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The modern tontine
Weinert, Jan-Hendrik; Gründl, Helmut - In: European Actuarial Journal 11 (2020) 1, pp. 49-86
tontines can be a complement to or a substitute for traditional annuities. We find that it is only optimal to invest in … tontines for a certain range of initial wealth. In addition, we investigate in how far the tontine size, the volatility of … individual liquidity needs and expected mortality rates contribute to the demand for tontines. …
Persistent link: https://www.econbiz.de/10014503934
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The fair surrender value of a tontine
Weinert, Jan-Hendrik - 2017
A tontine provides a mortality driven, age-increasing payout structure through the pooling of mortality. Because a tontine does not entail any guarantees, the payout structure of a tontine is determined by the pooling of individual characteristics of tontinists. Therefore, the surrender decision...
Persistent link: https://www.econbiz.de/10011698089
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The impact of individual investment behavior for retirement welfare: evidence from the United States and Germany
Post, Thomas; Gründl, Helmut; Schmit, Joan; Zimmer, Anja - 2008
Much of the industrialized world is undergoing a significant demographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...
Persistent link: https://www.econbiz.de/10010263734
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Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality
Post, Thomas - 2009
and calculate the welfare gains of deferred annuities under stochastic Lee- Carter mortality. Our results are relevant … annuities, which is of relevance to insurance pricing. …
Persistent link: https://www.econbiz.de/10010263765
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Funded and Unfunded Pension Schemes: Risk, Return and Welfare
Miles, David K. - 2000
This paper uses stochastic simulations on calibrated models to assess the optimal degree of reliance on fun ded pensions and on a particular type of unfunded (PAYG) pension. Surprisingly little is known about the optimal split between funded and unfunded systems when there are sources of...
Persistent link: https://www.econbiz.de/10010314953
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Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities
Horneff, Wolfram J.; Maurer, Raimond H.; Stamos, Michael Z. - 2007
how much he consumes and how much he invests in stocks, bonds, and annuities. Pricing the annuities we account for … asymmetric mortality beliefs and administration expenses. We show that the retiree does not purchase annuities only once but … annuities only once and has to perform a (complete or partial) switching strategy. This restriction reduces both the utility and …
Persistent link: https://www.econbiz.de/10010316095
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Tax incentives, bequest motives, and the demand for life insurance: Evidence from two natural experiments in Germany
Sauter, Nicolas; Walliser, Jan; Winter, Joachim - 2010
Whole life insurance plays an important role in household saving. However, empirical evidence on its determinants is scarce. This paper studies two natural experiments to identify the effects of tax incentives and bequest motives on life-insurance demand. An unanticipated tax reform in 2000...
Persistent link: https://www.econbiz.de/10010270489
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Interest rate risk, longevity risk and the solvency of life insurers
Berdin, Elia - 2016
In this paper I assess the effect of interest rate risk and longevity risk on the solvency position of a life insurer selling policies with minimum guaranteed rate of return, profit participation and annuitization option at maturity. The life insurer is assumed to be based in Germany and...
Persistent link: https://www.econbiz.de/10011539415
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Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation
Niedrig, Tobias - 2015
I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment strategies of life insurance companies. Especially for life insurance...
Persistent link: https://www.econbiz.de/10010507671
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Optimal retirement asset decumulation strategies: The impact of housing wealth
Sun, Wei; Triest, Robert K.; Webb, Anthony - 2007
We estimate the relationship between the returns on housing, stocks, and bonds, and simulate a variety of decumulation strategies incorporating reverse mortgages. We show that homeowner's reversionary interest, the amount that can be borrowed through a reverse mortgage, is a surprisingly risky...
Persistent link: https://www.econbiz.de/10010282790