Longevity risk, retirement savings, and financial innovation

• 成果类型: Article
• 署名作者: Cocco, Joao F.; Gomes, Francisco J.
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.10.002
• 发表日期: 2012
• 页码: 507-529
• 关键词: Life cycle savings; mortality risk; pension plans

摘要

Over the last couple of decades unprecedented increases in life expectancy have raised important concerns for retirement savings. We solve a life-cycle model with longevity risk, which can be hedged through endogenous saving and retirement decisions. We investigate the benefits of financial assets designed to hedge the shocks to survival probabilities. When longevity risk is calibrated to match forward-looking projections, those benefits are substantial. This lends support to the idea that such hedging should be pursued by defined benefit pension plans on behalf of their beneficiaries. Finally, we draw implications for optimal security design. (C) 2011 Elsevier B.V. All rights reserved.