Monte Carlo Methods for Non-Life Actuaries

Monte Carlo Methods for Non-Life Actuaries delivers the full reserving-and-capital pipeline a Solvency II internal-model team needs but no single text on the actuary’s shelf assembles. Glasserman speaks to derivatives books. Mack is the analytic core but is silent on cat, copula, and allocation. Klugman covers compound aggregates but stops short of the one-year horizon. The non-life carrier stitches them together from scratch every recalibration cycle.

Dr. Sigrid Norrgård — twenty-six years in Nordic non-life reserving and capital modelling, through year-end reserve reviews and internal-model approval submissions — provides that stitch. Fifteen chapters cover the methods (bootstrap chain ladder, Mack analytic, Tweedie GLM, Bayesian MCMC, Panjer compound, GPD severity tail, t-copula aggregation, reinsurance layer pricing, ELT-driven cat, Merz–Wüthrich one-year, premium-risk cycle, Euler and Aumann–Shapley allocation) on real four-line calibrated portfolios. Every method ships with its R implementation — a working production stack you can run, fork, and walk into a year-end review with. The hundred-and-five-exercise appendix is the methodology defense in the actuary’s voice: the questions a reviewer will ask, answered.

For the actuary whose next internal-model submission must read defensibly to the Finansinspektionen, BaFin, or the PRA — and who has stopped pretending the existing literature covers what the regulator actually asks.