsheet and involves parameters with a clear “real world” interpretation.
The research ends “I am going to look for a good source of loss ratios to use to test this model”. It wasn’t until 2003, when I worked at Aon, that I took up this problem again and tested models against empirical aggregate distributions. That work led to Aon’s Insurance Risk Study and the models that underlie Actuarial Geometry [1].
Modeling Loss Ratios for Aggregate Features
References
References
1.
Mildenhall, S.J.: Actuarial Geometry. Risks. 5, (2017). https://doi.org/10.3390/risks5020031