Optimal annuitization, uncertain survival probabilities, and maxmin preferences

Thibault, Emmanuel; D'Albis, Hippolyte

Thibault, Emmanuel; D'Albis, Hippolyte (2012), Optimal annuitization, uncertain survival probabilities, and maxmin preferences, Economics Letters, 115, p. 296–299. http://dx.doi.org/10.1016/j.econlet.2011.12.045

Type

Article accepté pour publication ou publié

Date

2012

Journal name

Economics Letters

Number

115

Publisher

Elsevier

Pages

296–299

Abstract (EN)

We consider a life-cycle model with bequest motives, and assume that the individual does not know his/hersurvival probability and has maxmin utility preferences; we show that it is optimal not to annuitize but to purchase pure life insurance policies instead.

Subjects / Keywords

Demand for annuities; Uncertain survival probabilities; Uncertainty aversion; Maxmin

JEL

G22 - Insurance; Insurance Companies; Actuarial Studies
G11 - Portfolio Choice; Investment Decisions
D81 - Criteria for Decision-Making under Risk and Uncertainty
D11 - Consumer Economics: Theory