ABSTRACT

Exercise F.4.1 Show how the characteristics /x(t), o(t) and y(t) can

be estimated i f the s imulat ion is organized according to the hints

given i n section F.4(b).

F .5 Simulation of the insurance business

The s imula t ion of various parts of the insurance process has been

dealt wi th i n several different sections of this book. F o r edi tor ial

reasons the material has been presented i n numerous separate items,

beginning from the simplest cases in section 5.4, which involved only

c la im numbers, and progressing towards a complete analysis of the

insurance business, where claims are stochastic i n several layers, and

where inflation, investments, premiums, expenses, dynamics, etc. are

involved, as was considered i n section 12.4, Chapter 13 and sections

14.2 and 14.3. F o r the convenience of readers the total process of

insurance s imulat ion is now summarized, p rov id ing references to the

relevant sections and the formulae needed for the separate bui ld ing

• Investments: different sub-modules for the most important invest-

ment classes (section 8.4 for the W i l k i e mode l and section 8.5 for

alternatives), portfolio selection (section 8.6) or, perhaps, the total

return on a l l the investments taken together (section 8.5(f)).