Reference

Hippolyte D'Albis, and Emmanuel Thibault, “Optimal annuitization, uncertain survival probabilities, and maxmin preferences”, Economics Letters, Elsevier, vol. 115, n. 2, May 2012, pp. 296–299.

Abstract

We consider a life-cycle model with bequest motives, and assume that the individual does not know his/her survival probability and has maxmin utility preferences;weshow that it is optimal not to annuitize but to purchase pure life insurance policies instead.

Keywords

Demand for annuities; Uncertain survival probabilities; Uncertainty aversion; Maxmin;

JEL codes

  • D11: Consumer Economics: Theory
  • D81: Criteria for Decision-Making under Risk and Uncertainty
  • G11: Portfolio Choice • Investment Decisions
  • G22: Insurance • Insurance Companies • Actuarial Studies

Research partnership

Longevity Risk, Long Term Care (Social) Insurance