How deep is the annuity market participation puzzle?

Review of Financial Studies

Volumn 24, Issue 1, 2011, Pages 279-319

  Inkmann, Joachim ^a   Lopes, Paula ^b   Michaelides, Alexander ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF CYPRUS   (Cyprus)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 78650540426     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhq080     Document Type: Article

References (52)

1. Alan, S. 2006. Entry Costs and Stock Market Participation over the Life Cycle. Review of Economic Dynamics 9:588-611.
2. Ameriks, J., A. Caplin, S. Laufer, and S. v. Nieuwerburgh. 2007. The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives. NBER Working Paper No. 13105.
3. Attanasio, O., and S. Rohwedder. 2003. Pension Wealth and Household Saving: Evidence from Pension in the United Kingdom. American Economic Review 93:1499-522.
4. Bacinello, A. R. 2001. Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Guaranteed. Astin Bulletin 31:275-97.
5. Banks, J., R. Blundell, Z. Oldfield, and J. P. Smith. 2010. Housing Price Volatility and Downsizing in Later Life. In D. Wise (ed.), Research Findings in the Economics of Aging. Chicago: University of Chicago Press, 337-86.
6. Benitez-Silva, H. 2003. The Annuity Puzzle Revisited. Working Paper, SUNY-Stony Brook.
7. Bernheim, B. D. 1991. How Strong Are Bequest Motives? Evidence Based on Estimates of Demand for Life Insurance and Annuities. Journal of Political Economy 99:899-927.
8. Blake, D. 1999. Annuity Markets: Problems and Solutions. Geneva Papers on Risk and Insurance 24:358-75.
9. Blundell, R., C. Meghir, and S. Smith. 2002. Pension Incentives and the Pattern of Early Retirement. Economic Journal 112:153-70.
10. Brown, J. R. 2001. Private Pensions, Mortality Risk, and the Decision to Annuitize. Journal of Public Economics 82:29-62.
11. Brown, J. R., O. S. Mitchell, and J. M. Poterba. 2001. The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program. In J. Y. Campbell and M. Feldstein (eds.), Risk Aspects of Investment- Based Social Security Reform. Chicago: University of Chicago Press, 321-70.
12. Brown, J. R., and J. M. Poterba. 2000. Joint Life Annuities and Annuity Demand by Married Couples. Journal of Risk and Insurance 67:527-53.
13. -. 2006. Household Ownership of Variable Annuities. NBER Working Paper No. 11964.
14. Campbell, J. Y. 2006. Household Finance. Journal of Finance 61:1553-604.
15. Campbell, J. Y., and L. Viceira. 1999. Consumption and Portfolio Decisions When Expected Returns Are Time Varying. Quarterly Journal of Economics 114:433-95.
16. Cocco, J., F. Gomes, and P. Maenhout. 2005. Portfolio Choice over the Life Cycle. Review of Financial Studies 18:491-533.
17. Davidoff, T., J. R. Brown, and P. Diamond. 2005. Annuities and IndividualWelfare. American Economic Review 95:1573-90.
18. De Nardi, M. 2004. Wealth Inequality and Intergenerational Links. Review of Economic Studies 71:743-68.
19. De Nardi, M., E. French, and J. Jones. 2010. Why Do the Elderly Save? The Role of Medical Expenses. Journal of Political Economy 118:39-75.
20. Duffie, D., and K. Singleton. 1993. Simulated Moments Estimation of Markov Models of Asset Prices. Econometrica 61:929-52.
21. Dushi, I., and A.Webb. 2004. Household Annuitization Decisions: Simulations and Empirical Analysis. Journal of Pension Economics and Finance 3:109-43.
22. Epstein, L., and S. Zin. 1989. Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework. Econometrica 57:937-69.
23. Finkelstein, A., and J. M. Poterba. 2002. Selection Effects in the United Kingdom Individual Annuities Market. Economic Journal 112:28-42.
24. Finkelstein, A., and J. M. Poterba. 2004. Adverse Selection in Insurance Markets: Policyholder Evidence from the U.K. Annuity Market. Journal of Political Economy 112:183-208.
25. Friedman, B. M., and M. J. Warshawsky. 1990. The Cost of Annuities: Implications for Saving Behavior and Bequests. Quarterly Journal of Economics 105:135-54.
26. Gomes, F., and A. Michaelides. 2005. Optimal Life cycle Asset Allocation: Understanding the Empirical Evidence. Journal of Finance 60:869-904.
27. Gomes, F., A. Michaelides, and V. Polkovnichenko. 2009. Optimal Savings with Taxable and Tax deferred Accounts. Review of Economic Dynamics 12:718-35.
28. Gourinchas, P O., and J. Parker. 2002. Consumption over the Life Cycle. Econometrica 70:47-89.
29. Guiso, L., M. Haliassos, and T. Japelli. 2002. Household Portfolios. Cambridge, MA: MIT Press.
30. Guvenen, F. 2006. Reconciling Conflicting Evidence on the Elasticity of Intertemporal Substitution: A Macroeconomic Perspective. Journal of Monetary Economics 53:1451-72.
31. Heaton J., and D. Lucas. 1997. Market Frictions, Savings Behavior, and Portfolio Choice. Macroeconomic Dynamics 1:76-101.
32. Horneff, W. J., R. H. Maurer, and M. Z. Stamos. 2008. Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities. Journal of Risk and Insurance 75:1019-38.
33. Horneff, W. J., R. H. Maurer, O. S. Mitchell, and M. Z. Stamos. 2010. Variable Payout Annuities and Dynamic Portfolio Choice in Retirement. Journal of Pension Economics and Finance 9:163-83.
34. Kopczuk,W., and J. P. Lupton. 2007. To Leave or Not to Leave: The Distribution of Bequest Motives. Review of Economic Studies 74:207-35.
35. Lockwood, L. 2009. Bequest Motives and the Annuity Puzzle. Working Paper, University of Chicago.
36. Lopes, P. 2006. The Effect of Load Factors and Minimum Size Restrictions on Annuity Market Participation. LSE FMG Discussion Paper.
37. Lopes, P., and A. Michaelides. 2007. Rare Events and Annuity Market Participation. Finance Research Letters 4:82-91.
38. Love, D. A. 2010. The Effects of Marital Status and Children on Savings and Portfolio Choice. Review of Financial Studies 23:385-432.
39. Lusardi, A., and O. S. Mitchell. 2007. Baby Boomers Retirement Security: The Roles of Planning, Financial Literacy, and Housing Wealth. Journal of Monetary Economics 54:205-24.
40. Michaelides, A., and S. Ng. 2000. Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators. Journal of Econometrics 96:231-66.
41. Milevsky, M. A., and V. Young. 2007. Annuitization and Asset Allocation. Journal of Economic Dynamics & Control 31:3138-77.
42. Mitchell, O. S., J. M. Poterba, M. Warshawsky, and J. R. Brown. 1999. New Evidence on Money's Worth of Individual Annuities. American Economic Review 89:1299-318.
43. Pang, G., and M. Warshawsky. 2010. Optimizing the Equity-bond-annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses. Insurance Mathematics and Economics 46:198-209.
44. Polkovnichenko, V. 2007. Life-cycle Consumption and Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk. Review of Financial Studies 20:83-124.
45. Rosen, H., and S. Wu. 2004. Portfolio Choice and Health Status. Journal of Financial Economics 72:457-84.
46. Sinclair, S. H., and K. A. Smetters. 2004. Health Shocks and the Demand for Annuities. Technical Paper Series 2004-9, Congressional Budget Office.
47. Stark, J. 2002. Annuities: The Consumer Experience. ABI Research Report.
48. -. 2003. The Future of the Pension Annuity Market. ABI Summary Report.
49. Vissing-Jørgensen, A. 2002. Limited Asset Market Participation and the Elasticity of Intertemporal Substitution. Journal of Political Economy 110:825-53.
50. Yaari, M. 1965. Uncertain Lifetime, Life Insurance, and the Theory of the Consumer. Review of Economic Studies 32:137-50.
51. Yogo, M. 2008. Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets. Working Paper, Wharton.
52. Zeng, L. 2008. Optimal Consumption and Portfolio Choice for Retirees. Working Paper, Carnegie Mellon University.