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2022
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A. Chen et al., « Valuation of long-term care options embedded in life annuities », Serveur académique Lausannois, ID : 10.1017/S1748499521000063
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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 sucient care must be provided to a growing number of dependent elderly in need of long-term care (LTC) services. In many markets, the oering 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.