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http://hdl.handle.net/10419/64009
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| Title: | | Aggregate mortality risk and the insurance value of annuities  |
| Authors: | | Alho, Juha Määttänen, Niku |
| Issue Date: | | 2006 |
| Series/Report no.: | | ETLA Discussion Papers, The Research Institute of the Finnish Economy (ETLA) 1005 |
| Abstract: | | Future improvements in mortality are difficult to forecast. In this paper, we incorporate uncertainty about future mortality, or aggregate mortality risk, into an otherwise standard life cycle model with an intertemporal consumption-savings decision. The aggregate mortality process is calibrated based on European mortality series. We use the model to quantify the welfare cost of aggregate mortality risk and the extent to which individuals can insure themselves against it using life annuities with a constant payout stream. |
| Subjects: | | annuities, aggregate mortality risk |
| JEL: | | G22 D14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | ETLA Discussion Papers, Research Institute of the Finnish Economy
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