Annuities and Aggregate Mortality Uncertainty
AbstractThis 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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Bibliographic InfoPaper provided by ESRC World Economy and Finance Research Programme, Birkbeck, University of London in its series WEF Working Papers with number 0027.
Date of creation: Mar 2007
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-12-08 (All new papers)
- NEP-DGE-2007-12-08 (Dynamic General Equilibrium)
- NEP-HEA-2007-12-08 (Health Economics)
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.:
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NBER Working Papers
11984, National Bureau of Economic Research, Inc.
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"Annuities and Individual Welfare,"
NBER Working Papers
9714, National Bureau of Economic Research, Inc.
- 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.
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