COMMUNICATIONS & NOTES Annual Losses for Straight Deductible Coverage: Comment

COMMUNICATIONS & NOTES Annual Losses for Straight Deductible Coverage: Comment

As a risk analysis consultant, I read Professor Schott's article with great interest. While my own work in this area leads me to agree that alternative approaches to Monte Carlo simulation can prove useful, I must disagree with Schott's claim that the Gaussian model is viable. Furthermore,...

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Veröffentlicht in:The Journal of risk and insurance 1980-12, Vol.47 (4), p.753
1. Verfasser: Pierson, Harry M
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Deductible coverage
Kurtosis
Monte Carlo simulation
Probability
Random variables
Risk assessment
Skewness
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Zusammenfassung:As a risk analysis consultant, I read Professor Schott's article with great interest. While my own work in this area leads me to agree that alternative approaches to Monte Carlo simulation can prove useful, I must disagree with Schott's claim that the Gaussian model is viable. Furthermore, some ques-tionable arguments are given to substantiate the case for the normal approxi-mation.
ISSN:0022-4367
1539-6975