References for Monte Carlo in insurance

Question

As the title suggests, I'm looking for reference works on Monte Carlo methods in insurance.

Wikipedia tells me that the terminus technicus here is dynamic financial analysis. I'm about to start a carreer in this field and have a strong math background. So I'm trying to catch up on the financial/numerical side of things.

I found the book "Monte Carlo Methods in Financial Engeneering" by Glasserman to strike a nice balance between application and background.

For my purposes, though, it has a few shortcomings: 1) It focuses on derivative pricing more than on risk management/macroeconomic scenario generation etc. 2) The 15 years since publication are a long time in such a fast-evolving technical field, I guess? 3) There is no hint whats-o-ever on how to construct a stochastic representation of the business modell of a life/non-life insurer.

The only DFA reference Glasserman gives is to the paper Kaufmann, Gardmer, Klett, which is from 2001 and is concerned with non-life insurance. Is there a comprehensive reference in this direction, covering life insurance, aswell?

Answer 1

The only attempt at a comprehensive overview I know of is this book by the IAA (International Actuarial Association). A standard textbook on non-life insurance Loss models has a section on simulation. The excellent and comprehensive coverage in Quantitative Risk Management contains many implicit and explicit references to simulation.

That said, most of the literature on stochastic simulation in insurance is scattered in white papers, presentations and various publications of vastly varying depth and quality. In addition to "Dynamic Financial Analysis" you could use appropriate keyword combinations containing "internal models", "Solvency II" , "insurance enterprise risk management" and "economic scenario generators".

If you are specifically interested in economic scenario generators, white papers by Moody's, who are a market leader in the insurance sector, might be a start.