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題名 Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach
作者 謝明華
Hsieh, Ming-hua
Wang, Jennifer L.
Chiu, Yu-Fen
Chen, Yen-Chih
貢獻者 風險管理與保險學系
關鍵詞 Variable annuity; Long-term care; Life Care Annuity; Guaranteed Lifetime Withdrawal Benefit; Variance reduction
日期 2017
上傳時間 29-Jan-2018 12:29:18 (UTC+8)
摘要 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.
關聯 Insurance: Mathematics and Economics
資料類型 article
DOI https://doi.org/10.1016/j.insmatheco.2017.09.017
dc.contributor 風險管理與保險學系
dc.creator (作者) 謝明華zh_TW
dc.creator (作者) Hsieh, Ming-huaen_US
dc.creator (作者) Wang, Jennifer L.en_US
dc.creator (作者) Chiu, Yu-Fenen_US
dc.creator (作者) Chen, Yen-Chihen_US
dc.date (日期) 2017
dc.date.accessioned 29-Jan-2018 12:29:18 (UTC+8)-
dc.date.available 29-Jan-2018 12:29:18 (UTC+8)-
dc.date.issued (上傳時間) 29-Jan-2018 12:29:18 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115637-
dc.description.abstract (摘要) 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 503322 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Insurance: Mathematics and Economics
dc.subject (關鍵詞) Variable annuity; Long-term care; Life Care Annuity; Guaranteed Lifetime Withdrawal Benefit; Variance reductionen_US
dc.title (題名) Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approachen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.insmatheco.2017.09.017
dc.doi.uri (DOI) https://doi.org/10.1016/j.insmatheco.2017.09.017