Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities

被引：4
|
作者：
Wu, Shang [1 ,2 ]
Bateman, Hazel [3 ]
Stevens, Ralph [4 ,5 ]
机构：
[1] Aware Super, Sydney, NSW, Australia
[2] Univ New South Wales, ARC Ctr Excellence Populat Ageing Res, CEPAR, Sydney, NSW, Australia
[3] Univ New South Wales, Sch Risk & Actuarial Studies, CEPAR, Sydney, NSW, Australia
[4] Univ New South Wales, CEPAR, Sydney, NSW, Australia
[5] Netspar, Tilburg, North Brabant, Netherlands
来源：
NORTH AMERICAN ACTUARIAL JOURNAL | 2023年 / 27卷 / 02期
基金：
澳大利亚研究理事会;
关键词：
LONG-TERM-CARE; CYCLE ASSET ALLOCATION; SYSTEMATIC TREND; INSURANCE; MORTALITY; EXPENDITURE; UTILITY; DEMAND; RISK; TIME;
D O I：
10.1080/10920277.2022.2073453
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study optimal retirement portfolio choice and welfare when individuals can choose between stocks, bonds, and either a life-contingent (life) annuity or a health-contingent (life care) annuity. We develop a life-cycle model of annuitization, consumption, and investment decisions for a single retired individual who faces stochastic capital market returns, uncertain health status, differential mortality risks, and uncertain out-of-pocket health care expenditure, including at end of life. Using the calibrated model, we find that life care annuities are more attractive than life annuities and would enhance annuity demand by 12 percentage points. Life care annuities allow individuals to reduce precautionary savings and consume more throughout retirement, with individuals willing to pay a loading of up to 21% for access to the product.
引用
收藏
页码：278 / 302
页数：25
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