Annuitization and aggregate mortality risk

Imagem do registro
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20210005640
003  MAP
005  20210219144714.0
008  210219e20210301usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20110019549‎$a‎Andersen, Torben M.
24510‎$a‎Annuitization and aggregate mortality risk‎$c‎Torben M. Andersen, Marias H. Gestsson
520  ‎$a‎It is well established that annuities can fully diversify idiosyncratic mortality risks. However, survival rates at the cohort level are changing, raising the question what is the scope of annuities in the presence of aggregate mortality risk? In an overlapping generations setting, we show that risk free annuities exist, but offer a return below the (fair) certainty equivalent return, and agents do not fully annuitize their savings. Higher aggregate mortality risk increases savings and thus the mean level of the capital stock. This lowers the mean rate of return on capital, the survival premium on annuities and the share of individual savings in annuities.
650 4‎$0‎MAPA20080555306‎$a‎Mortalidad
650 4‎$0‎MAPA20080573614‎$a‎Renta vitalicia
650 4‎$0‎MAPA20080540104‎$a‎Ahorro
650 4‎$0‎MAPA20080560447‎$a‎Rendimiento
7001 ‎$0‎MAPA20210003240‎$a‎Gestsson, Marias H.
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎01/03/2021 Volumen 88 Número 1 - marzo 2021 , p. 79-99