Pesquisa de referências

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

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20140025084</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20220911204503.0</controlfield>
    <controlfield tag="008">140714e20140602esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">341</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20120023093</subfield>
      <subfield code="a">Huang, H</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Valuation and hedging of the ruin-contingent life annuity (RCLA)</subfield>
      <subfield code="c">H. Huang, M. A. Milevsky, T. S. Salisbury</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">We 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.</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080598358</subfield>
      <subfield code="a">Productos de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080573614</subfield>
      <subfield code="a">Renta vitalicia</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080570590</subfield>
      <subfield code="a">Seguro de vida</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080141264</subfield>
      <subfield code="a">Milevsky, M. A.</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080177867</subfield>
      <subfield code="a">Salisbury, T. S.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000727</subfield>
      <subfield code="t">The Journal of risk and insurance</subfield>
      <subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
      <subfield code="x">0022-4367</subfield>
      <subfield code="g">02/06/2014 Volumen 81 Número 2 - junio 2014 , p. 367-396</subfield>
    </datafield>
  </record>
</collection>