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.
Pricing di una rendita vitalizia longterm care con garanzia di prelievo con il metodo delle traiettorie individuali esatte / Angrisani, Massimo; Bruno, Maria Giuseppina; Di Palo, Cinzia; Fava, Pierluigi; Scarpitti, Maria Rita. - In: ANNALI DEL DIPARTIMENTO DI METODI E MODELLI PER L'ECONOMIA, IL TERRITORIO E LA FINANZA ..... - ISSN 2385-0825. - (2020), pp. 1-14.
Pricing di una rendita vitalizia longterm care con garanzia di prelievo con il metodo delle traiettorie individuali esatte
Massimo Angrisani;Maria Giuseppina Bruno;Pierluigi Fava;Maria Rita Scarpitti
2020
Abstract
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.| File | Dimensione | Formato | |
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