Efficient simulation using saddlepoint approximation for aggregate losses with large frequencies
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Cho, Jae-Rin | - |
dc.contributor.author | Ha, Hyung-Tae | - |
dc.date.available | 2020-02-28T03:43:00Z | - |
dc.date.created | 2020-02-06 | - |
dc.date.issued | 2016-01 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/gachon/handle/2020.sw.gachon/8752 | - |
dc.description.abstract | Aggregate claim amounts with a large claim frequency represent a major concern to automobile insurance companies. In this paper, we show that a new hybrid method to combine the analytical saddlepoint approximation and Monte Carlo simulation can be an efficient computational method. We provide numerical comparisons between the hybrid method and the usual Monte Carlo simulation. | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | KOREAN STATISTICAL SOC | - |
dc.relation.isPartOf | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.subject | COMPOUND POISSON | - |
dc.subject | RANDOM-VARIABLES | - |
dc.title | Efficient simulation using saddlepoint approximation for aggregate losses with large frequencies | - |
dc.type | Article | - |
dc.type.rims | ART | - |
dc.description.journalClass | 2 | - |
dc.identifier.wosid | 000408065000007 | - |
dc.identifier.doi | 10.5351/CSAM.2016.23.1.085 | - |
dc.identifier.bibliographicCitation | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, v.23, no.1, pp.85 - 91 | - |
dc.identifier.kciid | ART002077632 | - |
dc.citation.endPage | 91 | - |
dc.citation.startPage | 85 | - |
dc.citation.title | COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS | - |
dc.citation.volume | 23 | - |
dc.citation.number | 1 | - |
dc.contributor.affiliatedAuthor | Ha, Hyung-Tae | - |
dc.type.docType | Article | - |
dc.subject.keywordAuthor | large claim frequency | - |
dc.subject.keywordAuthor | aggregate claim amount | - |
dc.subject.keywordAuthor | saddlepoint approximation | - |
dc.subject.keywordAuthor | simulation | - |
dc.subject.keywordPlus | COMPOUND POISSON | - |
dc.subject.keywordPlus | RANDOM-VARIABLES | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.description.journalRegisteredClass | kci | - |
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