A simulation approach is used to investigate how various investment strategies affect the ability of retirees to spend at a desired level up until death. Retirees are assumed to maintain all investment and longevity risk, and also have access to a government-sponsored and means tested Age...

There is a growing retirement crisis and most of the focus has been on the fact that individuals are not saving enough for retirement, may not have access to pension schemes, and find it difficult to choose from a wide range of retirement products. One solution that has been considered is to...

There is growing interest in the design of annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk; for example Piggott, Valdez and Detzel (2005) or Donnelly, Guillen and Nielsen (2014). In this paper we generalize the natural retirement income...

This book provides a summary of research on life annuities, longevity insurance, and their role in the “optimal” retirement portfolio. It starts with an overview of institutional aspects, moves on to discuss valuation issues, and concludes with a comprehensive review of the scholarly literature