Re: Simulation software

Regina Berens ( MBAInc@compuserve.com )
Thu, 4 Sep 1997 12:39:11 -0400

Mary Frances Miller asked:

---------- Forwarded Message ----------

> This will seem like a really dumb question, but how do you model t=
he
> aggregate (frequency x severity) distribution with @RISK, once you=

> have selected a frequency and a severity? I can see how to model =
with
> one distribution (very easy), but how do you put the two together?=

> =

I did this when I wrote the paper I presented at the Reinsurance Seminar.=

It had been a long time since I'd worked with simulations and I =

wanted to do it at a level where I could see what was going on- =

not just take the input out of a black box.

It was messy, but as an example, for 100 trials, I first generated
100 claim counts. Then I generated enough severities to cover the =

likely number of claims. (If the expected number per year were 15, =

I'd generate 2000 to be safe.)

Then I had an Excel spreadsheet which picked the next n severities =

from the 2500 for each trial. EG if the counts for the first =

3 trials were 10, 15, and 18, the spreadsheet grouped the =

first 10 severities, then the next 15, then the next 18...

On top of that, I was calculating excess layers before aggregating =

them. This process choked my laptop (I had to de-install Doom II)
but it worked and it gave me enough detail that I could verify that =

the computer was doing what I expected it to do.

Regina Berens
MBA, Inc.- Consultants in Casualty Actuarial Science
http://ourworld.compuserve.com/homepages/MBAInc

Visit the CAS Web Site at http://www.casact.org
===============================================
To subscribe or unsubscribe from CASNET:
Send an e-mail to caslists@lists.casact.org
Type in the body join casnet to subscribe
or leave casnet to unsubscribe.