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.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Bourgeois, William J
• Rodriguez, Anthony Luis
• Greenalch, Alicia

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-042518-164032

Advisor

• Abraham, Jon P.
• Posterro, Barry John

Year

• 2018

Date created

• 2018-04-25

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright

最新修改

• 2021-02-02