Journal of Operational Risk

Computing the value-at-risk of aggregate severities

Henryk Gzyl


Aside from the difficulties encountered in computing the distribution of a compound loss and then its value-at-risk, the insurance analyst or risk analyst may also have to compute the distribution of an aggregate of compound losses and its value-at-risk. This paper shows how to do this by using an extension of a recently developed method for computing the distribution of compound losses. This technique is particularly useful for cases when explicit models can be used to compute the multidimensional Laplace transforms of all compound losses.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here