The ALAE Size-of-Loss Distribution Model

The ALAE Size-of-Loss Distributions model provides tables of loss and allocated loss adjustment expenses (ALAE) for 94 lines of insurance within the general liability, commercial auto and medical/professional lines.

The model contains a database of 40,000 discreet probabilities for the joint distribution of indemnity loss and allocated loss adjustment expenses. You get the distribution of 200 ALAE amounts given for each of 200 indemnity amounts, including ALAE payments associated with zero indemnity. That's 40,000 data points you can use to create functions you can plug directly into your current system.

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The model also includes sample functions to show you how to calculate:

  • Average ALAE for loss limit
  • Limited average severity (indemnity only) at loss limit
  • Limited average severity (indemnity + ALAE) at loss limit
  • CDF (indemnity + ALAE) at loss limit
  • Distribution of losses in any given layer, when contracts cover
    • ALAE within limits
    • ALAE pro rata
    • ALAE pro rata with indemnity plus ALAE within limits inuring to a second contract

Previously available only through MILD, ALAE Size-of-Loss Distributions is now a separate product. MILD subscribers can purchase this product at a discount.


  • Excel spreadsheets