메뉴 건너뛰기




Volumn 103, Issue 3, 2012, Pages 507-529

Longevity risk, retirement savings, and financial innovation

Author keywords

G11; Life cycle savings; Mortality risk; Pension plans

Indexed keywords


EID: 84855472725     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.10.002     Document Type: Article
Times cited : (134)

References (40)
  • 1
    • 0001883834 scopus 로고    scopus 로고
    • Transaction costs and predictability: some utility cost calculations
    • Balduzzi P., Lynch A. Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics 1999, 52(1):47-78.
    • (1999) Journal of Financial Economics , vol.52 , Issue.1 , pp. 47-78
    • Balduzzi, P.1    Lynch, A.2
  • 2
    • 0039738114 scopus 로고    scopus 로고
    • Survivor bonds: helping to hedge mortality risk
    • Blake D., Burrows W. Survivor bonds: helping to hedge mortality risk. Journal of Risk and Insurance 2001, 68(2):339-348.
    • (2001) Journal of Risk and Insurance , vol.68 , Issue.2 , pp. 339-348
    • Blake, D.1    Burrows, W.2
  • 4
    • 84855476560 scopus 로고    scopus 로고
    • Household Ownership of Variable Annuities. Unpublished Working Paper 11964. National Bureau of Economic Research, Cambridge, MA.
    • Brown, J., Poterba, J., 2006. Household Ownership of Variable Annuities. Unpublished Working Paper 11964. National Bureau of Economic Research, Cambridge, MA.
    • (2006)
    • Brown, J.1    Poterba, J.2
  • 5
    • 33750947303 scopus 로고    scopus 로고
    • Entrepreneurship, frictions, and wealth
    • Cagetti M., De Nardi M. Entrepreneurship, frictions, and wealth. Journal of Political Economy 2006, 114(5):835-870.
    • (2006) Journal of Political Economy , vol.114 , Issue.5 , pp. 835-870
    • Cagetti, M.1    De Nardi, M.2
  • 6
    • 33845430480 scopus 로고    scopus 로고
    • A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration
    • Cairns A., Blake D., Dowd K. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration. Journal of Risk and Insurance 2006, 73(4):687-718.
    • (2006) Journal of Risk and Insurance , vol.73 , Issue.4 , pp. 687-718
    • Cairns, A.1    Blake, D.2    Dowd, K.3
  • 7
    • 84855503544 scopus 로고    scopus 로고
    • A Quantitative Comparison of Stochastic Mortality Models Using Data from England and the United States. Unpublished Working Paper. Pensions Institute, Cass Business School, London, UK.
    • Cairns, A., Blake, D., Dowd, K., Coughlan, G., Epstein, D., Khalaf-Allah, M., 2009. A Quantitative Comparison of Stochastic Mortality Models Using Data from England and the United States. Unpublished Working Paper. Pensions Institute, Cass Business School, London, UK.
    • (2009)
    • Cairns, A.1    Blake, D.2    Dowd, K.3    Coughlan, G.4    Epstein, D.5    Khalaf-Allah, M.6
  • 9
    • 0038969196 scopus 로고    scopus 로고
    • Buffer-stock saving and the life-cycle/permanent income hypothesis
    • Carroll C. Buffer-stock saving and the life-cycle/permanent income hypothesis. Quarterly Journal of Economics 1997, 112(1):1-55.
    • (1997) Quarterly Journal of Economics , vol.112 , Issue.1 , pp. 1-55
    • Carroll, C.1
  • 10
    • 84855506962 scopus 로고    scopus 로고
    • Extending Life-Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts. Unpublished Working Paper 15079. National Bureau of Economic Research, Cambridge, MA.
    • Chai, J., Horneff, W., Maurer, R., Mitchell, O., 2009. Extending Life-Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts. Unpublished Working Paper 15079. National Bureau of Economic Research, Cambridge, MA.
    • (2009)
    • Chai, J.1    Horneff, W.2    Maurer, R.3    Mitchell, O.4
  • 12
    • 20744449041 scopus 로고    scopus 로고
    • Securitization of life insurance assets
    • Cowley A., Cummins J. Securitization of life insurance assets. Journal of Risk and Insurance 2005, 72(2):193-226.
    • (2005) Journal of Risk and Insurance , vol.72 , Issue.2 , pp. 193-226
    • Cowley, A.1    Cummins, J.2
  • 13
    • 84855499622 scopus 로고    scopus 로고
    • The Empirical Relationship Between Lifetime Earnings and Mortality. Unpublished Working Paper. Congressional Budget Office, Washington, DC.
    • Cristia, J., 2007. The Empirical Relationship Between Lifetime Earnings and Mortality. Unpublished Working Paper. Congressional Budget Office, Washington, DC.
    • (2007)
    • Cristia, J.1
  • 14
    • 4344587999 scopus 로고    scopus 로고
    • Stochastic mortality in life insurances: market reserves and mortality-linked insurance contracts
    • Dahl M. Stochastic mortality in life insurances: market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 2004, 35:113-136.
    • (2004) Insurance: Mathematics and Economics , vol.35 , pp. 113-136
    • Dahl, M.1
  • 15
    • 33747750178 scopus 로고    scopus 로고
    • Valuation and hedging of life insurance liabilities with systematic mortality risk
    • Dahl M., Moller T. Valuation and hedging of life insurance liabilities with systematic mortality risk. Insurance: Mathematics and Economics 2006, 39:193-217.
    • (2006) Insurance: Mathematics and Economics , vol.39 , pp. 193-217
    • Dahl, M.1    Moller, T.2
  • 16
    • 0001517908 scopus 로고
    • Savings and liquidity constraints
    • Deaton A. Savings and liquidity constraints. Econometrica 1991, 59:1221-1248.
    • (1991) Econometrica , vol.59 , pp. 1221-1248
    • Deaton, A.1
  • 17
    • 0003266056 scopus 로고    scopus 로고
    • Mortality, education, income, and inequality among American cohorts
    • Chicago University Press, D. Wise (Ed.)
    • Deaton A., Paxson C. Mortality, education, income, and inequality among American cohorts. Themes in the Economics of Aging 2001, 129-170. Chicago University Press. D. Wise (Ed.).
    • (2001) Themes in the Economics of Aging , pp. 129-170
    • Deaton, A.1    Paxson, C.2
  • 18
    • 84855483755 scopus 로고    scopus 로고
    • Mortality, Income, and Income Inequality in Britain and the United States. Unpublished Working Paper 8534. National Bureau of Economic Research, Cambridge, MA.
    • Deaton, A., Paxson, C., 2001b. Mortality, Income, and Income Inequality in Britain and the United States. Unpublished Working Paper 8534. National Bureau of Economic Research, Cambridge, MA.
    • (2001)
    • Deaton, A.1    Paxson, C.2
  • 19
    • 33845341057 scopus 로고    scopus 로고
    • Saving and investing for early retirement: a theoretical analysis
    • Farhi E., Panageas S. Saving and investing for early retirement: a theoretical analysis. Journal of Financial Economics 2007, 83:87-212.
    • (2007) Journal of Financial Economics , vol.83 , pp. 87-212
    • Farhi, E.1    Panageas, S.2
  • 20
    • 84855476751 scopus 로고    scopus 로고
    • Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk. Unpublished Working Paper. Boston College, Center for Retirement Research, Boston, MA.
    • Friedberg, L., Webb, A., 2005. Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk. Unpublished Working Paper. Boston College, Center for Retirement Research, Boston, MA.
    • (2005)
    • Friedberg, L.1    Webb, A.2
  • 21
    • 84855484853 scopus 로고    scopus 로고
    • Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds. Unpublished Working Paper 13966. National Bureau of Economic Research, Cambridge, MA.
    • Gomes, F., Kotlikoff, L., Viceira, L., 2008. Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds. Unpublished Working Paper 13966. National Bureau of Economic Research, Cambridge, MA.
    • (2008)
    • Gomes, F.1    Kotlikoff, L.2    Viceira, L.3
  • 22
    • 0036219398 scopus 로고    scopus 로고
    • Consumption over the life cycle
    • Gourinchas P., Parker J. Consumption over the life cycle. Econometrica 2002, 70:47-89.
    • (2002) Econometrica , vol.70 , pp. 47-89
    • Gourinchas, P.1    Parker, J.2
  • 23
    • 84855499049 scopus 로고    scopus 로고
    • Government Actuary's Department. National Population Projections: Review of Methodology for Projecting Mortality. National Statistics Quality Review Series Report No. 8.
    • Government Actuary's Department, 2001. National Population Projections: Review of Methodology for Projecting Mortality. National Statistics Quality Review Series Report No. 8.
    • (2001)
  • 24
    • 84855487521 scopus 로고    scopus 로고
    • Longevity Risk in Portfolios of Pension Annuities. Unpublished Working Paper. University of Tilburg, Tilburg, Netherlands.
    • Hari, N., Melenberg, B., Nijman, T., Waegenaere, A., 2008. Longevity Risk in Portfolios of Pension Annuities. Unpublished Working Paper. University of Tilburg, Tilburg, Netherlands.
    • (2008)
    • Hari, N.1    Melenberg, B.2    Nijman, T.3    Waegenaere, A.4
  • 25
    • 67349190542 scopus 로고    scopus 로고
    • Asset allocation and location over the life cycle with survival contingent payouts
    • Horneff W., Maurer R., Mitchell O., Stamos M. Asset allocation and location over the life cycle with survival contingent payouts. Journal of Banking and Finance 2009, 33:1688-1699.
    • (2009) Journal of Banking and Finance , vol.33 , pp. 1688-1699
    • Horneff, W.1    Maurer, R.2    Mitchell, O.3    Stamos, M.4
  • 26
    • 84889702902 scopus 로고    scopus 로고
    • Human Mortality Database. University of California Berkeley, CA. Max Planck Institute for Demographic Research, Germany.
    • Human Mortality Database. University of California Berkeley, CA. Max Planck Institute for Demographic Research, Germany http://www.mortality.org.
  • 29
    • 33847049934 scopus 로고    scopus 로고
    • Baby boomers retirement security: the roles of planning, financial literacy, and housing wealth
    • Lusardi A., Mitchell O. Baby boomers retirement security: the roles of planning, financial literacy, and housing wealth. Journal of Monetary Economics 2007, 54:205-224.
    • (2007) Journal of Monetary Economics , vol.54 , pp. 205-224
    • Lusardi, A.1    Mitchell, O.2
  • 30
    • 84889734939 scopus 로고    scopus 로고
    • The role of longevity bonds in optimal portfolios
    • Menoncin F. The role of longevity bonds in optimal portfolios. Insurance: Mathematics and Economics 2008, 36:469-484.
    • (2008) Insurance: Mathematics and Economics , vol.36 , pp. 469-484
    • Menoncin, F.1
  • 32
    • 77952889153 scopus 로고    scopus 로고
    • Dynamic asset allocation with stochastic income and interest rates
    • Munk C., Sorensen C. Dynamic asset allocation with stochastic income and interest rates. Journal of Financial Economics 2010, 96(3):433-462.
    • (2010) Journal of Financial Economics , vol.96 , Issue.3 , pp. 433-462
    • Munk, C.1    Sorensen, C.2
  • 33
    • 84855494957 scopus 로고    scopus 로고
    • Individual Welfare Gains from Deferred Life-Annuities Under Stochastic Mortality. Unpublished Working Paper. Maastricht University, Maastricht, Netherlands.
    • Post, T., 2011. Individual Welfare Gains from Deferred Life-Annuities Under Stochastic Mortality. Unpublished Working Paper. Maastricht University, Maastricht, Netherlands.
    • (2011)
    • Post, T.1
  • 34
    • 33646517294 scopus 로고    scopus 로고
    • A cohort-based extension to the Lee-Carter model for mortality reduction factors
    • Renshaw A., Haberman S. A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance: Mathematics and Economics 2006, 38:556-570.
    • (2006) Insurance: Mathematics and Economics , vol.38 , pp. 556-570
    • Renshaw, A.1    Haberman, S.2
  • 35
    • 84855509156 scopus 로고    scopus 로고
    • Social Security Trustees. The 2008 OASDI Trustees Report. Section V.A: Demographic Assumptions and Methods. Social Security Administration, Washington, DC.
    • Social Security Trustees, 2008. The 2008 OASDI Trustees Report. Section V.A: Demographic Assumptions and Methods. Social Security Administration, Washington, DC.
    • (2008)
  • 36
    • 0001518154 scopus 로고
    • Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
    • Tauchen G., Hussey R. Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models. Econometrica 1991, 59:371-396.
    • (1991) Econometrica , vol.59 , pp. 371-396
    • Tauchen, G.1    Hussey, R.2
  • 37
    • 0042292017 scopus 로고    scopus 로고
    • Optimal portfolio choice for long-horizon investors with nontradable labor income
    • Viceira L. Optimal portfolio choice for long-horizon investors with nontradable labor income. Journal of Finance 2001, 55:1163-1198.
    • (2001) Journal of Finance , vol.55 , pp. 1163-1198
    • Viceira, L.1
  • 38
    • 29144479368 scopus 로고    scopus 로고
    • Literature review of long-term mortality projections
    • Waldron H. Literature review of long-term mortality projections. Social Security Bulletin 2005, 66(1):16-30.
    • (2005) Social Security Bulletin , vol.66 , Issue.1 , pp. 16-30
    • Waldron, H.1
  • 39
    • 84855502276 scopus 로고    scopus 로고
    • Trends in Mortality Differentials and Life Expectancy for Male Social Security-Covered Workers, By Average Relative Earnings. Office of Research, Evaluation, and Statistics Working Paper Series 108. Social Security Administration, Washington, DC.
    • Waldron, H., 2007. Trends in Mortality Differentials and Life Expectancy for Male Social Security-Covered Workers, By Average Relative Earnings. Office of Research, Evaluation, and Statistics Working Paper Series 108. Social Security Administration, Washington, DC.
    • (2007)
    • Waldron, H.1
  • 40
    • 84855501430 scopus 로고    scopus 로고
    • Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets. Unpublished Working Paper 15307. National Bureau of Economic Research, Cambridge, MA.
    • Yogo, M., 2009. Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets. Unpublished Working Paper 15307. National Bureau of Economic Research, Cambridge, MA.
    • (2009)
    • Yogo, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.