کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7354783 | 1477197 | 2018 | 40 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach
ترجمه فارسی عنوان
ارزیابی متغیرهای مراقبت طولانی مدت با توجه به مزایای استرداد طول عمر تضمین شده: رویکرد کاهش واریانس
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 246-254
Journal: Insurance: Mathematics and Economics - Volume 78, January 2018, Pages 246-254
نویسندگان
Ming-hua Hsieh, Jennifer L. Wang, Yu-Fen Chiu, Yen-Chih Chen,