Student Work

Stochastic Reserves for Term Life Insurance

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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
Publisher
Identifier
  • E-project-042518-164032
Advisor
Year
  • 2018
Date created
  • 2018-04-25
Resource type
Major
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最新修改
  • 2021-02-02

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