Modelling and simulation in non-life insurance

  • Authors:

  • Viera Pacáková

  • Affiliations:

  • Institute of Mathematics, University of Pardubice, Faculty of Economics and Administration, Pardubice, Czech Republic

  • Venue:
  • ASM'11 Proceedings of the 5th international conference on Applied mathematics, simulation, modelling
  • Year:
  • 2011

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Abstract

Modelling and simulations are necessary and useful in actuarial analysis in non-life insurance mainly in cases where we cannot find a sufficient number of real data. A typical example is the collective risk, where we know only one value for the calendar year. Using goodness of fit tests we can often find distributions of the number and of the amount of claims and Monte Carlo simulations enable us to simulate a sufficient number of total claims amount. Simulated values then we will use in determining the collective risk model, calculating the premium and risk measures. The article presents a theoretical approach of these probability models and simulations, together with examples of applications.