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Article Dans Une Revue Journal of Public Economic Theory Année : 2010

Annuities, Bequest and Portfolio Diversification

Résumé

In 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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Dates et versions

hal-00630453 , version 1 (10-10-2011)

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Hippolyte d'Albis, Emmanuel Thibault. Annuities, Bequest and Portfolio Diversification. Journal of Public Economic Theory, 2010, 12 (1), pp.75-91. ⟨10.1111/j.1467-9779.2009.01448.x⟩. ⟨hal-00630453⟩
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