The annuity puzzle and consumption hump under ambiguous life expectancy

DOI10.1016/J.INSMATHECO.2021.04.011MaRDI QIDQ2234752zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

robust controlambiguity aversionannuitybequest motivesconsumption hump

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A rank-dependent utility model of uncertain lifetime
• Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
• Ambiguous life expectancy and the demand for annuities
• Annuitization and asset allocation
• Consumption Over the Life Cycle
• Consumption habits and humps
• Life-cycle asset allocation with annuity markets
• Maxmin expected utility with non-unique prior
• Optimal annuitization, uncertain survival probabilities, and maxmin preferences

Cited in

(12)

• A life-cycle model with ambiguous survival beliefs
• Life-cycle planning with ambiguous economics and mortality risks
• Optimal annuitization and asset allocation under linear habit formation
• Optimal annuitization, uncertain survival probabilities, and maxmin preferences
• The annuity puzzle revisited: a deterministic version of Lagrangian methods
• Income uncertainty and the demand for annuities
• Effects of uncertain lifetime and annuity insurance on capital accumulation and growth
• Ambiguous life expectancy and the demand for annuities
• Macro longevity risk and the choice between annuity products: evidence from Denmark
• Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
• The timing of annuitization: Investment dominance and mortality risk
• Robust retirement and life insurance with inflation risk and model ambiguity

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