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D'Albis, Hippolyte
and Thibault, Emmanuel
(2009)
Annuities, Bequests and Portfolio Diversification.
TSE Working Paper, n. 09-010
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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 Classification: | 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: | 02 Apr 2021 15:36 |
| OAI Identifier: | oai:tse-fr.eu:22131 |
| URI: | https://publications.ut-capitole.fr/id/eprint/3195 |
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