October 2014
Intermediate to advanced
584 pages
22h 2m
English
Content preview from Pricing in General Insurance
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254 Pricing in General Insurance
17.4.1 Practical Issues
The Monte Carlo simulation is arguably the most exible method for calculating the aggre-
gate loss distribution. However,
• Achieving a good precision in the calculation of the quantiles requires a large
number of simulations, making the methodology slow.
• What is worse, the number of simulations needed to achieve the desired level of
accuracy cannot be known in advance (see, e.g. Shevchenko [2010]). In practice, one
needs to continue performing simulations until the convergence of the desired
quantiles is observed empirically.
• Also, calculation of the quantiles requires sorting al ...
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