The implication of the hyperbolic discount model for the annuitisation decisions

Chen, Anran; Haberman, Steven; Thomas, Stephen

doi:10.1017/s1474747218000343

Cited by 6 publications

(1 citation statement)

References 32 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…An overview of existing puzzles in life insurance can be found in Gottlieb (2012). Recent attempts to tackle the annuity puzzle include but are not limited to Poppe-Yanez (2017), Caliendo et al (2017), Chen et al (2018) and O'Dea and Sturrock (2019). Due to the tightening solvency regulation and the low interest rate environment, it yet seems unlikely that retirees are going to annuitize more of their wealth in the near future.…”

Section: Introductionmentioning

confidence: 99%

On the Optimal Combination of Annuities and Tontines

Chen¹,

Rach²,

Sehner³

2020

ASTIN Bull.

View full text Add to dashboard Cite

Tontines, retirement products constructed in such a way that the longevity risk is shared in a pool of policyholders, have recently gained vast attention from researchers and practitioners. Typically, these products are cheaper than annuities, but do not provide stable payments to policyholders. This raises the question whether, from the policyholders' viewpoint, the advantages of annuities and tontines can be combined to form a retirement plan which is cheaper than an annuity, but provides a less volatile retirement income than a tontine. In this article, we analyze and compare three approaches of combining annuities and tontines in an expected utility framework: the previously introduced “tonuity”, a product very similar to the tonuity which we call “antine” and a portfolio consisting of an annuity and a tontine. We show that the payoffs of a tonuity and an antine can be replicated by a portfolio consisting of an annuity and a tontine. Consequently, policyholders achieve higher expected utility levels when choosing the portfolio over the novel retirement products tonuity and antine. Further, we derive conditions on the premium loadings of annuities and tontines indicating when the optimal portfolio is investing a positive amount in both annuity and tontine, and when the optimal portfolio turns out to be a pure annuity or a pure tontine.

show abstract

Section: Introductionmentioning

confidence: 99%

On the Optimal Combination of Annuities and Tontines

Chen¹,

Rach²,

Sehner³

2020

ASTIN Bull.

View full text Add to dashboard Cite

show abstract

Solvency analysis of deferred annuities

Gasimova,

Haberman,

Millossovich

2024

Decisions Econ Finan

View full text Add to dashboard Cite

While the solvency analysis of immediate life annuity portfolios has been extensively studied, the case of deferred annuities has received comparatively much less attention. We assess the importance and effect of stochastic mortality models and interest rates on the solvency analysis of a portfolio of deferred annuity contracts. Our analysis considers three steps: first, the benchmark case where mortality rates and interest rates are both deterministic; then, the case in which only mortality rates are stochastic is explored; finally, the full model where both mortality rates and interest rates are stochastic. The results demonstrate the model risk stemming from the uncertainty in the mortality models and its impact on the evaluation of solvency margins for life annuities. The role of the deferment period is thoroughly discussed and compared to the case of immediate annuities.

show abstract

Deferred annuities with gender-neutral pricing: Benefitting most women without adversely affecting too many men

Lau,

Ying

2024

Journal of Economic Dynamics and Control

View full text Add to dashboard Cite

The implication of the hyperbolic discount model for the annuitisation decisions

Cited by 6 publications

References 32 publications

On the Optimal Combination of Annuities and Tontines

On the Optimal Combination of Annuities and Tontines

Solvency analysis of deferred annuities

Deferred annuities with gender-neutral pricing: Benefitting most women without adversely affecting too many men

Contact Info

Product

Resources

About