Presentation by Noel Harewood - Actuary.com

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Monte Carlo simulation is a <strong>com</strong>mon technique used to generate stochastic mortality scenarios (cont.) Example of Monte Carlo simulation of death rates on a cohort of N policies: N random numbers X i are generated on the unit interval. The parameterized probability distribution Y i ~ Bernoulli(q x+ti ). Y i = 1 if X i > q x+ti (real-life interpretation: = insured survives), 0 if X i
Stochastic mortality rates can also be generated using two parameterization techniques Parameterization of Individual Mortality Assume a single paid-up whole life contract, where the present value of future benefit cash flows is a random variable: PVFBC = bv T T is the random variable for time until death, expressed as P(T
Page 1 and 2: Stochastic Modeling Workshop — Mo
Page 3 and 4: Overview
Page 5 and 6: Stochastic mortality techniques can
Page 7: Monte Carlo simulation is a common
Page 11 and 12: There are several practical applica
Page 13 and 14: Case Study 1: Senior Settlements
Page 15 and 16: We have analyzed a hypothetical sen
Page 17 and 18: Case Study 2: COLI Reinsurance
Page 19 and 20: Case Study 2: COLI Reinsurance (con
Page 21 and 22: Deterministic mortality projections
Page 23 and 24: Stochastic mortality projections he
Page 25 and 26: Modifying the expected mortality as
Page 27 and 28: Case Study 3: Economic Capital for
Page 29 and 30: Projection of stochastic mortality
Page 31 and 32: Effect of a Mortality Shock on Capi
Page 33: Closing Thoughts Stochastic modeli

Presentation by Noel Harewood - Actuary.com

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