Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/118869


Title: Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach
Authors: 謝明華
Hsieh, Ming-hua
王儷玲
Wang, Jennifer L.
Chen, Yen-Chih
Contributors: 風管系
Keywords: Variable annuity;Long-term care;Life Care Annuity;Guaranteed Lifetime Withdrawal Benefit;Variance reduction
Date: 2018-01
Issue Date: 2018-07-24 16:49:29 (UTC+8)
Abstract: This paper proposes a new product, the Variable Life Care Annuity with Guaranteed Lifetime Withdrawal Benefits (LCA-GLWB), and designs an efficient valuation algorithm. This innovative product provides a comprehensive retirement solution for both longevity risk and long-term care protection. It includes the benefits of guaranteed income streams with downside risk protection and long-term care expenses for retirees. However, the valuation of this type of product is both complex and time-consuming. In this paper, we propose a Monte Carlo valuation algorithm that uses the variance reduction technique. The numerical results indicate that the proposed valuation algorithm is very efficient under a broad range of asset return models. The proposed algorithm provides a general approach for the rapid valuation of similar products and can help provide life insurance companies offering innovative products with an appropriate valuation tool.
Relation: Insurance: Mathematics and Economics, Volume 78, Pages 246-254
Data Type: article
DOI 連結: https://doi.org/10.1016/j.insmatheco.2017.09.017
Appears in Collections:[風險管理與保險學系] 期刊論文

Files in This Item:

File Description SizeFormat
246-254.pdf494KbAdobe PDF251View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing