Aggregate Loss Distribution via FFT-Based Characteristic Function Inversion

Aggregate Loss Distribution via FFT-Based Characteristic Function Inversion: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You work on the quantitative risk team at an insurance company. Management needs the full aggregate loss distribution for three business…

The task

You work on the quantitative risk team at an insurance company. Management needs the full aggregate loss distribution for three business lines, each modeled as a compound Poisson process with a different severity distribution. Your task is to compute the CDF of the aggregate loss using FFT-based methods and validate…

Part of codeslord/skilltrainbench-public.