Skip to content

Extended simulation example #2

@mdevans21

Description

@mdevans21

Add excel example simulations using full frequency and severity modeling with a copula for corrlations between loss types:

  1. Simulate attritional losses using capped log-normal
  2. Simulate large losses using frequency (negative binomial) and severity (log-normal)
  3. Simulate cat losses using input EP curve

Correlate loss types with student-t copula. Use high correlation ~0.7 between attritional and large frequency, low correlation between large severity ~0.1, low correlation with cat ~0.1.

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions