Simulating the experience of employer based group policies

Actuarial Jun 28, 2006

I presented a paper with Peter Temple at 28th International Congress of Actuaries in Paris on a methodology for simulating the mortality experience of employer based group benefit policies using Monte Carlo simulation with specific focus on profit sharing arrangements. We showed that results of these simulations could be simplified to a formula that may be applied in practical situations. We investigated the impact of varying assumptions and we also suggest other applications for this methodology.

Reference

Rossouw, L. and Temple, P. (2006) ‘The use of Monte Carlo simulation of mortality experience in estimating the cost of profit sharing arrangements for group life policies.’, in. 28th International Congress of Actuaries, Paris. Available at: https://www.actuaries.org/EVENTS/Congresses/Paris/366.html (Accessed: 11 May 2021).

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Louis Rossouw

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