TY  - BOOK
AU  - Kartashov,Vasily
AU  - Maurer,Raimond
AU  - Mitchell,Olivia S.
AU  - Rogalla,Ralph
ED  - National Bureau of Economic Research.
TI  - Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities
T2  - NBER working paper series
PY  - 2011///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - October 2011; Hardcopy version available to institutional subscribers
N2  - This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme. Reservation loadings on the actuarially fair VILDA price for non-participation are 0.5-8%; if insurers cannot hedge within this range, they will transfer systematic longevity risks to the annuitants. Our findings have implications for new payout products that may be attractive to older households seeking to protect against retirement shortfalls
UR  - https://www.nber.org/papers/w17505
UR  - http://dx.doi.org/10.3386/w17505
ER  -