Industrial Projects

2001-02 Projects

Recreating Lost Records of Insurance Transactions

Sponsor: John Hancock
Advisors: Ann Weidie, Bogdan Doytchinov
Students: Alison Hughes, Devin Rahn

This project developed an algorithm for recreating lost financial transactions for John Hancock. Specifically, it recreates premium, dividend, and loan transactions lost during the annual back up process in the years 1993 and 1998, using existing transactions and current aggregate amounts. In instances where random policyholder behavior was predicted, statistical analysis of historical policy behavior was provided. Recreation for some policies and fields was a deterministic problem, while other fields and policies were identified as not restorable by the algorithm.


Mathematical Models for the Spread of Damage in Organizational Networks

Sponsor: Lehman Brothers
Advisor: Arthur C. Heinricher
Student: Melissa St. Hilaire

This project describes mathematical models for how damage, measured in lost capacity, can spread through an organization. The model allows a company to simulate damage spread and compare different strategies for allocating repair resources after the initial damage has occurred. This project was completed in collaboration with Lehman Brothers investment firm in the aftermath of the terrorist attacks in September 11, 2001.


Stochastic Modeling for Reserve Calculations

Sponsor: Sun Life Financial
Advisors: Arthur C. Heinricher, Ann Wiedie
Students: Ondrej Cistecky, Steve Tribandis

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.

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