In this paper we investigate a special type of annuity where the annuity is issued to a policyholder who is in reasonable health at the outset; however, if the policyholder subsequently becomes disabled then the annuity payments are increased to a higher level depending on the level of disability. We analyse different types of disability-linked annuities, both single life and last survivor, in ...

We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be the set of increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption...

We study the effects of an annuity market imperfection on individual agents’ life-cycle decisions and on the macroeconomic growth rate in an overlapping generations model with single-sector endogenous growth. Our model features both age-dependent mortality and labour productivity. We model imperfect annuities by introducing a load factor on the annuity rate faced by finitely lived agents. Our m...

We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process to be increasing adapted processes, we find that the individual will not buy a deferred life annuity unless she can cover all her consumption via the annuit...

Annuities can be effective tools in managing longevity risk in retirement planning. This paper develops a framework that merges annuity purchase decisions with consumption-investment selections. After introducing a pricing model and a benefit payment model for an annuity, we construct a multi-period wealth evolution model. An optimization problem is formulated with an objective of maximizing li...

How does the value of life affect annuity demand? To address this question, we construct a portfolio choice problem with three key features: (i) agents have access to life-contingent assets, (ii) they always prefer living dying, (iii) nonexpected utility preferences. We show that as from being alive increases, demand decreases (increases) if are more (less) averse risk rather than intertemporal...

VALUATION AND HEDGING OF THE RUIN-CONTINGENT LIFE ANNUITY This paper analyzes a type of mortality contingent-claim called a ruin-contingent life annuity (RCLA). This product is essentially a stand-alone version of the option embedded inside of a variable annuity, but without the buyer having to hand-over investment assets to the insurance company. The annuitant’s (i.e. long position) payoff fro...

Social Security benefits are the most important component of the income of a large fraction of older Americans. A significant fraction of persons approach the end of life with few financial assets and no home equity, relying almost entirely on Social Security benefits for support. Whether persons reach late-life with positive non-annuity wealth depends importantly on health, which is quite pers...

-This study presents an evaluation model for purchasing life insurance and annuity insurance using analytical hierarchy process (AHP) and fuzzy logic. Four factors are considered as the inputs of the proposed model including age, annual income, educational level and risk preference. To build the model, we interviewed five experts with at least three years of working experience in an insurance c...