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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

A roughly smooth optimal consumption path: smoothing the rough annuity puzzle

Salgado, Regis Baratti Lima 22 August 2012 (has links)
Submitted by Regis Baratti Lima Salgado (regiss@fgvmail.br) on 2012-10-09T13:30:32Z No. of bitstreams: 1 TeseRegisBarattiLSalgado_VFim.pdf: 861409 bytes, checksum: 48cbf91a3e1e3ed3d3c91940bfde85ac (MD5) / Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2012-10-22T19:15:00Z (GMT) No. of bitstreams: 1 TeseRegisBarattiLSalgado_VFim.pdf: 861409 bytes, checksum: 48cbf91a3e1e3ed3d3c91940bfde85ac (MD5) / Made available in DSpace on 2012-10-23T18:23:36Z (GMT). No. of bitstreams: 1 TeseRegisBarattiLSalgado_VFim.pdf: 861409 bytes, checksum: 48cbf91a3e1e3ed3d3c91940bfde85ac (MD5) Previous issue date: 2012-08-22 / This thesis extend the theoretical dominance of annuities over non-contingent discount notes; under standard assumptions, we show that full annuitization is optimal even in incomplete annuity markets. Through numerical simulations, we scrutinize factors a ecting annuitization decision, consolidating and extending previous research by taking into account unfair prices, bequest motives, and out-of-pocket medical expenses. We also take into consideration the insurer's risk of default, and relax an implicit assumption in most past models and detach annuitization from retirement, i.e.: we do not presume that consumers are already retired from work when they decide whether or not to annuitize. In line with previous literature, our results originate very high levels of annuitization. Yet, we show that the demand for annuities drops sharply, if preferences are such that the implied optimal consumption path decays with age. We also show that optimal annuitization timing is closely related to the endowments pattern. / A inconsistência entre a teoria e o comportamento empírico dos agentes no que tange ao mercado privado de pensões tem se mostrado um dos mais resistentes puzzles presentes na literatura econômica. Em modelos de otimização intertemporal de consumo e poupança sob incerteza em relação ao tempo de vida dos agentes, anuidades são ativos dominantes, anulando ou restringindo fortemente a demanda por ativos cujos retornos não estão relacionados à probabilidade de sobrevivência. Na prática, entretanto, consumidores são extremamente céticos em relação às anuidades. Em oposição ao seguro contra longevidade oferecido pelas anuidades, direitos sobre esses ativos - essencialmente ilíquidos - cessam no caso de morte do titular. Nesse sentido, choques não seguráveis de liquidez e a presença de bequest motives foram consideravelmente explorados como possíveis determinantes da baixa demanda verificada. Apesar dos esforços, o puzzle persiste. Este trabalho amplia a dominância teórica das anuidades sobre ativos não contingentes em mercados incompletos; total na ausência de bequest motives, e parcial, quando os agentes se preocupam com possíveis herdeiros. Em linha com a literatura, simulações numéricas atestam que uma parcela considerável do portfolio ótimo dos agentes seria constituída de anuidades mesmo diante de choques de liquidez, bequest motives, e preços não atuarialmente justos. Em relação a um aspecto relativamente negligenciado pela academia, mostramos que o tempo ótimo de conversão de poupança em anuidades está diretamente relacionado à curva salarial dos agentes. Finalmente, indicamos que, caso as preferências dos agentes sejam tais que o nível de consumo ótimo decaia com a idade, a demanda por anuidades torna-se bastante sensível ao sobrepreço (em relação àquele atuarialmente justo) praticado pela indústria, chegando a níveis bem mais compatíveis com a realidade empírica.
2

退休後之理財規劃 / Financial planning in the post-retirement period

許依萍, Hsu, Yi Ping Unknown Date (has links)
近年來,由於醫學技術進步使世界各國人民帄均壽命延長,加上通貨膨脹的影響,使得老年人在退休時是否擁有充足的財富來因應生活支出成為退休規劃中的重要議題。而由於年金兩難(Annuity Puzzle)的問題,個人積蓄在退休時點就立即用於購買年金保險是否為一個好的退休規劃仍有待考慮。故本文中提出遞延購買年金策略,退休人可考慮進行自我資產配置一段期間後再年金化,並進一步分析資產配置期間長度改變或消費水準改變時的影響。 本文為退休者建立兩種效用函數,第一種為未來單一時點之效用、第二種為多期折現之加總效用,並分別探討由各效用求出的退休後最適資產配置。本文並參考Lee, Yung-Tsung (2009)推導出兩效用函數之理論值,以取代模擬值,並利用格子點分析縮小求解的範圍。 第一種效用關注於每一給定的未來時點上,我們可用於推估最佳年金化時點及其資產配置。由類似mean-variance的形式組成此效用函數,並考慮隨年紀增長而提高風險趨避程度。令最適投資之效用與一完全購買年金者之帳戶價值於各個時點上相比,便可決定何時為最佳年金化時點。我們並分析不同風險態度的退休者的結果,越風險趨避者越適宜較早年金化。 第二種效用則先決定資產配置計畫的長度,所求得之最適投資將考慮到計畫過程中的要求,而非只有最後一點的目標。我們將分析資產配置計畫過程中、不同計畫長度下,以及不同消費水準時最適投資比例的變化。 兩種效用函數下皆有採用Regular Rebalance及Multiple Period Rebalance的投資策略。Multiple Period Rebalance並未明顯帶來更好的效用,因此選擇以Regular Rebalance進行各項參數敏感度的格子點分析。 / When people retire, purchasing the annuity insurances using their retirement fund is one way against the longevity risk. However, it has some shortcoming; the annual payment may be insufficient for daily life consumption, can’t be adjusted for any urgent need (liquidity risk), and moreover, if the policyholders unfortunately pass away early, they couldn’t leave the rest policy account value as bequest. Under these considerations, many people won’t purchase the annuity insurances right away at retirement; they can do their consumption choices and do asset allocation at the mean time like as ―self-annuitization‖(the ―investment/consumption plan‖, 2006, Gerrard, Haberman and Vigna), and then convert their portfolios into annuity pension on an adequate moment post-retirement to solve the longevity problem. This paper constructs two kinds of retiree’s utility functions according a time-series of safety level. The first one focuses on one future timing, and we use it to investigate the adequate annuitization timing. The more risk taker a retiree is, the later he annuitizes. The second one summarizes the utilities each timing during a period after retirement, and we use it to analysis the sensitivities for the optimal asset allocation. Both of the two analyses are discussed under two investment strategies, regular rebalance and multiple-period rebalance.

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