Collective Risk Model Tool

CRMTool evaluates the Collective Risk Model aggregate loss distribution

CRMTool is an Aggregate Loss Distribution calculator, suggested to evaluate the Collective Risk Model (CRM) compound Aggregate Loss Distribution (ALD) and the associated Value at Risk (VaR / quantile) by numerical inversion of its characteristic function (CF).
CRMTool is a part of the CF TOOLBOX (The Characteristic Functions Toolbox) which consists of a set of algorithms for evaluating selected characteristic functions and algorithms for numerical inversion of the (combined and/or compound) characteristic functions, used to evaluate the probability density function (PDF) and the cumulative distribution function (CDF). The inversion algorithms are based on using simple trapezoidal rule for computing the integrals defined by the Gil-Pelaez formulae, and/or by using the FFT algorithm for computing the Fourier transform integrals.