Annuities, Bequests and Portfolio Diversification
Abstract
In this article, the diversification motives of the demand for annuities is analyzed. Using a model allowing for the uncertainty of both the human life length and the interest rate, the Decision Maker is supposed to choose an optimal portfolio to maximize a bequest. Conditions under which an increase in the risk of bond returns increase the demand for annuities are proposed and discussed. Moreover, it is shown that, contrary to previous claims, more risk adversion is associated with a lower demand for annuities.(This abstract was borrowed from another version of this item.)
Download Info
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.Bibliographic Info
Paper provided by LERNA, University of Toulouse in its series LERNA Working Papers with number 09.14.290.Length:
Date of creation: Jun 2009
Date of revision:
Handle: RePEc:ler:wpaper:09.14.290
Contact details of provider:
Postal: manufacture des Tabacs, 21 allée de brienne, 31200 Toulouse
Phone: (+33) 5 61 12 86 23
Web page: http://www.toulouse.inra.fr/lerna/
More information through EDIRC
Related research
Keywords:Other versions of this item:
- Hippolyte D'Albis & Emmanuel Thibault, 2010. "Annuities, Bequests, and Portfolio Diversification," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(1), pages 75-91, 02.
- Hippolyte D'Albis & Emmanuel Thibault, 2010. "Annuities, Bequest and Portfolio Diversification," Post-Print hal-00630453, HAL.
- d'Albis, Hippolyte & Thibault, Emmanuel, 2009. "Annuities, Bequests and Portfolio Diversification," TSE Working Papers 09-010, Toulouse School of Economics (TSE).
- 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-2009-07-03 (All new papers)
References
References listed on IDEASPlease 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.:
- David Blake, 1999. "Annuity Markets: Problems and Solutions," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan, vol. 24(3), pages 358-375, July.
- EECKHOUDT, Louis & ETNER, Johanna & SCHROYEN, Fred, 2007. "A benchmark value for relative prudence," CORE Discussion Papers 2007086, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Thomas Davidoff & Jeffrey R. Brown & Peter A. Diamond, 2003.
"Annuities and Individual Welfare,"
NBER Working Papers
9714, National Bureau of Economic Research, Inc.
- 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.
Citations
Blog mentions
As 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
Lists
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.Statistics
Access and download statisticsCorrections
When requesting a correction, please mention this item's handle: RePEc:ler:wpaper:09.14.290For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxime MARTY).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.