Re: Re[2]: Simulation

Mary Frances Miller ( david.ruhm@zurich.com )
Wed, 3 Sep 1997 15:36:33 -0500

I have a question for users of Dr. Klugman's software: Have you ever tried
to verify that the results produced by the Frequency/Severity convolution
obey the actuarial formulas for aggregate losses (assuming independence):

E[L] = E[N] x E[S]

Var[L] = Var[S] x E[N] + Var[N] x E[S] x E[S]

David Ruhm

Mary_Frances_Miller @ sedgus.com
09/03/97 12:05 PM

Please respond to casnet@lists.casact.org

To: casnet @ lists.casact.org, MAS2 @ ChartwellRe.com
cc: (bcc: David Ruhm/UUG/USA/Zurich)
Subject: Re[2]: Simulation

We also use Klugman's collective risk program to put the frequency and
severity together. Works really well if you have to model, say, large
losses separately from small ones and then convolute the two results.
Mary Frances Miller

______________________________ Reply Separator
_________________________________
Subject: RE: Simulation
Author: "Sce; Michael" <MAS2@ChartwellRe.com> at _internet
Date: 9/3/97 10:31 AM

>
>
>Regarding simulation software, I would like to share a couple of points:
>
>1. Mr. Klugman's software is very good as a curve fitting device for
>frequency and severity distributions. This is input for your simulation.
>

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