• Engineering
  • Published 2007

Loss Distribution Approach in Practice

@inproceedings{Frachot2007LossDA,
  title={Loss Distribution Approach in Practice},
  author={Antoine Frachot and Olivier Moudoulaud and Thierry Roncalli},
  year={2007}
}
This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to give illustrative examples and we gather all demanding mathematics into subsections named Technical Appendix. We hope it will allow for a more reader-friendly paper. 

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