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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2011.9
- 수록면
- 173 - 186 (14page)
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In this paper, we evaluate life annuity plans for Korean pre-retired single and married couple participating Korea National Pension (KNP) and find optimal life annuity strategy by using utility-based measurements called AEW (Annuity Equivalent Wealth). Specifically, we extend a previous study to obtain a detailed optimal combination of annuitizing age and wealth in terms of percentage of net wealth at the time of retirement. A nonlinear optimization model is formulated with the objective of maximizing utility on consumption and bequest, and the dynamic programming (DP) technique is used to solve this problem.
We find that there exist consistent patterns in optimal combinations of annuitizing age and wealth. Also, for all cases the optimal combination is significantly better than several other combinations. The results indicate that using the optimal approach can be beneficial to practitioners in insurance industry and prospective purchasers of life annuity. We conclude the paper with some discussions and suggestions.
We find that there exist consistent patterns in optimal combinations of annuitizing age and wealth. Also, for all cases the optimal combination is significantly better than several other combinations. The results indicate that using the optimal approach can be beneficial to practitioners in insurance industry and prospective purchasers of life annuity. We conclude the paper with some discussions and suggestions.
목차
1. 서론
2. 연구 방법
3. 분석 결과
4. 결론 및 제언
참고문헌
참고문헌 (26)
참고문헌 신청
1. [학술지(정기간행물)] - Brown, J. R / 2001 / Private Pensions, Mortality Risk, and the Decision to Annuitize / Journal of Public Economics 82 : 29 ~ 62
2. [학술지(정기간행물)] - Brown, J. R / 2003 / Redistribution and Insurance : Mandatory Annuitization with Mortality Heterogeneity / Journal of Risk and Insurance 70 (1) : 17 ~ 41
3. [학술지(정기간행물)] - Brown, J. R / 2000 / Joint Life Annuities and Annuity Demand by Married Couples / Journal of Risk and Insurance 67 : 527 ~ 556
4. [단행본] - Brown, J. R / 2002 / Estimating Life Tables that Reflect Socioeconomic Differences in Mortality, The Distributional Aspects of Social Security and Social Security Reform / University of Chicago Press : 447 ~ 458
5. [학술지(정기간행물)] - Cocco, J. F / 2005 / Consumption and portfolio choice over the life cycle / The Reviews of Financial Studies 18 : 491 ~ 533
2. [학술지(정기간행물)] - Brown, J. R / 2003 / Redistribution and Insurance : Mandatory Annuitization with Mortality Heterogeneity / Journal of Risk and Insurance 70 (1) : 17 ~ 41
3. [학술지(정기간행물)] - Brown, J. R / 2000 / Joint Life Annuities and Annuity Demand by Married Couples / Journal of Risk and Insurance 67 : 527 ~ 556
4. [단행본] - Brown, J. R / 2002 / Estimating Life Tables that Reflect Socioeconomic Differences in Mortality, The Distributional Aspects of Social Security and Social Security Reform / University of Chicago Press : 447 ~ 458
5. [학술지(정기간행물)] - Cocco, J. F / 2005 / Consumption and portfolio choice over the life cycle / The Reviews of Financial Studies 18 : 491 ~ 533
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UCI(KEPA) : I410-ECN-0101-2013-530-003634757