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Demand and adverse selection in a pooled annuity fund

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  • Valdez, Emiliano A.
  • Piggott, John
  • Wang, Liang

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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 39 (2006)
Issue (Month): 2 (October)
Pages: 251-266

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Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:251-266

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Web page: http://www.elsevier.com/locate/inca/505554

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References

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  1. John Piggott & Emiliano A. Valdez & Bettina Detzel, 2005. "The Simple Analytics of a Pooled Annuity Fund," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 72(3), pages 497-520.
  2. Abel, Andrew B, 1986. "Capital Accumulation and Uncertain Lifetimes with Adverse Selection," Econometrica, Econometric Society, Econometric Society, vol. 54(5), pages 1079-97, September.
  3. Laurence J. Kotlikoff & Lawrence H. Summers, 1980. "The Role of Intergenerational Transfers in Aggregate Capital Accumulation," NBER Working Papers 0445, National Bureau of Economic Research, Inc.
  4. Friedman, Benjamin M & Warshawsky, Mark J, 1990. "The Cost of Annuities: Implications for Saving Behavior and Bequests," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 105(1), pages 135-54, February.
  5. Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003. "Annuities and Individual Welfare," NBER Working Papers 9714, National Bureau of Economic Research, Inc.
  6. Benjamin M. Friedman & Mark Warshawsky, 1985. "The Cost of Annuities: Implications for Saving Behavior and Bequests," NBER Working Papers 1682, National Bureau of Economic Research, Inc.
  7. 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.
  8. Albrecht, Peter & Maurer, Raimond, 2001. "Self-Annuitization, Ruin Risk in Retirement and Asset Allocation: The Annuity Benchmark," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim 01-35, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  9. Hurd, Michael D, 1989. "Mortality Risk and Bequests," Econometrica, Econometric Society, Econometric Society, vol. 57(4), pages 779-813, July.
  10. Albrecht, Peter & Maurer, Raimond, 2002. "Self-Annuitization, Consumption Shortfall in Retirement and Asset Allocation: The Annuity Benchmark," Journal of Pension Economics and Finance, Cambridge University Press, Cambridge University Press, vol. 1(03), pages 269-288, November.
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Citations

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Cited by:
  1. Palmer, Edward, 2011. "Generic NDC - Equilibrium, Valuation and Risk Sharing with and without NDC Bonds," Working Paper Series, Uppsala University, Department of Economics 2011:3, Uppsala University, Department of Economics.
  2. Stamos, Michael Z., 2008. "Optimal consumption and portfolio choice for pooled annuity funds," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 43(1), pages 56-68, August.
  3. Chao Qiao & Michael Sherris, 2011. "Managing Systematic Mortality Risk with Group Self Pooling and Annuitisation Schemes," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales 201104, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
  4. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2013. "Exchanging uncertain mortality for a cost," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(1), pages 65-76.
  5. Hanewald, Katja & Piggott, John & Sherris, Michael, 2013. "Individual post-retirement longevity risk management under systematic mortality risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 52(1), pages 87-97.
  6. Donnelly, Catherine & Guillén, Montserrat & Nielsen, Jens Perch, 2014. "Bringing cost transparency to the life annuity market," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 56(C), pages 14-27.

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