Longevity-contingent deferred life annuities

Longevity and Annuities: an Introduction

For decades the debate on pensions has focused on the “accumulation phase” of the life-cycle. Many specific research topics have been explored as this literature has developed. However, they were all in one way or another concerned by the adequacy of saving. In other words, the main focus of the existing literature has been on the question of setting enough resources aside to keep the flow of c...

Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin

We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption via the annuit...

Entropy, Longevity and the Cost of Annuities

O ct 2 00 7 Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin ∗

We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be the set of increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption...

A stochastic programming model for funding single premium deferred annuities

Single Premium Deferred Annuities (SPDAs) are investment vehicles, o ered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of insurance policies. However, the propensity of individuals to shift part, or all, of their investment into di erent annuities creates substantial uncertainties for the insurance company. In this paper we...