Deferred Annuities and Strategic Asset Allocation
dc.contributor.author | Horneff, Wolfram J. | |
dc.contributor.author | Maurer, Raimond H. | |
dc.date.accessioned | 2009-02-06T15:38:09Z | |
dc.date.available | 2009-02-06T15:38:09Z | |
dc.date.issued | 2008-08 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/61804 | |
dc.description.abstract | We derive the optimal portfolio choice and consumption pattern over the lifecycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to deferred annuities. Deferred annuities offer a hedge against mortality risk and provide similar benefits as Social Security. 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 and to earn the equity premium. We find a marginal difference between a strategy involving deferred annuities and one where the investor can purchase immediate life annuities. | en |
dc.description.sponsorship | Social Security Administration | en |
dc.format.extent | 347539 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | en |
dc.publisher | Michigan Retirement Research Center, University of Michigan, P.O. Box 1248, Ann Arbor, MI 48104 | en |
dc.relation.ispartofseries | WP2008-178 | en |
dc.subject | WP2008-178 | en |
dc.subject | UM08-24 | en |
dc.title | Deferred Annuities and Strategic Asset Allocation | en |
dc.type | Working Paper | en |
dc.subject.hlbsecondlevel | Population and Demography | |
dc.subject.hlbtoplevel | Social Sciences | |
dc.contributor.affiliationum | Goethe University | en |
dc.contributor.affiliationumcampus | Ann Arbor | en |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/61804/1/wp178.pdf | |
dc.owningcollname | Retirement and Disability Research Center, Michigan (MRDRC) |
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