Annuities, Bequests and Portfolio Diversification

D'Albis, Hippolyte and Thibault, Emmanuel (2009) Annuities, Bequests and Portfolio Diversification. TSE Working Paper, n. 09-010

WarningThere is a more recent version of this item available.
[img]
Preview
Text
Download (308kB) | Preview
Official URL: http://tse-fr.eu/pub/22131

Abstract

In this article, the diversification motives of the demand for annuities
is analyzed. Using a model allowing for the uncertainty of both the human life length and the interest rate, the Decision Maker is supposed to choose an optimal portfolio to maximize a bequest. Conditions under which an increase in the risk of bond returns increase the demand for annuities are proposed and discussed. Moreover, it is shown that, contrary to previous claims, more risk adversion is associated with a lower demand for annuities.

Item Type: Monograph (Working Paper)
Language: French
Date: 2 February 2009
Uncontrolled Keywords: annuities, annuités, uncertain longevity, longévité incertaine, risk aversion, aversion au risque
JEL codes: D11 - Consumer Economics - Theory
D81 - Criteria for Decision-Making under Risk and Uncertainty
G11 - Portfolio Choice; Investment Decisions
G22 - Insurance; Insurance Companies
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:59
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:22131
URI: http://publications.ut-capitole.fr/id/eprint/3195

Available Versions of this Item

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year