Faculty Advisor

Abraham, Jon P.

Faculty Advisor

Posterro, Barry John

Abstract

The team developed a model office consisting of 500 policyholders with varying death benefit amounts, premiums, risk classes and mortality rates. Deterministic reserves were calculated based on interest rates and mortality tables. Next, a simulation was performed consisting of 10,000 trials for each policy to determine an average financial outcome. These outcomes were aggregated to determine stochastic reserves with percentiles and tail value at risk results. Calculations were repeated over a range of interest rates and mortality rates to study the sensitivity of reserves to small changes in these assumptions.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2018

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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