ERN: Life Cycle Models (Topic)最新文献_第2页

Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle 长寿风险与退休所得税效率:一个区位支出率之谜

ERN: Life Cycle Models (Topic) Pub Date : 2016-04-20 DOI: 10.2139/ssrn.1961698

Huang Huaxiong, M. Milevsky

{"title":"Longevity Risk and Retirement Income Tax Efficiency: A Location Spending Rate Puzzle","authors":"Huang Huaxiong, M. Milevsky","doi":"10.2139/ssrn.1961698","DOIUrl":"https://doi.org/10.2139/ssrn.1961698","url":null,"abstract":"In this paper we model and solve a retirement consumption problem with differentially taxed accounts, parameterized by longevity risk aversion. The work is motivated by some observations on how Canadians de-accumulate financial wealth during retirement — which seem rather puzzling. While the Modigliani lifecycle model can justify a variety of (pre-tax) de-accumulation or draw down rates depending on risk preferences, the existence of asymmetric taxes implies that certain financial accounts should be depleted faster than others. Our analysis of data from the Survey of Financial Security indicates that Canadian retirees maintain approximately two-thirds of their financial wealth in tax-sheltered accounts and a third in taxable accounts regardless of age. The ratio of taxable to tax-sheltered wealth increases slightly or remains relatively constant depending on household income which is not what one would expect from the lifecycle model. Indeed, using our model we cannot locate a plausible tax function that justifies a constant “account ratio” regardless of age. For example under flat rates taxable accounts should be depleted well before tax-sheltered accounts are ever touched. The account ratio should go to zero quite rapidly in the absence of government mandated withdrawals. We also demonstrate that under progressive income taxes withdrawals are made from both accounts but at different rates depending on account size, pension income and longevity risk preferences. Again, the “account ratio” should eventually decline. We postulate that this sort of behavior is likely due to irrational considerations linked to mental accounting, etc. It remains to be seen whether this will persist over time and under a more careful analysis of Canadian cohorts or if retirees in other countries exhibit the same behavior.","PeriodicalId":151802,"journal":{"name":"ERN: Life Cycle Models (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131335865","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11

Public Policies over the Life Cycle: A Large Scale OLG Model for France, Italy and Sweden 生命周期中的公共政策:法国、意大利和瑞典的大规模OLG模型

ERN: Life Cycle Models (Topic) Pub Date : 2015-12-14 DOI: 10.2139/ssrn.2707193

A. Bucciol, L. Cavalli, Igor Fedotenkov, P. Pertile, Veronica Polin, N. Sartor, Alessandro Sommacal

引用次数: 3

Life-Cycle Asset Allocation and Unemployment Risk 生命周期资产配置与失业风险

ERN: Life Cycle Models (Topic) Pub Date : 2015-10-01 DOI: 10.2139/ssrn.2744761

F. Bagliano, C. Fugazza, G. Nicodano

引用次数: 1

Portfolio Strategies in Decumulation Phase: Does Lifecycling Fail? 递减阶段的投资组合策略:生命周期失效了吗?

ERN: Life Cycle Models (Topic) Pub Date : 2015-05-25 DOI: 10.2139/ssrn.2480293

Osei K. Wiafe, A. Basu, E. Chen

引用次数: 1

How Much Should Life-Cycle Investors Adapt their Behavior when Confronted with Model Uncertainty? 面对模型的不确定性，生命周期投资者应该在多大程度上调整自己的行为?

ERN: Life Cycle Models (Topic) Pub Date : 2014-08-04 DOI: 10.2139/ssrn.2475803

Sally Shen

引用次数: 0

A Family of Mortality Jump Models Applied to U.S. Data 应用于美国数据的一系列死亡率跳跃模型

ERN: Life Cycle Models (Topic) Pub Date : 2013-09-10 DOI: 10.2139/ssrn.1911688

Hua Chen

引用次数: 4

What Drives Risky Investments Lower Around Retirement? 退休前后风险投资走低的原因?

ERN: Life Cycle Models (Topic) Pub Date : 2013-06-01 DOI: 10.2139/ssrn.2308751

R. Khanapure

引用次数: 1

Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693 21世纪的最佳退休时间:参照1693年的死亡率衍生品

ERN: Life Cycle Models (Topic) Pub Date : 2013-05-28 DOI: 10.2139/ssrn.2271259

M. Milevsky, T. Salisbury

{"title":"Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693","authors":"M. Milevsky, T. Salisbury","doi":"10.2139/ssrn.2271259","DOIUrl":"https://doi.org/10.2139/ssrn.2271259","url":null,"abstract":"Historical tontines promised enormous rewards to the last survivors at the expense of those who died early. While this design appealed to the gambling instinct, it is a suboptimal way to manage longevity risk during retirement. This is why fair life annuities making constant payments -- where the insurance company is exposed to the longevity risk -- induces greater lifetime utility. However, tontines do not have to be designed using a winner-take-all approach and insurance companies do not actually sell fair life annuities, partially due to aggregate longevity risk. In this paper we derive the tontine structure that maximizes lifetime utility, but doesn't expose the sponsor to any longevity risk. We examine its sensitivity to the size of the tontine pool; individual longevity risk aversion; and subjective health status. The optimal tontine varies with the individual's longevity risk aversion $gamma$ and the number of participants $n$, which is problematic for product design. That said, we introduce a structure called a natural tontine whose payout declines in exact proportion to the (expected) survival probabilities, which is near-optimal for all $gamma$ and $n$. We compare the utility of optimal tontines to the utility of loaded life annuities under reasonable demographic and economic conditions and find that the life annuity's advantage over tontines, is minimal. We also review and analyze the first-ever mortality-derivative issued by the British government, known as King Williams's tontine of 1693. We shed light on the preferences and beliefs of those who invested in the tontines vs. the annuities and argue that tontines should be re-introduced and allowed to co-exist with life annuities. Individuals would likely select a portfolio of tontines and annuities that suit their personal preferences for consumption and longevity risk, as they did over 320 years ago.","PeriodicalId":151802,"journal":{"name":"ERN: Life Cycle Models (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122349912","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Quasi-Hyperbolic Discounting and the Existence of Time-Inconsistent Retirement 拟双曲折现与时间不一致退休的存在性

ERN: Life Cycle Models (Topic) Pub Date : 2013-05-09 DOI: 10.4236/TEL.2013.32019

T. Findley, J. Feigenbaum

引用次数: 7

Life-Cycle Investing: Financial Education and Consumer Protection 生命周期投资:金融教育与消费者保护

ERN: Life Cycle Models (Topic) Pub Date : 2012-12-21 DOI: 10.2470/rf.v2012.n3.full

Z. Bodie, Laurence B. Siegel, Lisa Stanton

引用次数: 1