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Annuities and Aggregate Mortality Uncertainty

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Author Info
Justin van de Ven (National Institute of Economic and Social Research)
Martin Weale (National Institute of Economic and Social Research)

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Abstract

This paper explores the effect of aggregate mortality risk on thepricing of annuities. It uses a two-period model; in the second period people face a constant but intiially unknown risk of death. Old people can either carry the aggregat emortlaity risk for themselves or buy annuities which are sold by young people. A market-clearing price for such annuties is established. It is found that old people would, given the choice, decide to carry a considerable part of aggregate mortality risk for themselves.

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Paper provided by ESRC World Economy and Finance Research Programme, Birkbeck, University of London in its series WEF Working Papers with number 0027.

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Date of creation: Mar 2007
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Handle: RePEc:wef:wpaper:0027

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  1. James Banks & Richard Blundell, 2005. "Private pension arrangements and retirement in Britain," Fiscal Studies, Institute for Fiscal Studies, vol. 26(1), pages 35-53, March.
  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. [Downloadable!]
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