Using FFTs to Compute Aggregate Loss Distributions - Applications from Actuarial Practice

Purdue Computational Finance Program

Using FFTs to Compute Aggregate Loss Distributions - Applications from Actuarial Practice

September 21, 2001

Krannert G016

Stephen Mildenhall, Vice President-Pricing, Kemper Insurance

Abstract: We will discuss:

What is an aggregate loss distribution?
What are aggregate loss distributions used for?
Review of methods to compute - Panjer recursion, simulation, Heckman-Meyers
Lightning overview of FFT
FFTs to compute aggregates: gory details
Examples and graphs
Speculative application: modeling loss development using 2-d FFTs

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Last Update: July 10, 2001
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