aggregate.fft() – prospicio | prospicio

aggregate.fft()

Aggregate loss S = X_1 + ... + X_N by fast Fourier transform.

Usage

aggregate.fft(
    frequency,
    severity,
    points,
)

Works for large claim counts that make panjer underflow. Check report.aliasing_error before using the result.

Parameters

frequency: (Poisson, NegativeBinomial or Binomial)
severity: Grid
points: int

Returns

tuple of (Grid, CompoundReport)

Raises

ValueError: If points is 0.