Patent ID: 8290793

Claim:
A method for outputting a loss distribution for a line of business, the method comprising: receiving, by a computer, a selection of the line of business; selecting, by the computer, historical data regarding losses associated with the selected line of business from a database; determining, by the computer, a tail characteristic and a tail threshold, for the selected line of business, based on the historical data regarding losses associated with the selected line of business; selecting, by the computer, a loss distribution function having a cumulative distribution function with a negative second derivative based on the tail characteristic and the tail threshold specific to the line of business; selecting, by the computer, a starting excess point in a range of the historical data regarding losses; fixing, by the computer, the loss distribution function to the starting excess point; fitting, by the computer, the loss distribution function to the historical data regarding losses; and outputting, by the computer, a loss distribution for the selected line of business based on the fitting.