Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach

DOI10.1016/J.INSMATHECO.2017.09.017zbMath1398.91332OpenAlexW2758892050WikidataQ59756272 ScholiaQ59756272MaRDI QIDQ1697245

Ming-hua Hsieh, Jennifer L. Wang, Yen-Chih Chen, Yu-Fen Chiu

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.09.017

zbMATH Keywords

variance reductionlong-term carevariable annuityguaranteed lifetime withdrawal benefitlife care annuity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

De-risking long-term care insurance ⋮ Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits ⋮ Joint life care annuities to help retired couples to finance the cost of long-term care ⋮ Valuing Lifetime Withdrawal Guarantees in RILAs ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Longevity risk and capital markets: the 2019--20 update ⋮ Longevity Risk and Capital Markets: The 2017–2018 Update

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