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首页> 外文会议>2009 China international conference in finance >Default Risk of Life Annuity and the Annuity Puzzle
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Default Risk of Life Annuity and the Annuity Puzzle

机译：人寿年金的违约风险和年金之谜

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摘要

In this paper, we consider an optimal consumption and investment problem for a partially annuitized individual in the presence of the default risk of insurance company. We verified the relationships between individual's optimal consumption and investment behaviors and the default risk of insurance company. Numerical results tell us that the existence of the default risk can give a significant effect on the optimal behaviors of such individual. Furthermore, using the numerical results we found that the individual who invests large portion of her wealth in annuities has a strong demand for selling or refunding her annuities when facing the default risk of insurance company, therefore we suggest an opinion for the annuity puzzle that individual's recognition of the default risk of insurance company may interrupt the growth of annuity markets.
机译：在本文中，我们考虑了存在保险公司违约风险的部分年金个人的最优消费和投资问题。我们验证了个人的最佳消费和投资行为与保险公司违约风险之间的关系。数值结果告诉我们，违约风险的存在会对此类个人的最佳行为产生重大影响。此外，根据数值结果，我们发现，将大部分财富投入年金的人在面对保险公司的违约风险时，强烈要求出售或退还年金，因此我们建议对年金之谜提出意见承认保险公司的违约风险可能会中断年金市场的增长。

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