Annuities, Bequests and Portfolio Diversification

Hippolyte d'Albis and Emmanuel Thibault

No 09-010, TSE Working Papers from Toulouse School of Economics (TSE)

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: annuities; uncertain longevity; risk aversion (search for similar items in EconPapers)
JEL-codes: D11 D81 G11 G22 (search for similar items in EconPapers)
Date: 2009-02
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Related works:
Journal Article: Annuities, Bequests, and Portfolio Diversification (2010)
Working Paper: Annuities, Bequest and Portfolio Diversification (2010)
Working Paper: Annuities, Bequests and Portfolio Diversification (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:22131

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