主题：Optimal consumption and annuity equivalent wealth with mortality model uncertainty

时间：2023年12月22日16:00

腾讯会议：583760868

主讲人：沈洋副教授

摘要：The classical Yaari (1965) lifecycle model (LCM) lies at the very heart of much modern retirement research, particularly that related to the economic understanding of annuity demand.  The LCM predicts a high annuity demand among individuals facing retirement, yet it is rarely the case in reality.  Such a disconnection between economic theory and practice, widely known as the annuity puzzle, has spurred intensified research attempting to demystify the economic and psychological underpinnings.

In this paper, we attempt to examine the cause of low annuity demand through the angle of mortality model uncertainty.  To this end, we advance Yaari's LCM via incorporating with a mortality perturbation analysis.  We obtain the optimal robust consumption rule and the annuity equivalent wealth. We find that investors may understate the incremental utility gained by annuitization if mortality model uncertainty is disregarded.

报告人简介：

沈洋，新南威尔士大学（UNSW）风险与精算系副教授。当前主要研究兴趣包括最优退休规划、长寿和健康风险建模定价及管理、动态合约理论及其在保险中的应用，已在精算、金融数学、随机控制、运筹学等相关领域发表60余篇论文，谷歌学术引用量1600次。沈洋博士的研究获得澳大利亚和加拿大政府研究基金，以及北美寿险和产险精算师协会，澳大利亚某养老基金等行业资金资助，累计资助金额120+万澳元。