Patent ID: 8751286

Claim:
A loss distribution calculation system, comprising: a frequency distribution/scale distribution input section configured to input information about a frequency distribution and a scale distribution; a scale distribution discretization section configured to perform either one or both of upside and downside discretizations for the input scale distribution; a sub-composite distribution calculation section configured to calculate, after performing division of all events, a probability value of a cumulative sum of losses for a portion out of all the events in order to calculate either one or both of an upside sub-composite distribution and a downside sub-composite distribution, said upside sub-composite distribution being calculated based on the frequency distribution and the upside-discretized scale distribution, and said downside sub-composite distribution being calculated based on the frequency distribution and the downside-discretized scale distribution; an accuracy calculation section configured to calculate: upper and lower bounds of a loss distribution function based on either one or both of the upside and downside sub-composite distributions, 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 an accuracy of the approximate value; and a loss distribution output section configured to output information about the approximate value of the loss distribution function, with guaranteed accuracy, represented by information about the calculated accuracy, wherein: each of the frequency distribution/scale distribution input section, the scale distribution discretization section, the sub-composite distribution calculation section, the accuracy calculation section, and the loss distribution output section is implemented using hardware; the upside sub-composite distribution is the total sum of products of a first probability function and a first distribution function, with respect to a subset of instances of a probability variable indicating the number of loss events; the first probability function is a probability function of a cumulative distribution function of the frequency distribution; the first distribution function is a distribution function regarding the sum of plural discrete random variables dependent on the upside-discretized scale distribution; and the downside sub-composite distribution is the total sum of products of a second probability function and a second distribution function, with respect to a subset of instances of a probability variable indicating the number of loss events; the second probability function is a probability function of a cumulative distribution function of the frequency distribution; and the second distribution function is a distribution function regarding the sum of plural discrete random variables dependent on the downside-discretized scale distribution.