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The modern tontine : an innovative instrument for longevity risk management in an aging society
Weinert, Jan-Hendrik; Gründl, Helmut - 2016 - This version: July 22, 2016
The changing social, financial and regulatory frameworks, such as an increasingly aging society, the current low interest rate environment, as well as the implementation of Solvency II, lead to the search for new product forms for private pension provision. In order to address the various...
Persistent link: https://www.econbiz.de/10011512972
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Transition to Old Age (Superannuation) in a 3-D, Age Based, Dynamic, Serially Connected and Annually Recalculated Retirement Distribution Model
Frank Sr, Larry R. - 2012
apply to younger age retirees.A structural problem with pensions, annuities, and first generation "safe withdrawal rate" is …
Persistent link: https://www.econbiz.de/10013107097
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Putting the pension back in 401(k) retirement plans : optimal versus default longevity income annuities
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2018
A recent US Treasury regulation allowed deferred longevity income annuities to be included in pension plan menus as a …
Persistent link: https://www.econbiz.de/10011932365
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Optimal retirement asset decumulation strategies : the impact of housing wealth
Sun, Wei (contributor); Triest, Robert K. (contributor);  … - 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/10003713607
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Fixed and variable longevity annuities in defined contribution plans : optimal retirement portfolios taking social security into account
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2023
This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their … annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well …-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to …
Persistent link: https://www.econbiz.de/10013554899
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Fixed and Variable Longevity Annuities in Defined Contribution Plans : Optimal Retirement Portfolios Taking Social Security into Account
Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S. - 2023
This paper investigates retirees’ optimal purchases of fixed and variable longevity income annuities using their … annuities in DC accounts is welfare enhancing for all sex/education groups examined. We also show that providing access to well …-designed variable deferred annuities with some equity exposure further enhances retiree wellbeing, compared to having access only to …
Persistent link: https://www.econbiz.de/10014255003
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Risk, return and portfolio allocation under alternative pension arrangements with imperfect financial markets
Miles, David; Černý, Aleš - 2001
This paper uses stochastic simulations on calibrated models to assess the steady state impact of different pension arrangements in an environment where financial markets are less than perfect. Surprisingly little is known about the optimal split between funded and unfunded systems when there are...
Persistent link: https://www.econbiz.de/10011398101
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …
Persistent link: https://www.econbiz.de/10013363078
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Funded and unfunded pension schemes : risk, return and welfare
Miles, David - 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/10009781509
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Subjective life expectancy and private pensions : conference paper
Bucher-Koenen, Tabea; Kluth, Sebastian - 2013
expectancy, because it directly infuences the expected rate of return. We examine the market for private annuities in Germany and …
Persistent link: https://www.econbiz.de/10010340956