Actuarial Mathematics
Topics and Advisors
| Topic Area | Faculty Advisor(s) |
|---|---|
| Actuarial Models (Stochastic and Deterministic) Asset/Liability Management | D. Vermes |
| Auto Insurance Cession Strategies | A. Heinricher |
Financial Mathematics | H. Sayit |
| Interest Rate Modeling | J. Abraham, D. Vermes |
| Mathematical Finance | D. Vermes, R. Lui |
| Pricing Insurance and Annuity Contracts Risk Classification Survival Models | A. Heinricher |
Some Recent Actuarial Mathematics MQPs
- Estimating Disability Incidence Rates for Long Term Care Insurance
- Students: D'Onofrio, Michael; Lesco, James; Simone, Jeffrey and Twarog, Marek
Advisors: ABRAHAM, J. (MA) and HEINRICHER, A. C. (MA)
Sponsor: John Hancock
This paper uses data from the 1999 NLTCS and NHIS surveys to compute Long Term Care (LTC) prevalence rates. We develop several triggers, evaluate a test of cognitive ability, and compute prevalence rates for each trigger. We develop a model to compute LTC incidence rates based on the prevalence data. We find that incidence is a strictly increasing function of age and that there is a sharp increase in incidence rates starting at age ninety. - Stochastic Modeling for Waiver of Premium
- Student: Cistecky, Ondrej
Advisor: HEINRICHER, A. C. (MA)
A stochastic model is developed in APL and used to simulate the full distribution of present value of future costs of Sun Life Financial's 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.
Last modified: October 25, 2007 14:06:08