Would you prefer your retirement income to depend on your life expectancy?

• 成果类型: Article
• 署名作者: Bommier, Antoine; Schernberg, Helene
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105126
• 发表日期: 2021
• 关键词: pensions; Longevity risk; risk aversion; recursive preferences

摘要

We study the demand for retirement income of agents who gradually learn about their life expectancy. For a given expected budget, temporally risk-averse agents prefer that pension levels respond to incoming information about life expectancy rather than being fixed ex-ante. Indeed, this offers a hedging strategy that couples shorter lives with higher consumption levels, and longer lives with lower consumption levels. A calibrated life-cycle model provides an order of magnitude of the effects at play. (C) 2020 Elsevier Inc. All rights reserved.