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)).