Optimal Demands for Life Insurance and Annuities

A special issue of Risks (ISSN 2227-9091).

Deadline for manuscript submissions: closed (31 March 2018) | Viewed by 4580

Special Issue Editor


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Guest Editor
Department of Transportation, Logistics, and Finance College of Business, North Dakota State University, Fargo, ND 58108, USA
Interests: risk management and insurance; mathematical optimization; business cycle prediction; tail risk analysis; moment problems; portfolio management
Special Issues, Collections and Topics in MDPI journals

Special Issue Information

Dear Colleagues,

The problem of increasing life expectancy and ageing population has attracted attentions from both academics and practitioners in developed, as well as emerging, countries for years. While recent literature has provided extensive discussions that advocate more accurate mortality prediction models, more efficient pension fund management strategies, and more effective product designs and innovations, it typically ignores or at least fails to highlight the importance of the traditional products such as life insurance policies and annuities in reconciling the problem of outliving retirement incomes. A proper use of these traditional products based on good estimations of their optimal demands could greatly reduce the longevity and aging population risks. This Special Issue is aimed to promote studies of optimal demands for life insurance and annuities of an individual, a household, an institution, a subpopulation, or a country as a whole. Through this Special Issue, we would like to highlight empirical results and methods, as well as numerical algorithms related to determining the optimal life insurance and annuities demands. Analyses may consider longevity risk, natural hedging strategies, unfavorable investment environment due to low interest rates and volatile financial markets, new insurance regulations, as well as cultural barriers.

We welcome research papers or reviews, related but not limited to, the following topics:

  • Microeconomic or macroeconomic modeling
  • Econometric analysis
  • Single-period or multi-period optimization
  • Dynamic programming
  • Stochastic risk modeling
  • Risk sharing and risk hedging mechanisms
  • Impact of regulations and cultural barriers on life insurance and annuities demands
  • Financial investment strategies

All manuscripts will be refereed through the standard peer-review process of the journal.

Dr. Ruilin Tian
Guest Editor

Manuscript Submission Information

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Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1800 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • life insurance
  • annuities
  • longevity risk and mortality risk
  • natural hedging
  • optimization
  • dynamic programming
  • bellman equation or Hamilton–Jacobi–Bellman equation
  • actuarial and financial risks
  • risk sharing mechanisms
  • microeconomic or macroeconomic modeling

Published Papers (1 paper)

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Research

10 pages, 1809 KiB  
Article
Life Insurance and Annuity Demand under Hyperbolic Discounting
by Siqi Tang, Sachi Purcal and Jinhui Zhang
Risks 2018, 6(2), 43; https://doi.org/10.3390/risks6020043 - 23 Apr 2018
Cited by 7 | Viewed by 4303
Abstract
In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent preferences are in contrast [...] Read more.
In this paper, we analyse and construct a lifetime utility maximisation model with hyperbolic discounting. Within the model, a number of assumptions are made: complete markets, actuarially fair life insurance/annuity is available, and investors have time-dependent preferences. Time dependent preferences are in contrast to the usual case of constant preferences (exponential discounting). We find: (1) investors (realistically) demand more life insurance after retirement (in contrast to the standard model, which showed strong demand for life annuities), and annuities are rarely purchased; (2) optimal consumption paths exhibit a humped shape (which is usually only found in incomplete markets under the assumptions of the standard model). Full article
(This article belongs to the Special Issue Optimal Demands for Life Insurance and Annuities)
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