| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17505 |
| 来源ID | Working Paper 17505 |
| Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities | |
| Vasily Kartashov; Raimond Maurer; Olivia S. Mitchell; Ralph Rogalla | |
| 发表日期 | 2011-10-13 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme. Reservation loadings on the actuarially fair VILDA price for non-participation are 0.5-8%; if insurers cannot hedge within this range, they will transfer systematic longevity risks to the annuitants. Our findings have implications for new payout products that may be attractive to older households seeking to protect against retirement shortfalls. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Public Economics ; National Fiscal Issues ; Health, Education, and Welfare ; Poverty and Wellbeing |
| URL | https://www.nber.org/papers/w17505 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575180 |
| 推荐引用方式 GB/T 7714 | Vasily Kartashov,Raimond Maurer,Olivia S. Mitchell,et al. Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17505.pdf（286KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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