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Optimal annuitization, uncertain survival probabilities, and maxmin preferences

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Author Info

  • Hippolyte D'Albis

    ()
    (EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris 1 - Panthéon-Sorbonne)

  • Emmanuel Thibault

    (TSE - Toulouse School of Economics - Toulouse School of Economics)

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

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number hal-00670320.

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Date of creation: May 2012
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Publication status: Published, Economics Letters, 2012, 115, 2, 296-299
Handle: RePEc:hal:cesptp:hal-00670320

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00670320
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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, 2005. "Annuities and Individual Welfare," American Economic Review, American Economic Association, vol. 95(5), pages 1573-1590, December.
  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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  1. 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
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Cited by:
  1. Hippolyte D'Albis & Emmanuel Thibault, 2012. "Ambiguous Life Expectancy and the Demand for Annuities," Post-Print halshs-00721281, HAL.
  2. 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.

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