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The modern tontine : an innovative instrument for longevity risk management in an aging society

Weinert, Jan-Hendrik; Gründl, Helmut - 2016 - This version: July 22, 2016

The 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...

Persistent link: https://www.econbiz.de/10011512972

Life insurance demand under health shock risk

Kraft, Holger; Schendel, Lorenz S.; Steffensen, Mogens - 2014 - This version: February 7, 2014

This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy term life insurance with realistic features. In particular, the available contracts...

Persistent link: https://www.econbiz.de/10010250168

Fixed and variable longevity annuities in defined contribution plans : optimal retirement portfolios taking social security into account

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2023

This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their … annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well …-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to …

Persistent link: https://www.econbiz.de/10013554899

Putting the pension back in 401(k) plans : optimal versus default longevity income annuities

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2016

protect retirees from outliving their assets by converting a portion of their plan balances into longevity income annuities … (LIA). These are deferred annuities which initiate payouts not later than age 85 and continue for life, and they provide an …

Persistent link: https://www.econbiz.de/10011552461

How persistent low expected returns alter optimal life cycle saving, investment, and retirement behavior

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2017

This Chapter explores how an environment of persistent low returns influences saving, investing, and retirement behaviors, as compared to what in the past had been thought of as more "normal" financial conditions. Our calibrated lifecycle dynamic model with realistic tax, minimum distribution,...

Persistent link: https://www.econbiz.de/10011755248

Fixed and Variable Longevity Annuities in Defined Contribution Plans : Optimal Retirement Portfolios Taking Social Security into Account

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2023

This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their … annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well …-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to …

Persistent link: https://www.econbiz.de/10014255003

Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets

Miles, David; Černý, Aleš - 2001

This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...

Persistent link: https://www.econbiz.de/10011398101

Funded and unfunded pension schemes : risk, return and welfare

Miles, David - 2000

This paper uses stochastic simulations on calibrated models to assess the optimal degree of reliance on fun ded pensions and on a particular type of unfunded (PAYG) pension. Surprisingly little is known about the optimal split between funded and unfunded systems when there are sources of...

Persistent link: https://www.econbiz.de/10009781509

Behavioral Aspects of Household Portfolio Choice : Effects of Loss Aversion on Life Insurance Uptake and Savings

Hwang, In Do - 2017

This paper investigates how loss-aversion affects individuals' decisions on savings and insurance purchase. Specifically, this paper empirically tests if prospect theory's loss aversion decreases insurance demand and increases savings demand. Prospect theory predicts that boundedly rational...

Persistent link: https://www.econbiz.de/10012962197

A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

Persistent link: https://www.econbiz.de/10013363078