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https://ah.nccu.edu.tw/handle/140.119/118869
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| 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 |
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