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Optimal consumption and annuity equivalent wealth with mortality model uncertainty

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  • Li, Zhengming
  • Shen, Yang
  • Su, Jianxi

Abstract

The classical Yaari (1965) lifecycle model (LCM) stands as a cornerstone in numerous modern retirement studies, especially in understanding the determinants of annuity demand. The LCM predicts a high annuity demand among individuals facing retirement, yet it is rarely the case in reality. This gap between economic theory and empirical reality, commonly referred to as the annuity puzzle, has spurred extensive research endeavors aimed at elucidating its economic and behavioral underpinnings.

Suggested Citation

  • Li, Zhengming & Shen, Yang & Su, Jianxi, 2025. "Optimal consumption and annuity equivalent wealth with mortality model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 159-188.
    • Handle: RePEc:eee:insuma:v:120:y:2025:i:c:p:159-188
    DOI: 10.1016/j.insmatheco.2024.11.009
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