Pesquisa de referências

Valuation and hedging of the ruin-contingent life annuity (RCLA)

Recurso electrónico / electronic resource
Registro MARC
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1001 ‎$0‎MAPA20120023093‎$a‎Huang, H
24510‎$a‎Valuation and hedging of the ruin-contingent life annuity (RCLA)‎$c‎H. Huang, M. A. Milevsky, T. S. Salisbury
520  ‎$a‎We analyze an insurance instrument called a ruin-contingent life annuity (RCLA), which is a stand-alone version of the option embedded inside a variable annuity (VA) but without the buyer having to transfer investments to the insurance company. The annuitant's payoff from an RCLA is a dollar of income per year for life, deferred until a certain wealth process hits zero. We derive the partial differential equation (PDE) satisfied by the RCLA value assuming no arbitrage, describe efficient numerical techniques, and provide estimates for RCLA values. The practical motivation is twofold. First, numerous insurance companies are now offering similar contingent deferred annuities (CDAs). Second, the U.S. Treasury and Department of Labor have encouraged DC plans to offer longevity insurance to participants and the RCLA might be the ideal product.
650 4‎$0‎MAPA20080598358‎$a‎Productos de seguros
650 4‎$0‎MAPA20080573614‎$a‎Renta vitalicia
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080570590‎$a‎Seguro de vida
7001 ‎$0‎MAPA20080141264‎$a‎Milevsky, M. A.
7001 ‎$0‎MAPA20080177867‎$a‎Salisbury, T. S.
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎02/06/2014 Volumen 81 Número 2 - junio 2014 , p. 367-396