Aggregate Mortality Risk and the Insurance Value of Annuities
Future improvements in mortality are difficult to forecast. In this paper, we incorporate uncertainty about future mortality, or aggregate mortality risk, into an otherwise standard life cycle model with an intertemporal consumption-savings decision. The aggregate mortality process is calibrated based on European mortality series. We use the model to quantify the welfare cost of aggregate mortality risk and the extent to which individuals can insure themselves against it using life annuities with a constant payout stream.
|Date of creation:||2006|
|Contact details of provider:|| Postal: Lönnrotinkatu 4 B, FIN-00120 HELSINKI|
Phone: +358 (0)9 609 900
Fax: +358 (0)9 601 753
Web page: http://www.etla.fi/
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:rif:dpaper:1005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kaija Hyvönen-Rajecki)
If references are entirely missing, you can add them using this form.