The annuity puzzle and consumption hump under ambiguous life expectancy
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Publication:2234752
DOI10.1016/J.INSMATHECO.2021.04.011zbMATH Open1475.91305OpenAlexW3157128936MaRDI QIDQ2234752FDOQ2234752
Authors: Nan-Wei Han, Mao-Wei Hung 
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.011
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Cites Work
- Maxmin expected utility with non-unique prior
- Consumption Over the Life Cycle
- Annuitization and asset allocation
- Life-cycle asset allocation with annuity markets
- Optimal annuitization, uncertain survival probabilities, and maxmin preferences
- Ambiguous life expectancy and the demand for annuities
- A rank-dependent utility model of uncertain lifetime
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- Consumption habits and humps
Cited In (7)
- Optimal annuitization and asset allocation under linear habit formation
- Optimal annuitization, uncertain survival probabilities, and maxmin preferences
- Income uncertainty and the demand for annuities
- Effects of uncertain lifetime and annuity insurance on capital accumulation and growth
- Macro longevity risk and the choice between annuity products: evidence from Denmark
- Robust retirement and life insurance with inflation risk and model ambiguity
- The timing of annuitization: Investment dominance and mortality risk
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