Efficient simulation using saddlepoint approximation for aggregate losses with large frequencies

DOI QR코드

DOI QR Code

Cho, Jae-Rin;Ha, Hyung-Tae

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

초록

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.

키워드

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

참고문헌

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  3. Lugannani R and Rice SO (1980). Saddlepoint approximation for the distribution of the sum of independent random variables, Advances in Applied Probability, 12, 475-490. https://doi.org/10.2307/1426607
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  5. Daniels HE (1954). Saddlepoint approximations in statistics, Annals of Mathematical Statistics, 25, 631-650. https://doi.org/10.1214/aoms/1177728652
  6. Embrechts P, Jensen JL, Maejima M, and Teugels JL (1985). Approximations for compound Poisson and Plya processes, Advances in Applied Probability, 17, 623-637. https://doi.org/10.2307/1427123

과제정보

연구 과제 주관 기관 : Gachon University