Abstract
A timeline formulation of simulation is where events happen one at a time at definite times, and therefore in a definite time order. Simulation in a timeline formulation is presented in theory and practice. It is shown that all the usual simulation results can be obtained and many new forms can be expressed simply. It is argued that this procedure is more intuitive, physically more real, and technically more correct than the collective risk model.
An available companion spreadsheet is a complete simulation model which can be indefinitely extended. In it, many working examples are given and are referenced in this paper.
KEYWORDS: Simulation, dynamic risk modeling, reinsurance
Volume
0003,0001,Spring
Page
0062-0095
Year
2009
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Business Areas
Reinsurance
Financial and Statistical Methods
Simulation
Publications
Variance
