Buch, Englisch, 184 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 443 g
ISBN: 978-0-691-13305-8
Verlag: Princeton University Press
Annuities are financial products that guarantee the holder a fixed return so long as the holder remains alive, thereby providing insurance against lifetime uncertainty. The terms of these contracts depend on the information available to insurance firms. Unlike age and gender, information about individual survival probabilities cannot be readily ascertained. This asymmetric information causes market inefficiencies, such as adverse selection. Groundbreaking in its scope, The Economic Theory of Annuities offers readers a theoretical analysis of the functioning of private annuity markets. Starting with a general analysis of survival functions, stochastic dominance, and characterization of changes in longevity, Eytan Sheshinski derives the demand for annuities using a model of individuals who jointly choose their lifetime consumption and retirement age. The relation between life insurance and annuities that have a bequest option is examined and "annuity options" are proposed as a response to the lack of secondary markets. This book also investigates the macroeconomic policy implications of annuities and changes in longevity on aggregate savings. Sheshinski utilizes statistical population theory to shed light on the debate of whether the surge in savings and growth in Asia and other countries can be attributed to higher longevity of the population and whether this surge is durable. This book shows how understanding annuities becomes essential as governments that grapple with insolvency of public social security systems place greater emphasis on individual savings accounts.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe
- Wirtschaftswissenschaften Volkswirtschaftslehre Öffentliche Finanzwirtschaft, Besteuerung
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Versicherungswirtschaft
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Mikroökonomie
Weitere Infos & Material
Preface xiii Chapter 1: Introduction 1
1.1 Brief Outline of the Book 5
1.2 Short History of Annuity Markets 9
1.3 References to Actuarial Finance 11
Chapter 2: Benchmark Calculations: Savings and Retirement 12
Chapter 3: Survival Functions, Stochastic Dominance, and Changes in Longevity 15
3.1 Survival Functions 15
3.2 Changes in Longevity 18
Chapter 4: Life Cycle Model with Longevity Risk: First Best and Competitive Equilibrium 21
4.1 First Best 21
4.2 Competitive Equilibrium: Full Annuitization 23
4.3 Example: Exponential Survival Function 25
4.4 Equivalence of Short-term, Long-term, and Deferred Annuities 26
Appendix 27
Chapter 5: Comparative Statics, Discounting, Partial Annuitization, and No Annuities 29
5.1 Increase in Wages 29
5.2 Increase in Longevity 30
5.3 Positive Time Preference and Rate of Interest 32
5.4 Partial Annuitization: No Short-term Annuity Market 33
5.5 Partial Annuitization: Low Returns on Annuities 35
5.6 Length of Life and Retirement 35
5.7 Optimum Without Annuities 38
5.8 No Annuities: Risk Pooling by Couples 40
5.9 Welfare Value of an Annuity Market 41
5.10 Example: Exponential Survival Function 42
Appendix 44
Chapter 6: Subjective Beliefs and Survival Probabilities 45
6.1 Deviations of Subjective from Observed Frequencies 45
6.2 Behavioral Effects 45
6.3 Exponential Example 47
6.4 Present and Future Selves 48
Chapter 7: Moral Hazard 51
7.1 Introduction 51
7.2 Comparison of First Best and Competitive Equilibrium 51
7.3 Annuity Prices Depending on Medical Care 54
Appendix 55
Chapter 8: Uncertain Future Survival Functions 56
8.1 First Best 56
8.2 Competitive Separating Equilibrium (Risk-class Pricing) 59
8.3 Equilibrium with Short-term Annuities 60
8.4 The Efficiency of Equilibrium with Long-term Annuities 62
8.5 Example: Exponential Survival Functions 65
Chapter 9: Pooling Equilibrium and Adverse Selection 67
9.1 Introduction 67
9.2 General Model 69
9.3 Example 71
Appendix 75
Chapter 10: Income Uncertainty 77
10.1 First Best 77
10.2 Competitive Equilibrium 78
10.3 Moral Hazard 79
Chapter 11: Life Insurance and Differentiated Annuities 81
11.1 Bequests and Annuities 81
11.2 First Best 83
11.3 Separating Equilibrium 84
11.4 Pooling Equilibrium 84
11.5 Period-certain Annuities and Life Insurance 87
11.6 Mixed Pooling Equilibrium 90
11.7 Summary 93
Appendix 94
Chapter 12: Annuities, Longevity, and Aggregate Savings 97
12.1 Changes in Longevity and Aggregate Savings 97
12.2 Longevity and Individual Savings 98
12.3 Longevity and Aggregate Savings 98
12.4 Example: Exponential Survival Function 102
12.5 No Annuities 103
12.6 Unintended Bequests 104
Appendix 106
Chapter 13: Utilitarian Pricing of Annuities 109
13.1 First-best Allocation 109
13.2 Competitive Annuity Market with Full Information 112
13.3 Second-best Optimum Pricing of Annuities 113
Appendix 116
Chapter 14: Optimum Taxation in Pooling Equilibria 118
14.1 Introduction 118
14.2 Equilibrium with Asymmetric Information 119
14.3 Optimum Commodity Taxation 122
14.4 Optimum Taxation of Annuities 125
Appendix 129
Chapter 15: Bundling of Annuities and Other Insurance Products 131
15.1 Introduction 131
15.2 Example 132
Chapter 16: Financial Innovation--Refundable Annuities (Annuity Options) 135
16.1 The Timing of Annuity Purchases 135
16.2 Sequential Annuity Market Equilibrium Under Survival Uncertainty 137
16.3 Uncertain Future Incomes: Existence of a Separating Equilibrium 140
16.4 Refundable Annuities 144
16.5 A Portfolio of Refundable Annuities 146
16.6 Equivalence of Refundable Annuities and Annuity Options 147
Appendix 150
References 153
Index 157
