October 2014
Intermediate to advanced
584 pages
22h 2m
English
Content preview from Pricing in General Insurance
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394 Pricing in General Insurance
multiply it by the outstanding amount O
l
(t
l
) of debt at time t
l
, obtaining X
l,i
= x
l,i
×
O
l
(t
l
). If loan l does not default in the ith scenario, we just set X
l,i
= 0.
4. The total losses over K periods for the ith scenario are
SX
ili
l
L
=
=
∑
,
1
.
5. Repeat for i = 1, … N
sim
simulations to produce the aggregate loss distribution,
then calculate the various statistics (mean, standard deviation, percentiles and
others) in the usual way.
The algorithm above has one important simplication: the economic factor ψ is assumed to
remain constant over the K periods (iii). This assumption, however, is there only to simplify
the description of the algorithm, and taking the possibility that ψ may depend on time does
not add sign ...
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