Valuation of long-term care options embedded in life annuities
نویسندگان
چکیده
Abstract In most industrialised countries, one of the major societal challenges is demographic change coming along with ageing population. The increasing life expectancy observed over last decades underlines importance to find ways appropriately cover financial needs elderly. A particular issue arises in area health, where sufficient care must be provided a growing number dependent elderly need long-term (LTC) services. many markets, offering insurance products incorporating options and LTC generally scarce. our research, we therefore examine annuity product an embedded option potentially providing additional support persons. To evaluate option, determine minimum price that provider requires policyholder’s willingness pay for option. For latter, employ individual utility functions taking account condition. We base numerical study on recently developed transition probability data from Switzerland. Our findings give new realistic insights into nature proposing tackling financing needs.
منابع مشابه
securitization of mortality risks in life annuities
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ژورنال
عنوان ژورنال: Annals of Actuarial Science
سال: 2021
ISSN: ['1748-5002', '1748-4995']
DOI: https://doi.org/10.1017/s1748499521000063