Valuation of long-term care options embedded in life annuities

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Version: Final published version
Licence: CC BY 4.0
ID Serval
serval:BIB_F82CAD73CAD8
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Valuation of long-term care options embedded in life annuities
Périodique
Annals of Actuarial Science
Auteur⸱e⸱s
Chen A., Fuino M., Sehner T., Wagner J.
ISSN
1748-4995 (print)
1748-5002 (electronic)
Statut éditorial
Publié
Date de publication
2022
Peer-reviewed
Oui
Volume
16
Numéro
1
Pages
68-94
Langue
anglais
Résumé
In most industrialized countries, one of the major societal challenges is the demographic change coming along with the ageing of the population. The increasing life expectancy observed over the last decades underlines the importance to 􏰁nd ways to appropriately cover the 􏰁nancial needs of the elderly. A particular issue arises in the area of health, where su􏰂cient care must be provided to a growing number of dependent elderly in need of long-term care (LTC) services. In many markets, the o􏰀ering of life insurance products incorporating care options and LTC insurance products is generally scarce. In our research, we therefore examine a life annuity product with an embedded care option potentially providing additional 􏰁nancial support to dependent persons. To evaluate the care option, we determine the minimum price that the annuity provider requires and the policyholder's willingness to pay for the care option. For the latter, we employ individual utility functions taking account of the policyholder's condition. We base our numerical study on recently developed transition probability data from Switzerland. Our 􏰁ndings give new and realistic insights into the nature and the utility of life annuity products proposing an embedded care option for tackling the 􏰁nancing of LTC needs.
Mots-clé
Annuity, Life insurance, Long-term care, Pricing, Utility
Open Access
Oui
Financement(s)
Fonds national suisse / Projets / 100018_169662
Création de la notice
03/02/2021 12:24
Dernière modification de la notice
01/04/2022 6:13
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