Expand description
Building a portfolio from predictive distributions of different models: a reserve bootstrap by origin, premium risk by line, a reinsurance tower’s gross, ceded and net.
PredictiveDistribution::join puts them side by side as segments of
one distribution, pairing simulation i of every part.
PredictiveDistribution::reorder_groups then sets the dependence
between segments, Iman–Conover on the segment totals, moving each
segment’s simulations as whole rows so its own joint structure (across
origins, layers) is kept. The result goes to aggregate, the risk
measures and capital.
Enums§
- Pairing
- How the simulations of joined parts relate.