What's Wrong with Annuity Markets?

• 成果类型: Article
• 署名作者: Verani, Stephane; Yu, Pei Cheng
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of New South Wales Sydney
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvae007
• 发表日期: 2024
• 页码: 1981-2024
• 关键词: insurance markets; adverse selection; optimal maturity; life-insurance; debt; RISK; POLICY; cost

摘要

We show that the supply of U.S. life annuities is constrained by interest rate risk. We identify this effect using annuity prices offered by life insurers from 1989 to 2019 and exogenous variations in contract-level regulatory capital requirements. The cost of interest rate risk management- conditional on the effect of adverse selection-accounts for about half of annuity markups, or 8 percentage points. The contribution of interest rate risk to annuity markups sharply increased after the Global Financial Crisis, suggesting new retirees' opportunities to transfer their longevity risk are unlikely to improve in a persistently low interest rate environment.