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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/118869

Please use this identifier to cite or link to this item: https://nccur.lib.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
DOI:	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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