Individual survival curves comparing subjective and observed mortality risks

Bissonnette, Luc; Hurd, Michael D.; Michaud, Pierre‐Carl

doi:10.1002/hec.3506

Cited by 46 publications

(64 citation statements)

References 26 publications

(40 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Likewise, the pessimistic subjective death probability q x,t for persons who believe to live shorter than the overall average (because of severe illness or the awareness of a poor lifestyle) is higher than the actual death probability q x,t . Bissonnette et al (2014) show that, within different groups (e.g. gender, ethnic background or education), people with similar characteristics are only slightly optimistic regarding their survival prospects compared to the average mortality within the subgroup, whereas the actual subgroup mortality itself differs tremendously from the overall population mortality.…”

Section: Variation: Subjective Mortalitymentioning

confidence: 97%

The Modern Tontine: An Innovative Instrument for Longevity Risk Management in an Aging Society

Weinert

Gründl

2017

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various issues, these product forms should reduce or avoid investment guarantees and risks stemming from longevity, still provide reliable insurance benefits and simultaneously take account of the increasing financial resources required for very high ages. In this context, we examine whether a historical concept of insurance, the tontine, entails enough innovative potential to extend and improve the prevailing privately funded pension solutions in a modern way. The tontine basically generates an age-increasing cash flow, which can help to match the increasing financing needs at old ages. However, the tontine generates volatile cash flows, so that -especially in the context of an aging society -the insurance character of the tontine cannot be guaranteed in every situation. We show that partial tontinization of retirement wealth can serve as a reliable supplement to existing pension products.

show abstract

Section: Variation: Subjective Mortalitymentioning

confidence: 97%

The Modern Tontine: An Innovative Instrument for Longevity Risk Management in an Aging Society

Weinert

Gründl

2017

SSRN Journal

View full text Add to dashboard Cite

show abstract

“…Their study uses Australian data about retirement plans to disentangle and model age and cohort effects. However, Bissonnette, Hurd and Michaud (2017), attempting to correct for mortality differences between sample respondents and the population average, find evidence of mild survival optimism at ages above 70, with variation across groups. As outlined in Section 2.2, ELSA asks individuals about survival to particular ages that are multiples of five.…”

Section: Comparison Of 'Subjective' Expectations and Official Estimatmentioning

confidence: 99%

Subjective expectations of survival and economic behaviour

O’Dea¹,

Sturrock²

2018

View full text Add to dashboard Cite

This paper investigates individuals' expectations about their own survival to older ages and compares patterns in average responses about survival chances with actual and projected survival rates. The extent to which individuals have, on average, accurate expectations about survival to older ages is important in a context of increasing personal responsibility for and control over the accumulation and use of savings for retirement.

show abstract

“…In the HRS, for example, only a speci…c average subjective survival probability for each interview age is observed, cf. Table 1. To overcome this, a number of recent studies therefore estimate subjective survival belief functions by assuming speci…c hazard functions, cf., e.g., Gan et al (2005), Bissonnette et al (2011), Khwaja et al (2007) and Wu et al (2013). We add to this literature by adopting a decision theoretic model in order to interpret as well as to inter-and extrapolate the data.…”

Section: Biases In Survival Beliefsmentioning

confidence: 99%

A life-cycle model with ambiguous survival beliefs

Groneck

Ludwig

Zimper

2016

Journal of Economic Theory

View full text Add to dashboard Cite

Optimal tax and transfer systems are key for the design of modern economics. One of the workhorse models used by economists to evaluate the welfare benefits of (reforms to) these systems is the life-cycle model of consumption and savings. The model can, e.g., be used to investigate the reactions of households to savings subsidies or any other kind of reform to old-age insurance, or, more general, any institutional feature of the tax-transfer system.Yet, from a quantitative perspective, it is well known that the standard model produces several "puzzles" in a sense that the standard model cannot match certain facts in the data. It is well established that, relative to an optimal saving rate according to the model, households save too little in the data. Furthermore, the decumulation speed of assets in old-age is much lower in the data than predicted by the standard model. Finally, households behave dynamically inconsistent, in a sense that they generally save less during working life for retirement than they originally planned. Such inconsistencies cannot be accommodated by the standard model.In order to generate correct quantitative predictions it is therefore important to modify the standard model in order to account for these three empirical regularities. This is the aim of the present paper.The specific model element under investigation is the life-expectancy of households which is one of the most important ingredients of the model. Obviously, survival beliefs are of high relevance for savings behavior. The standard model uses objective data on survival beliefs, traced out from population wide survival tables. However, in several datasets that explicitly ask for subjective survival beliefs, substantial biases in survival beliefs relative to such objective data can be observed. E.g., young people strongly underestimate whereas old people (after retirement) strongly overestimate their chances to survive into the future. This paper addresses the question how these biases in survival beliefs may alter model savings behavior, thereby bringing model predictions closer to the data on household savings. On the one hand, underestimation of survival beliefs may lead to lower savings than in the standard model. On the other hand, overestimation in old-age may lead to the fact that households hold on to their assets longer in life than predicted by the standard model.To test whether the observed biases in survival beliefs have quantitatively important implications for the household model, we proceed in two steps. First, we develop a model of survival belief formation. We base our model on a decision theoretic framework which enables us to be explicit about psychological effects such as optimism, pessimism and doubt. A parsimonious representation of survival beliefs enables us to match pessimism with regard to survival for young and optimism for old households, as in the data on subjective survival beliefs. Furthermore, households continuously update their survival beliefs as they age in light of objective information towa...

show abstract

Individual survival curves comparing subjective and observed mortality risks

Cited by 46 publications

References 26 publications

The Modern Tontine: An Innovative Instrument for Longevity Risk Management in an Aging Society

The Modern Tontine: An Innovative Instrument for Longevity Risk Management in an Aging Society

Subjective expectations of survival and economic behaviour

A life-cycle model with ambiguous survival beliefs

Contact Info

Product

Resources

About