Annuities and Aggregate Mortality Uncertainty
This paper explores the effect of aggregate mortality risk on thepricing of annuities. It uses a two-period model; in the second period people face a constant but intiially unknown risk of death. Old people can either carry the aggregat emortlaity risk for themselves or buy annuities which are sold by young people. A market-clearing price for such annuties is established. It is found that old people would, given the choice, decide to carry a considerable part of aggregate mortality risk for themselves.
Year of publication: |
2007-03
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Authors: | Ven, Justin van de ; Weale, Martin |
Institutions: | Department of Economics, Mathematics and Statistics, Birkbeck College |
Saved in:
freely available
Extent: | application/pdf |
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Series: | WEF Working Papers. - ISSN 1749-8260. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 0027 |
Source: |
Persistent link: https://www.econbiz.de/10005419093
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