模拟不确定性-我们的尾部统计数据有多可靠？.pdf

1、SIMULATION UNCERTAINTYHow Reliable are Our Tail Statistics?June 2023Dean Marcus,FCAS CERA|SVP Actuary|New York1.Background and Motivation2.Spoiler Alert:Key Takeaways3.Whats the Deal with Second-Order Uncertainty?4.Whats the Deal with Third-Order Uncertainty?5.Cat,Quota Share and PPR Case Studies:Ho

2、w Reliable are Our Percentiles?6.Practical Implications and Recommendations7.Appendices:Proof Outline and Further DetailsAgenda41.Background and Motivation5 5Background and MotivationTwo Questions1.What is the statistical nature of our simulated percentiles?What can I say about the error bands aroun

3、d the percentiles,and are the error bands themselves a bit stretchy/blurry with uncertainty?2.How many realizations should we run?The answer will depend on the context,but our decisions should be well-informed by empirical evidence and solid theory,including the answer to question 1Addressing these

4、two questions will help guide practical decisions,and ensure sound advice to brokers and clients6 6Background and MotivationTwo Questions1.What is the statistical nature of our simulated percentiles?What can I say about the error bands around the percentiles,and are the error bands themselves a bit

5、stretchy/blurry with uncertainty?2.How many realizations should we run?The answer will depend on the context,but our decisions should be well-informed by empirical evidence and solid theory,including the answer to question 1Addressing these two questions will help guide practical decisions,and ensur

6、e sound advice to brokers and clients7 7Background and MotivationTwo Questions1.What is the statistical nature of our simulated percentiles?What can I say about the error bands around the percentiles,and are the error bands themselves a bit stretchy/blurry with uncertainty?2.How many realizations sh