主  題:Optimal Post-Retirement Planning for Couples with Dependent Mortality

內容簡介:This paper proposes a multi-period consumption and portfolio choice model for retired couples with dependent mortality rates. The analysis indicates that the correlation in mortality rates of spouses affects optimal retirement decisions. We find that retired couples who consider mortality dependence in their financial planning achieve a higher utility than those who ignore the dependence. In particular, retired couples who take into account mortality correlation optimally adopt a more risky investment strategy and have a smoother utility trajectory. Moreover, the demand for annuities will be substantially lower if they ignore dependence in mortality rates. Using the optimal level suggested by our model as a benchmark, we show that the prevalence of ignorance and indifference about mortality dependency observed in reality is one important factor that explains the annuity puzzle. (Coauthor with Baiyi Wu and Yijia Lin)

報告人:曾燕      教授    博導

時  間:2018-10-12    15:00

地  點:競慧東樓302

舉辦單位:統計與數學學院