Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product
将反向抵押贷款与长期护理保险捆绑成混合产品，设计其精算结构并构建预期净现金流函数，通过数值应用分析健康模式和房价波动对保险公司收益的影响。
Combining retirement income and long-term disability protection is a well-established concept in the literature. We present a new connection between the lifetime annuity provided by a Reverse Mortgage and long-term care (LTC) insurance, jointly managed in a unique bundled product. Indeed, we define the RM (considered as a source of lifetime income) and LTC as two different regimes of a jointly managed insurance product, which we call the “Life Care Reverse Mortgage” (LCRM). From an actuarial perspective, we design the underlying structure of the LCRM and the inherent framework for the ex-ante estimation of a time-dependent profit/loss function, that provides a measure of the expected annual net cashflows for a life insurer holding a portfolio of LCRMs. We perform a numerical application to illustrate the regime-switching mechanism on which the proposed LCRM insurance contracts are based and to quantify over time the lender’s return for a pool of LCRM contracts through the designed time-dependent profit/loss function. Furthermore, we analyse the sensitivity of the portfolio profit/loss function to two sources of uncertainty: health patterns over time and house price dynamics.