| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19211 |
| 来源ID | Working Paper 19211 |
| Optimal Annuitization with Stochastic Mortality Probabilities | |
| Felix Reichling; Kent Smetters | |
| 发表日期 | 2013-07-11 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | The conventional wisdom dating back to Yaari (1965) is that households without a bequest motive should fully annuitize their investments. Numerous market frictions do not break this sharp result. We modify the Yaari framework by allowing a household's mortality risk itself to be stochastic. Annuities still help to hedge longevity risk, but they are now subject to valuation risk. Valuation risk is a powerful gateway mechanism for numerous frictions to reduce annuity demand, even without ad hoc "liquidity constraints." We find that most households should not annuitize any wealth. The optimal level of aggregate net annuity holdings is likely even negative. |
| 主题 | Microeconomics ; Households and Firms ; Public Economics ; Taxation |
| URL | https://www.nber.org/papers/w19211 |
| 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/576884 |
| 推荐引用方式 GB/T 7714 | Felix Reichling,Kent Smetters. Optimal Annuitization with Stochastic Mortality Probabilities. 2013. |
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