The Optimal Allocation of Longevity Risk with Perfect Insurance Markets

A. Bommier, Hélène Schernberg
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引用次数: 1

Abstract

This paper discusses the allocation of aggregate longevity risk in the case of perfect insurance markets. We show that the optimal allocation transfers some risk to the pensioners, even if pension providers have access to a perfect insurance market. Individuals prefer contributions and benefits to depend on the evolution of aggregate mortality rates rather than being fixed. Indeed, this flexibility offers an interesting diversification strategy where the prospect of a shorter life (e.g. the emergence of new diseases) implies higher consumption levels and conversely, the prospect of a longer life (e.g. thanks to medical progress) implies lower consumption levels. The underlying mechanism only emerges when individuals are temporally risk averse. We illustrate it with risk-sensitive preferences.
完善保险市场下的长寿风险优化配置
本文讨论了在完全保险市场条件下的总寿命风险配置问题。我们证明,即使养老金提供者可以进入一个完美的保险市场,最优配置也会将一些风险转移给养老金领取者。个人更希望捐款和福利取决于总死亡率的演变,而不是固定不变。事实上,这种灵活性提供了一种有趣的多样化战略,即寿命较短的前景(例如新疾病的出现)意味着更高的消费水平,相反,寿命较长的前景(例如由于医学进步)意味着消费水平较低。只有当个人暂时厌恶风险时,潜在的机制才会出现。我们用风险敏感偏好来说明它。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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