Individual annuity demand under aggregate mortality risk

Journal of Risk and Insurance

Volumn 77, Issue 2, 2010, Pages 423-449

  Schulze, Roman N ^a   Post, Thomas ^a  

^a HUMBOLDT UNIVERSITY   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77953719758     PISSN: 00224367     EISSN: 15396975     Source Type: Journal    
DOI: 10.1111/j.1539-6975.2009.01340.x     Document Type: Article

References (62)

1. Aaron H. The Social Insurance Paradox. Canadian Journal of Economics and Political Science 1966, 32:371-374.
2. Abel A B. Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?. Review of Economics and Statistics 2001, 83:589-595.
3. Abel A B. The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security. Econometrica 2003, 71:551-578.
4. Agnew J R, Anderson L R, Gerlach J R, Szykman L R. Who Chooses Annuities? An Experimental Investigation of the Role of Gender, Framing, and Defaults. American Economic Review 2008, 98:418-422.
5. Babbel D F, Merrill C B. Rational Decumulation. 2006, Wharton Financial Institutions Center Working Paper No. 06-14
6. Bakshi G S, Chen Z. Baby Boom, Population Aging, and Capital Markets. Journal of Business 1994, 67:165-202.
7. Blake D, Burrows W. Survivor Bonds: Helping to Hedge Mortality Risk. Journal of Risk and Insurance 2001, 68:339-348.
8. Blake D, Cairns A J G, Dowd K. Living With Mortality: Longevity Bonds and Other Mortality-Linked Securities. British Actuarial Journal 2006, 12:153-197.
9. Blake D, Cairns A J G, Dowd K, MacMinn R. Longevity Bonds: Financial Engineering, Valuation and Hedging. Journal of Risk and Insurance 2006, 73:647-672.
10. Börsch-Supan A, Wilke C B. The German Public Pension System: How It Was, How It Will Be. 2004, NBER Working Paper No. 10525
11. Brooks R. Asset-Market Effects of the Baby Boom and Social-Security Reform. American Economic Review 2002, 92:402-406.
12. Brown J R. Private Pensions, Mortality Risk and the Decision to Annuitize. Journal of Public Economics 2001, 82:29-62.
13. Brown J R, Kling J R, Mullainathan S, Wrobel M V. Why Don't People Insure Late-Life Consumption? A Framing Explanation of the Under-Annuitization Puzzle. American Economic Review 2008, 98:304-309.
14. Brown J R, Orszag P R. The Political Economy of Government Issued Longevity Bonds. Journal of Risk and Insurance 2006, 73:611-631.
15. Brown J R, Poterba J M. Joint Life Annuities and Annuity Demand by Married Couples. Journal of Risk and Insurance 2000, 67:527-554.
16. Butsic R P. Solvency Measurement for Property-Liability Risk-Based Capital Applications. Journal of Risk and Insurance 1994, 61:656-690.
17. Cairns A J G, Blake D, Dowd K. Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. ASTIN Bulletin 2006, 36:79-120.
18. Carroll C D. Theoretical Foundations of Buffer Stock Saving. 2004, NBER Working Paper No. 10867
19. Cocco J, Gomes F J, Maenhout P J. Consumption and Portfolio Choice Over the Life-Cycle. Review of Financial Studies 2005, 18:491-533.
20. Conti S, Meli P, Minelli G, Solimini R, Toccaceli V, Vichi M, Beltrano C, Perini L. Epidemiologic Study of Mortality During the Summer 2003 Heat Wave in Italy. Environmental Research 2005, 98:390-399.
21. Cox S H, Lin Y. Natural Hedging of Life and Annuity Mortality Risks. North American Actuarial Journal 2007, 11:1-15.
22. Cowley A, Cummins J D. Securitization of Life Insurance Assets and Liabilities. Journal of Risk and Insurance 2005, 72:193-226.
23. Cummins J D, Mahul O. Optimal Insurance with Divergent Beliefs About Insurer Total Default Risk. Journal of Risk and Uncertainty 2003, 27:121-138.
24. Darooneh A H. Physical Premium Principle: A New Way for Insurance Pricing. Entropy 2005, 7:97-107.
25. Davidoff T. Housing, Health, and Annuities. Journal of Risk and Insurance 2008, 76. forthcoming
26. Davidoff T, Brown J R, Diamond P A. Annuities and Individual Welfare. American Economic Review 2005, 95:1573-1590.
27. Deaton A. Saving and Liquidity Constraints. Econometrica 1991, 59:1221-1248.
28. Deschenes O, Moretti E. Extreme Weather Events, Mortality and Migration. 2007, NBER Working Paper No. 13227
29. Doherty N A, Schlesinger H. Rational Insurance Purchasing: Consideration of Contract Nonperformance. Quarterly Journal of Economics 1990, 105:243-253.
30. Dowd K. Measuring Market Risk 2002, Chinchester, UK, Wiley
31. Eeckhoudt L, Kimball M S. Background Risk, Prudence, and the Demand for Insurance. Contributions to Insurance Economics 1992, Dionne G, in, ed., Norwell, Kluwer
32. Elmendorf D W, Kimball M S. Taxation of Labor Income and the Demand for Risky Assets. International Economic Review 2000, 41:801-832.
33. Friedman B M, Warshawsky M J. Annuity Prices and Saving Behaviour in the United States. Pensions in the U.S. Economy 1988, Bodie Z, Shoven J BWise D A. in, eds., Chicago, University of Chicago Press
34. Gollier C. The Economics of Risk and Time 2001, Cambridge, MA, MIT Press
35. Gomes F, Kotlikoff L J, Viceira L M. The Excess Burden of Government Indecision. 2007, NBER Working Paper No. 12859
36. Gründl H, Post T, Schulze R N. To Hedge or Not to Hedge: Managing Demographic Risk in Life Insurance Companies. Journal of Risk and Insurance 2006, 73:19-41.
37. Gupta A, Li Z. Integrating Optimal Annuity Planning With Consumption-Investment Selections in Retirement Planning. Insurance: Mathematics and Economics 2007, 41:96-110.
38. Hayflick L. The Future of Ageing. Nature 2000, 408:267-269.
39. Held G. Research into the Aging Process-A Survey. North American Actuarial Journal 2002, 6:30-37.
40. Huang R J, Tsai J T, Tzeng L Y. Government-Provided Annuities Under Insolvency Risk. Insurance: Mathematics and Economics 2008, 43:377-385.
41. Kahneman D, Tversky A. Prospect Theory: An Analysis of Decision Under Risk. Econometrica 1979, 47:263-291.
42. Keller P, Luder T, Stober M. Swiss Solvency Test. Solvency II & Risikomanagement: Umbruch in der Versicherungswirtschaft 2005, Gründl H, Perlet H, in, eds., Wiesbaden, Gabler
43. Kimball M S. Standard Risk Aversion. Econometrica 1993, 61:589-611.
44. Klugman S A, Panjer H H, Willmot G E. Loss Models: From Data to Decisions 2004, 2nd edition, New York, Wiley
45. Kotlikoff L J. Social Security and Equilibrium Capital Intensity. Quarterly Journal of Economics 1979, 93:233-253.
46. Kotlikoff L J, Spivak A. The Family as an Incomplete Annuities Market. Journal of Political Economy 1981, 89:372-391.
47. Laibson D I, Repetto A, Tobacman J. Self-Control and Saving for Retirement. Brookings Papers on Economic Activity 1998, 91-196.
48. Lin Y, Cox S H. Securitization of Mortality Risks in Life Annuities. Journal of Risk and Insurance 2005, 72:227-252.
49. Lopes P, Michaelides A. Rare Events and Annuity Market Participation. Finance Research Letters 2007, 4:82-91.
50. Krueger D, Ludwig A. On the Consequences of Demographic Change for Rates of Returns to Capital, and the Distribution of Wealth and Welfare. Journal of Monetary Economics 2007, 54:49-87.
51. Mitchell O S, Poterba J M, Warshawsky M J, Brown J R. New Evidence on the Money's Worth of Individual Annuities. American Economic Review 1999, 89:1299-1318.
52. Olivieri A. Uncertainty in Mortality Projections: An Actuarial Perspective. Insurance: Mathematics and Economics 2001, 29:231-245.
53. Olshansky S J, Hayflick L, Carnes B A. Position Statement on Human Aging. Journal of Gerontology Series A: Biological Sciences and Medical Sciences 2002, 57:292-297.
54. Pratt J W. Risk Aversion in the Small and in the Large. Econometrica 1964, 32:122-136.
55. Post T, Gründl H, Schmeiser H. Portfolio Management and Retirement: What Is the Best Arrangement for a Family?. Financial Markets and Portfolio Management 2006, 20:265-285.
56. Poterba J M. Demographic Structure and Asset Returns. Review of Economics and Statistics 2001, 83:565-584.
57. Rothschild M, Stiglitz J. Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information. Quarterly Journal of Economics 1976, 90:629-649.
58. Valleron A, Boumendil A. Épidémiologie et Canicules: Analyses de la Vague de Chaleur 2003 en France. Comptes Rendus Biologies 2004, 327:1125-1141.
59. Viceira L M. Optimal Portfolio Choice for Long-Horizon Investors With Nontradable Labor Income. Journal of Finance 2001, 56:433-469.
60. Wakker P P, Thaler R H, Tversky A. Probabilistic Insurance. Journal of Risk and Uncertainty 1997, 15:7-28.
61. Wang S. An Actuarial Index of the Right-Tail Risk. North American Actuarial Journal 1998, 2:88-101.
62. Yaari M E. Uncertain Lifetime, Life Insurance, and the Theory of the Consumer. Review of Economic Studies 1965, 32:137-150.