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 InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00670320.
Date of creation: May 2012
Date of revision:
Publication status: Published, Economics Letters, 2012, 115, 2, 296-299
Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00670320
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Demand for annuities; Uncertain survival probabilities; Uncertainty aversion; Maxmin;
Other versions of this item:
- d’Albis, Hippolyte & Thibault, Emmanuel, 2012. "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Economics Letters, Elsevier, vol. 115(2), pages 296-299.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-27 (All new papers)
- NEP-IAS-2012-02-27 (Insurance Economics)
- NEP-UPT-2012-02-27 (Utility Models & Prospect Theory)
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.:
- 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.
- 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.
- 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.
- Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
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
- 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).
- 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.
- d'Albis, Hippolyte & Thibault, Emmanuel, 2012. "Ambiguous Life Expectancy and the Demand for Annuities," IDEI Working Papers 731, Institut d'Économie Industrielle (IDEI), Toulouse.
- repec:hal:journl:halshs-00721281 is not listed on IDEAS
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