Mildenhall Aggregate Loss Tools

Home Contents Help

Introduction

The Mildenhall Aggregate Loss Tools (MALT) site provides three things:

• An interactive tutorial for Shaun Wang's 1998 PCAS paper "Aggregatation of Correlated Risk Portfolios: Models and Algorithms." The tutorial allows the user to experiment with many of the methods Wang introduces.
• Several extensions to Wang's methods, including tools for modeling both loss & ALAE, and net & ceded losses as bivariate distributions.
• An implementation of my Bayesian-Bootstrap method for determining confidence intervals on reserves and for updating ultimate aggregate loss distributions with information from a loss development triangle. Includes a proof that Bühlmann credibility estimates of ultimates are the same as Bornheutter-Ferguson estimates.

MALT was built in response to a call by the CAS Committee On On-line Services. Their call was for contributions to the CAS web-site which promote the use of internet-based technology in the actuarial profession, and which use the internet to deliver information useful to actuaries.

Using MALT

To use the interactive features of the MALT site you must first download and install some software components, which will run on your machine.

System Requirements:You must be using Microsoft Internet Explorer on a Windows NT or Windows 2000 system.  To see the 2D-graphics you need Office 2000. To enjoy the 3D-graphics, you need a reasonably powerful PC (200MHz+ Pentium III, 128MB+ RAM, good video card; quadruple to really cruise). The software does not work on Windows 95/98/ME.

Each of the interactive examples includes a short explanation of what is being demonstrated. Many also include some "canned" examples to guide the user. References to the published PCAS version of Wang's paper are given where appropriate, as a pointer to more detailed information.

Links

• Download and Install required MALT software
• Interactive Examples
• NEW Research Corner Presenation "Computing with Bivariate Distributions", 2001 ASTIN Meeting, Washington DC
• NEW"Using MALT" Presentation, 2001 CARe Meeting, Washington DC
• Wang's PCAS paper
• Discussion of Wang by Glenn Meyers
• Mildenhall PowerPoint Presentation on Bayesian Bootstrapping Method
• COOS Call for Contributions to the CAS Web Site

Feedback