Embargoed until 2022-10-28
- Journal Article
We study the demand for retirement income of agents who gradually learn about their life expectancy. For a given expected budget, temporally risk-averse agents prefer that pension levels respond to incoming information about life ex- pectancy rather than being fixed ex-ante. Indeed, this offers a hedging strategy that couples shorter lives with higher consumption levels, and longer lives with lower consumption levels. A calibrated life-cycle model provides an order of mag- nitude of the effects at play. Show more
Journal / seriesJournal of Economic Theory
Pages / Article No.
Subjectpensions; longevity risk; risk aversion; recursive preferences
Organisational unit03877 - Bommier, Antoine / Bommier, Antoine
02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.
MoreShow all metadata