Title: Pricing of variable long-term care annuities with guaranteed lifetime withdrawal and limited hospitalisation coverage benefits

Authors: Sara S. Moosavi; Amir T. Payandeh Najafabadi

Addresses: Department of Actuarial Science, Faculty of Mathematical Sciences, Shahid Beheshti University, G.C. Evin, 1983963113, Tehran, Iran ' Department of Actuarial Science, Faculty of Mathematical Sciences, Shahid Beheshti University, G.C. Evin, 1983963113, Tehran, Iran

Abstract: Improvements in medical technology and longevity risk increase the popularity of healthcare insurance products. This article combines several well-known healthcare products and develops a theoretical model for a variable annuity product with some specific benefits. More precisely, the new product is a variable annuity product that accompanies with long-term care coverage, limited hospitalisation coverage and a guaranteed lifelong withdrawal benefit option. Under a non-arbitrage market (the geometric Brownian motion) investment, the fair lam sum premium of such insurance products has been evaluated. Using an MCMC simulation method, a numerical study has been conducted to illustrate the capability of the product.

Keywords: variable annuity; long-term care; life care annuity; guaranteed lifetime withdrawal benefit; hospitalisation coverage.

DOI: 10.1504/IJISE.2022.123581

International Journal of Industrial and Systems Engineering, 2022 Vol.41 No.2, pp.168 - 181

Received: 30 May 2020
Accepted: 30 Jul 2020
Published online: 28 Jun 2022 *

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