Faculty Advisor

Heinricher, Arthur C.

Faculty Advisor

Wiedie, Ann H.

Abstract

A stochastic model is developed in APL and used to simulate the full distribution of present value of future costs of Sun Life Financials' extended death benefit claims. The program is proposed as a valuation tool which enables the development of realistic reserve levels. Using actual claim data and Sun Life assumptions simulation is used to verify that current reserve levels on extended death benefit claims are overly conservative.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2002

Major

Mathematical Sciences

Project Type

Major Qualifying Project

Accessibility

Restricted-WPI community only

Advisor Department

Mathematical Sciences

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