Mildenhall Aggregate

Loss Tools

Frequency Specification			Severity Distribution
Distribution			Dist Type
Mean*			Built-In
VarMult			Lognormal m, s, (T= 0)
Contagion			Pareto a, b
Estimate Contagion			Layer
Agg Loss*			Attachment
* Select Mean Claim Count or Aggregate Loss			Share

Click compute or aggregate to see results...

Input specification for an aggregate distribution by giving frequency and severity parts. Layer and attachment determine insured severity. A $1M ground-up policy is entered as layer=1000000 and attachment=0.
Click Compute to determine the frequency, severity and aggregate moments.
Shifted lognormal parameters are shown for the aggregate. Shifted lognormal is T + lognormal(mu, sigma).
Aggregate "accumulates" risks.
See Example 8 to model the whole aggregate distributions associated with a portfolio of risks.