R-based question. Your aggregate loss model is a compound Poisson/lognormal model with parameters = 5 (Poisson

R-based question. Your aggregate loss model is a compound Poisson/lognormal model with parameters λ = 5 (Poisson rate) and μ = 10.2, σ = 1.2. Using R and the FFT algorithm given in Appendix B, you want to produce aggregate loss models.

Choose values of M and h so that (i) the running time is less than 10 s; (ii) the mean of the discretised severity distribution is within 1% of the true value; and (iii) the 99th percentile of the aggregate loss distribution is within 1% of its true value. (Hint: you do not know the true value of the 99th percentile, but you can double the number of points until the difference between one run and the other is less than 1%.)