Annuities, Bequests and Portfolio Diversification
AbstractIn 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.
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Bibliographic InfoPaper provided by LERNA, University of Toulouse in its series LERNA Working Papers with number 09.14.290.
Date of creation: Jun 2009
Date of revision:
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.
- 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)
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.:
- 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, 2005.
"Annuities and Individual Welfare,"
American Economic Review,
American Economic Association, vol. 95(5), pages 1573-1590, December.
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
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