The HPCDM procedure computes an estimate of the compound distribution model, given the distributions of the parameters. For example, PROC HPCDM can estimate the distribution of the aggregate loss during a time period of interest, given the distribution models of the frequency (count) and of the severity of loss.
The HPCDM procedure includes the following features:
accepts severity models estimated by the SEVERITY procedure and frequency models estimated by the COUNTREG procedure
scenario analysis with regression effects
group scenario analysis with classification and interaction effects
support for externally simulated counts
parameter perturbation analysis that assesses the effect of parameter uncertainty associated with frequency and severity models
ability to compute the distribution of aggregate adjusted loss