Simulation Software

Glenn Meyers ( ggmeyers@pipeline.com )
Thu, 04 Sep 1997 19:58:56 -0400

I suspect that when actuaries refer to simulation, they often mean the
collective risk model -- finding an aggregate loss distribution given the
claim count and and claim severity distributions.

For several years I have been selling a program, called CrimCalc, that
produces aggregate loss distributions using the much faster method of
Fourier inversion. There is a shareware version of CrimCalc available for
downloading at my web site:

http://www.pipeline.com/~ggmeyers/version1.htm

It is more than a demo -- it will calculate the aggregate loss distribution
for virtually any severity distribution with the Poisson, binomial and
negative binomial claim count distribution. This should be all that you
need for many applications.

Glenn Meyers

Visit the CAS Web Site at http://www.casact.org
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