多因素影响下的最优年金化时间决策  

Modeling and Analysis of Optimal Annuitization Decision under Multi-factor Influence

作　　者：李志生[1] 胡凯 

机构地区：[1]中南财经政法大学金融学院 [2]深圳市银监局

出　　处：《经济研究》2011年第S1期116-126,共11页Economic Research Journal

基　　金：国家自然科学基金项目"长寿风险暴露下的最优财富配置策略研究"(70801063);教育部留学回国人员科研启动基金项目"长寿风险;年金化和消费者效用"(教外司留【2008】8号)的阶段性成果

摘　　要：长寿风险是退休计划中易被低估的风险因素,这类风险因人类寿命的不断延长而快速增大。养老年金具有规避长寿风险和提高消费者效用的双重价值,在养老保障中具有重要的作用。本文系统考虑退休计划中消费者的寿命风险和遗赠需求,讨论年金投资中的最优年金化时间决策,通过构建单周期的最优年金化时间选择模型,分析了消费者在整个退休计划中如何进行年金投资这一多期决策问题。本文最后展示了不同参数设置下的计算结果,以说明消费者的遗赠需求强度与风险厌恶特征、年金管理费率、年金收益与风险水平等因素对最优年金化时间的影响。With a continuous increase in life expectancy,longevity risk,which has been increasing quickly in recent years,doesn't get enough attention. Annuities,which can be effective tools in hedging longevity risk and enhancing consumers' utility,should play a central role in retirement planning. By constructing a dominant strategy model with considering the mortality risk and bequest motives of consumers,this paper addresses the decision problem of optimal annuitization time in retirement planning. Although the dominant model is one-period model,it's fit for the analysis of multi-period decisions. Computational results are provided to analyze the effects on decisions of different variables,such as consumers' bequest motives and risk aversion,mortality fee,profile of annuity yield and risk.

关 键 词：长寿风险 年金化时间 遗赠需求 风险厌恶系数 

分 类 号：F224[经济管理—国民经济] F840