EconPapers    
Economics at your fingertips  
 

Ambiguous Life Expectancy and the Demand for Annuities

Hippolyte d'Albis and Emmanuel Thibault

Post-Print from HAL

Abstract: 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.

Keywords: Demand for annuities; uncertain survival probabilities; ambiguity aversion; Rente viagère; probabilité de survie incertaine; aversion à l'ambigüité (search for similar items in EconPapers)
Date: 2012-07
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00721281v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in 2012

Downloads: (external link)
https://shs.hal.science/halshs-00721281v1/document (application/pdf)

Related works:
Journal Article: Ambiguous life expectancy and the demand for annuities (2018) Downloads
Working Paper: Ambiguous life expectancy and the demand for annuities (2018)
Working Paper: Ambiguous life expectancy and the demand for annuities (2018)
Working Paper: Ambiguous Life Expectancy and the Demand for Annuities (2012) Downloads
Working Paper: Ambiguous Life Expectancy and the Demand for Annuities (2012) Downloads
Working Paper: Ambiguous Life Expectancy and the Demand for Annuities (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00721281

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).

 
Page updated 2025-03-19
Handle: RePEc:hal:journl:halshs-00721281