Optimal annuitization, uncertain survival probabilities, and maxmin preferences
AbstractWe consider a life-cycle model with bequest motives, and assume that the individual does not know his/her survival probability and has maxmin utility preferences; we show that it is optimal not to annuitize but to purchase pure life insurance policies instead.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 115 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Demand for annuities; Uncertain survival probabilities; Uncertainty aversion; Maxmin;
Other versions of this item:
- Hippolyte D'Albis & Emmanuel Thibault, 2012. "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) hal-00670320, HAL.
- Thibault, Emmanuel & D'Albis, Hippolyte, 2012. "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Economics Papers from University Paris Dauphine 123456789/9807, Paris Dauphine University.
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
- Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2005.
"Annuities and Individual Welfare,"
American Economic Review,
American Economic Association, vol. 95(5), pages 1573-1590, December.
- Bernheim, B Douglas, 1991.
"How Strong Are Bequest Motives? Evidence Based on Estimates of the Demand for Life Insurance and Annuities,"
Journal of Political Economy,
University of Chicago Press, vol. 99(5), pages 899-927, October.
- B. Douglas Bernheim, 1992. "How Strong are Bequest Motives? Evidence Based on Estimates of the Demand for Life Insurance and Annuities," NBER Working Papers 2942, National Bureau of Economic Research, Inc.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Visite guidée au coeur des travaux du Meilleur jeune économiste 2012 (1/2)
by Matthieu Solignac in Regards croisés sur l'économie on 2012-05-28 19:26:09
- d'Albis, Hippolyte & Thibault, Emmanuel, 2012.
"Ambiguous Life Expectancy and the Demand for Annuities,"
IDEI Working Papers
731, Institut d'Économie Industrielle (IDEI), Toulouse.
- Hippolyte D'Albis & Emmanuel Thibault, 2012. "Ambiguous Life Expectancy and the Demand for Annuities," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00721281, HAL.
- Hippolyte d'Albis & Emmanuel Thibault, 2012. "Ambiguous Life Expectancy and the Demand for Annuities," Documents de travail du Centre d'Economie de la Sorbonne 12050, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- d'Albis, Hippolyte & Thibault, Emmanuel, 2012. "Ambiguous Life Expectancy and the Demand for Annuities," TSE Working Papers 12-323, Toulouse School of Economics (TSE).
- repec:hal:journl:halshs-00721281 is not listed on IDEAS
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