Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/118869
DC Field | Value | Language |
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dc.contributor | 風管系 | |
dc.creator | 謝明華 | zh_TW |
dc.creator | Hsieh, Ming-hua | en_US |
dc.creator | 王儷玲 | zh_TW |
dc.creator | Wang, Jennifer L. | en_US |
dc.creator | Chen, Yen-Chih | en_US |
dc.date | 2018-01 | |
dc.date.accessioned | 2018-07-24T08:49:29Z | - |
dc.date.available | 2018-07-24T08:49:29Z | - |
dc.date.issued | 2018-07-24T08:49:29Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/118869 | - |
dc.description.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. | en_US |
dc.format.extent | 506554 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Insurance: Mathematics and Economics, Volume 78, Pages 246-254 | |
dc.subject | Variable annuity; Long-term care; Life Care Annuity; Guaranteed Lifetime Withdrawal Benefit; Variance reduction | en_US |
dc.title | Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach | en_US |
dc.type | article | en |
dc.identifier.doi | 10.1016/j.insmatheco.2017.09.017 | |
dc.doi.uri | https://doi.org/10.1016/j.insmatheco.2017.09.017 | |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.fulltext | With Fulltext | - |
item.openairetype | article | - |
item.grantfulltext | restricted | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 期刊論文 |
Files in This Item:
File | Description | Size | Format | |
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246-254.pdf | 494.68 kB | Adobe PDF2 | View/Open |
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