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경영대학
경영학전공
Journal papers
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Optimal annuity planning and longevity risk: Evidence from Korea
Title
Optimal annuity planning and longevity risk: Evidence from Korea
Authors
Yuh Y.
;
Yang J.
Ewha Authors
여윤경
SCOPUS Author ID
여윤경
Issue Date
2011
Journal Title
Applied Economics
ISSN
0003-6846
Citation
Applied Economics vol. 43, no. 11, pp. 1423 - 1433
Indexed
SSCI; SCOPUS
Document Type
Article
Abstract
This study examines annuity planning using an optimization framework. An optimization problem is formulated with the objective of maximizing the lifetime utility of consumption and bequestable wealth, and benchmark cases for Korean households are applied. We extend the optimization model suggested in Gupta and Li (2007) by incorporating realistic constraints, such as installment premium contracts, deferred annuity payments and the possibility of borrowing. Further, we have considered a variety of longevity cases. The results confirmed that an annuity is an effective tool for managing longevity risk, and annuitization timing is crucial for the maximization of lifetime utility. © 2011 Taylor & Francis.
DOI
10.1080/00036841003670762
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