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2009-04-21Buch DOI: 10.18452/4187
Individual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality
dc.contributor.authorPost, Thomas
dc.date.accessioned2017-06-15T23:54:44Z
dc.date.available2017-06-15T23:54:44Z
dc.date.created2009-04-29
dc.date.issued2009-04-21
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4839
dc.description.abstractA deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum. Considering stochastic mortality improvements, such an option could be of substantial value. Whenever mortality improves less than originally expected, the policyholder will choose the lump sum and buy an annuity on the market granting him a better price. If, however, mortality improves more than expected, the policyholder will choose to retain the deferred annuity. We use a realistically calibrated life-cycle consumption/saving/asset allocation model and calculate the welfare gains of deferred annuities under stochastic Lee- Carter mortality. Our results are relevant both for individual retirement planning and for policymakers, especially if legislation makes annuitization, at least in part, mandatory. Our results also indicate the maximal willingness to pay for the mortality option inherent in deferred annuities, which is of relevance to insurance pricing.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectStochastic Mortalityeng
dc.subjectDeferred Annuitizationeng
dc.subjectRetirement Decisionseng
dc.subjectAnnuity Puzzleeng
dc.subjectIntertemporal Utility Maximizationeng
dc.subject.ddc330 Wirtschaft
dc.titleIndividual Welfare Gains from Deferred Life-Annuities under Stochastic Lee-Carter Mortality
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097545
dc.identifier.doihttp://dx.doi.org/10.18452/4187
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages37
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue22
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

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