Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?
dc.contributor.author | Horneff, Wolfram J. | en_US |
dc.contributor.author | Maurer, Raimond H. | en_US |
dc.contributor.author | Stamos, Michael Z. | en_US |
dc.date.accessioned | 2007-01-29T21:24:34Z | |
dc.date.available | 2007-01-29T21:24:34Z | |
dc.date.issued | 2006-12 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/49332 | |
dc.description.abstract | We derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. We show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit. The remaining liquid wealth (stocks and bonds) is used to hedge labor income risk during work life, to earn the equity premium, and to ensure estate for the heirs. Furthermore, we assess the importance of common explanations for limited participation in annuity markets. | en_US |
dc.format.extent | 1926 bytes | |
dc.format.extent | 1057782 bytes | |
dc.format.mimetype | text/plain | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | |
dc.publisher | Michigan Retirement Research Center, University of Michigan, P.O. Box 1248, Ann Arbor, MI 48104 | en_US |
dc.relation.ispartofseries | WP 2006-146 | en_US |
dc.title | Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal? | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Population and Demography | en_US |
dc.subject.hlbtoplevel | Social Sciences | en_US |
dc.contributor.affiliationum | Michigan Retirement Research Center | en_US |
dc.contributor.affiliationum | Institute for Social Research | |
dc.contributor.affiliationother | Johan Wolfgang Goethe University - University of Frankfurt | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/49332/2/wp146.pdf | en_US |
dc.owningcollname | Retirement and Disability Research Center, Michigan (MRDRC) |
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