| 摘要 |
<p>Provided is a loss distribution calculation system, comprising: a frequency distribution/scale distribution input section that inputs information about a frequency distribution and a scale distribution; a scale distribution discretization section that performs either one or both of upside and downside discretizations for the input scale distribution; a sub-composite distribution calculation section that calculates, after performing division of all events, a probability value of a cumulative sum of losses for a portion out of all events in order to calculate either one or both of an upside sub-composite distribution and a downside sub-composite distribution, the upside sub-composite distribution being calculated based on the frequency distribution and the upside-discretized scale distribution, and the downside sub-composite distribution being calculated based on the frequency distribution and the downside-discretized scale distribution; an accuracy calculation section that calculates upper and lower bounds of a loss distribution function based on either one or both of the upside and downside sub-composite distributions, calculates a function, as an approximate value of the loss distribution function, based on either one or both of the upside and downside sub-composite distributions, and calculates an accuracy of the approximate value; and a loss distribution output section that outputs information about the approximate value of the loss distribution function, with guaranteed accuracy represented by information about the calculated accuracy.</p> |
