Ambiguous life expectancy and the demand for annuities
Hippolyte d'Albis
(1, 2)
,
Emmanuel Thibault
(3, 4)
Hippolyte d'Albis
- Fonction : Auteur
- PersonId : 16845
- IdHAL : hippolyte-dalbis
- ORCID : 0000-0002-6409-4320
- IdRef : 07955279X
Emmanuel Thibault
- Fonction : Auteur
- PersonId : 928324
Résumé
In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a static life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities’ return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion above which the demand is non-positive: the optimal strategy is then to either sell annuities short or to hold zero annuities if the former option is not available. To conclude, ambiguity aversion appears to be a relevant candidate for explaining the annuity puzzle.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Ambiguous life expectancy and the demand for annuities
|
Résumé |
en
In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a static life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities’ return is sufficiently large, and notably when it is fair, positive annuitization is known to be the optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion above which the demand is non-positive: the optimal strategy is then to either sell annuities short or to hold zero annuities if the former option is not available. To conclude, ambiguity aversion appears to be a relevant candidate for explaining the annuity puzzle.
|
Auteur(s) |
Hippolyte d'Albis
1, 2
, Emmanuel Thibault
3, 4
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
3
TSE-R -
Toulouse School of Economics
( 93477 )
- Manufacture de Tabacs, 21 allées de Brienne 31000 Toulouse
- France
4
CDED -
Centre de Droit Economique et du Développement
( 199448 )
- Université de Perpignan Via Domitia, 52 avenue Paul Alduy, 66860 Perpignan Cedex 9
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2018-10
|
Volume |
85
|
Numéro |
3-4
|
Page/Identifiant |
303-319
|
Domaine(s) |
|
Projet(s) ANR |
|
Mots-clés |
en
Demand for annuities, Uncertain survival probabilities, Ambiguity aversion
|
DOI | 10.1007/s11238-018-9658-8 |
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