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.

• 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

• Cistecky, Ondrej

Publisher

• Worcester Polytechnic Institute

Identifier

• 02D367M

Advisor

• Wiedie, Ann H.
• Heinricher, Arthur C.

Year

• 2002

Date created

• 2002-01-01

Resource type

• Major Qualifying Project

Major

• Mathematical Sciences

Rights statement

• In Copyright