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Bernheim, B. Douglas - 1984

In this paper, we argue that actuarial valuation of annuity benefit streams is theoretically inconsistent with the assumption of pure lifecycle motives. Instead, we show that the simple discounted value of future benefits (ignoring the possibility of death) is often a good approximation to the...

Persistent link: https://www.econbiz.de/10012477575

The Impact of Annuity Insurance on Savings and Inequality

Kotlikoff, Laurence J. - 1984

This is the first paper to document the effect of health on the migration propensities of African Americans in the American past. Using both IPUMS and the Colored Troops Sample of the Civil War Union Army Data, I estimate the effects of literacy and health on the migration propensities of...

Persistent link: https://www.econbiz.de/10012477686

International Adverse Selection in Life Insurance and Annuities

McCarthy, David - 2003

This paper evaluates the extent of adverse selection in life insurance and annuities in international markets, for both group and individual products. We also compare results with prior analyses of adverse selection in international annuity markets, focusing on the US, the UK, and Japan. Our...

Persistent link: https://www.econbiz.de/10012468722

Mortality Risk, Insurance, and the Value of Life

Bauer, Daniel - 2018

illness can significantly increase the value of statistical life, helping to reconcile theory with empirical findings that …

Persistent link: https://www.econbiz.de/10012480708

Household Ownership of Variable Annuities

Brown, Jeffrey - 2006

Variable annuities have been one of the most rapidly growing financial products of the last two decades. Between 1996 and 2004, nominal sales of variable annuities in the U.S. more than doubled, from $51 billion to $130 billion. Variable annuities now account for approximately nearly two thirds...

Persistent link: https://www.econbiz.de/10012466707

New Evidence on the Money's Worth of Individual Annuities

Mitchell, Olivia S. - 1997

against the risk of someone outliving his saving, given uncertainty about longevity. For reasonable estimates of behavioral …

Persistent link: https://www.econbiz.de/10012472816

Framing Lifetime Income

Brown, Jeffrey R. - 2013

We provide evidence that individuals optimize imperfectly when making annuity decisions, and this result is not driven by loss aversion. Life annuities are more attractive when presented in a consumption frame than in an investment frame. Highlighting the purchase price in the consumption frame...

Persistent link: https://www.econbiz.de/10012459598

Nonparametric Risk Management and Implied Risk Aversion

Ait-Sahalia, Yacine - 2000

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

Persistent link: https://www.econbiz.de/10012471198

Residual Risk Revisited

Lehmann, Bruce N. - 1986

these rejections are in part a consequence of the presence of omitted risk factors which are associated with nonzero risk … model should partially reflect exposure to these omitted sources of systematic risk and,hence, should help explain expected … residual risk effect in the previous literature:(1) nonlinearity of the residual risk effect and (2) the inadequacy of the …

Persistent link: https://www.econbiz.de/10012477167

Implications of Stochastic Transmission Rates for Managing Pandemic Risks

Hong, Harrison - 2020

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an …

Persistent link: https://www.econbiz.de/10012481801

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