Presentation by Noel Harewood - Actuary.com
Presentation by Noel Harewood - Actuary.com
Presentation by Noel Harewood - Actuary.com
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Monte Carlo simulation is a <strong>com</strong>mon technique used to<br />
generate stochastic mortality scenarios (cont.)<br />
Example of Monte Carlo simulation of death rates on a<br />
cohort of N policies:<br />
N random numbers X i are generated on the unit<br />
interval.<br />
The parameterized probability distribution Y i ~<br />
Bernoulli(q x+ti ).<br />
Y i = 1 if X i > q x+ti (real-life interpretation: = insured<br />
survives), 0 if X i
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