Pricing of a long-term care annuity with withdrawal guarantee using the exact individual trajectories method
Keywords:Markov chain, long-term care, variable annuity, life care annuity, guaranteed lifetime withdrawal benefits, Heston model, exact individual trajectories
The present work aims at evaluating Long-Term Care annuity contracts with Guaranteed Lifetime Withdrawal Benefits using the method of the Exact Individual Trajectories. This model, basically developed for the management of pension funds, is setup on an axiomatic basis and allows a complete description of the sample space. In addiction the financial component of the contract is modelled through the Heston model which considers stochastic both the stock price and the volatility.
Copyright (c) 2020 Massimo Angrisani, Maria Giuseppina Bruno, Cinzia Di Palo, Pierluigi Fava, Maria Rita Scarpitti
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