Efficient simulation using saddlepoint approximation for aggregate losses with large frequencies



Cho, Jae-Rin;Ha, Hyung-Tae

  • 투고 : 2015.07.15
  • 심사 : 2016.01.05
  • 발행 : 2016.01.31


Aggregate claim amounts with a large claim frequency represent a major concern to automobile insurance companies. In this paper, we show that a new hybrid method to combine the analytical saddlepoint approximation and Monte Carlo simulation can be an efficient computational method. We provide numerical comparisons between the hybrid method and the usual Monte Carlo simulation.


large claim frequency;aggregate claim amount;saddlepoint approximation;simulation


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연구 과제 주관 기관 : Gachon University