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Monte Carlo simulation considering a mixture of distribution

Asked by Leslye
on 21 Aug 2013


I am calculating operational risk using MonteCarlo Simulation, I got the parameters for loss frequency (Binomial distribution) and loss severity (Weibull and Generalized Pareto). Loss severity has been divided on 2 distributions (ordinary and large losses. Part of the code to calculate the VaR is:

1) N=num2cell(nbinrnd(r,p,dim,1)); 2) Loss = cellfun(@(x) sum(wblrnd(mu,sigma,x,1)), N,... 'UniformOutput', false); 3) Loss=cell2mat(Loss); 4)VaR=prctile(Loss,99.9);

In 2), Loss is been calculed for one distribution (Weibull). How can I include the other distribution? Please, I will appreciate your help.

Thanks!! Leslye



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