Annuities, Bequest and Portfolio Diversification

Hippolyte d'Albis and Emmanuel Thibault

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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.

Keywords: RISK AVERSION; ANNUITIES; UNCERTAIN LONGEVITY (search for similar items in EconPapers)
Date: 2010-02
Note: View the original document on HAL open archive server: https://hal.science/hal-00630453v1
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Citations: View citations in EconPapers (1)

Published in Journal of Public Economic Theory, 2010, 12 (1), pp.75-91. ⟨10.1111/j.1467-9779.2009.01448.x⟩

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Journal Article: Annuities, Bequests, and Portfolio Diversification (2010)
Working Paper: Annuities, Bequests and Portfolio Diversification (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00630453

DOI: 10.1111/j.1467-9779.2009.01448.x

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