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| HAL : halshs-00721281, version 1 |
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| Ambiguous Life Expectancy and the Demand for Annuities |
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| Hippolyte D'Albis 1, 2Emmanuel Thibault 3, 4, 5 |
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| (07/2012) |
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| In this paper, ambiguity aversion to uncertain survival probabilities is introduced in a life-cycle model with a bequest motive to study the optimal demand for annuities. Provided that annuities return is sufficiently large, and notably when it is fair, positive annuitization is known to be optimal strategy of ambiguity neutral individuals. Conversely, we show that the demand for annuities decreases with ambiguity aversion and that there exists a finite degree of aversion above which the demand is non positive : the optimal strategy is then to either sell annuities short or to hold zero annuities if the former option is not available. To conclude, ambiguity aversion appears as a relevant candidate for explaining the annuity puzzle. |
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| 1 : | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
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Ecole d'Économie de Paris |
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| 2 : | Centre d'économie de la Sorbonne (CES) |
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CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne |
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| 3 : | Toulouse School of Economics |
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TSE |
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| 4 : | CDED |
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Université de Perpignan |
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| 5 : | IDEI |
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Université Toulouse I [UT1] Capitole |
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| Axe Macroéconomie |
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| Discipline | : | Sciences de l'Homme et Société/Economie et finances |
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| Demand for annuities – uncertain survival probabilities – ambiguity aversion |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00721281, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00721281 | |
| oai:halshs.archives-ouvertes.fr:halshs-00721281 | |
| Contributeur : Lucie Label | |
| Soumis le : Vendredi 27 Juillet 2012, 10:19:29 | |
| Dernière modification le : Vendredi 27 Juillet 2012, 10:24:48 | |
