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Optimal annuitization, uncertain survival probabilities, and maxmin preferences

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  • d’Albis, Hippolyte
  • Thibault, Emmanuel

Abstract

We 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 Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 115 (2012)
Issue (Month): 2 ()
Pages: 296-299

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Handle: RePEc:eee:ecolet:v:115:y:2012:i:2:p:296-299

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Related research

Keywords: Demand for annuities; Uncertain survival probabilities; Uncertainty aversion; Maxmin;

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  1. 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.
  2. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003. "Annuities and Individual Welfare," NBER Working Papers 9714, National Bureau of Economic Research, Inc.
  3. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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Cited by:
  1. 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.
  2. repec:hal:journl:halshs-00721281 is not listed on IDEAS

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