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      고연령거치연금의 장수리스크 보장 가치에 대한 분석 -기대효용함수를 중심으로 = Evaluating the Insurance Value of an Advanced Life Deferred Annuity Using Expected Utility Function

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      https://www.riss.kr/link?id=A82492575

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      다국어 초록 (Multilingual Abstract)

      This article examines the insurance value of an advanced life deferred annuity (ALDA) which is commonly discussed in the U.S. recently. We use a framework of expected utility function, calculating annuity equivalent wealth (AEW) and consider how much longevity insurance an immediate annuity and an ALDA could provide. We design a hypothetical ALDA, an annuity purchased at the age of 55, 60, and 65 respectively and its payments commence in 10, 15, and 20 years later. Calculating AEW, at the risk-free rate and using population cohort mortality tables, we show that the AEW of ALDA is over 1.0 for all case studies. The ALDA would provide substantial longevity insurance ie, 30∼70% of immediate annuity at a relatively low cost such as 10∼50% of initial wealth on purchasing the immediate annuity. These results implicate that ALDA could be used as payout options of private retirement pension plan and portfolio of retirement financial planning.
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      This article examines the insurance value of an advanced life deferred annuity (ALDA) which is commonly discussed in the U.S. recently. We use a framework of expected utility function, calculating annuity equivalent wealth (AEW) and consider how much ...

      This article examines the insurance value of an advanced life deferred annuity (ALDA) which is commonly discussed in the U.S. recently. We use a framework of expected utility function, calculating annuity equivalent wealth (AEW) and consider how much longevity insurance an immediate annuity and an ALDA could provide. We design a hypothetical ALDA, an annuity purchased at the age of 55, 60, and 65 respectively and its payments commence in 10, 15, and 20 years later. Calculating AEW, at the risk-free rate and using population cohort mortality tables, we show that the AEW of ALDA is over 1.0 for all case studies. The ALDA would provide substantial longevity insurance ie, 30∼70% of immediate annuity at a relatively low cost such as 10∼50% of initial wealth on purchasing the immediate annuity. These results implicate that ALDA could be used as payout options of private retirement pension plan and portfolio of retirement financial planning.

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      참고문헌 (Reference)

      1 이경희, "퇴직연금의 급여 지급 방식 다양화 방안" 보험연구원 2009

      2 여윤경, "기대효용함수를 활용한 종신연금의 가치 분석 - 은퇴시점의 AEW(Annuity Equivalent Wealth)를 중심으로 -" 보험연구원 20 (20): 3-32, 2009

      3 양재환, "기대효용함수를 활용한 국민연금의 소득재분배 효과 분석" 한국보험학회 (86) : 259-295, 2010

      4 Drinkwater, Matthew, "“Perception of Mortality Risks: Implications for Annuities”, in Pension Design and Structure: New Lessons From Behavioral Finance" Oxford University Press 2004

      5 Milevsky, Moshe A., "“Longevity Insurance Revisited,” The Calculus of Retirement Income" Cambridge University Press 2006

      6 Whitman, Debra, "Topics in Aging: Income and Poverty Among Older Americans in 2005" Congressional Research Service 2006

      7 Scott, Jason S., "The longevity annuity: An annuity for everyone?" 64 (64): 40-48, 2008

      8 Mo, Xi, "The United States Longevity Insurance Market" Center for Retirement Research at Boston College 2009

      9 Brown, Jeffrey R., "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program. in: Risk Aspects of Investment-Based Social Security Reform" 2001

      10 Böorsch-Supan, Axel H., "Reforming the German Public Pension System"

      1 이경희, "퇴직연금의 급여 지급 방식 다양화 방안" 보험연구원 2009

      2 여윤경, "기대효용함수를 활용한 종신연금의 가치 분석 - 은퇴시점의 AEW(Annuity Equivalent Wealth)를 중심으로 -" 보험연구원 20 (20): 3-32, 2009

      3 양재환, "기대효용함수를 활용한 국민연금의 소득재분배 효과 분석" 한국보험학회 (86) : 259-295, 2010

      4 Drinkwater, Matthew, "“Perception of Mortality Risks: Implications for Annuities”, in Pension Design and Structure: New Lessons From Behavioral Finance" Oxford University Press 2004

      5 Milevsky, Moshe A., "“Longevity Insurance Revisited,” The Calculus of Retirement Income" Cambridge University Press 2006

      6 Whitman, Debra, "Topics in Aging: Income and Poverty Among Older Americans in 2005" Congressional Research Service 2006

      7 Scott, Jason S., "The longevity annuity: An annuity for everyone?" 64 (64): 40-48, 2008

      8 Mo, Xi, "The United States Longevity Insurance Market" Center for Retirement Research at Boston College 2009

      9 Brown, Jeffrey R., "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program. in: Risk Aspects of Investment-Based Social Security Reform" 2001

      10 Böorsch-Supan, Axel H., "Reforming the German Public Pension System"

      11 Brown, Jeffrey R., "Redistribution and insurance: Mandatory annuitization with mortality heterogeneity" 70 (70): 17-41, 2003

      12 Milevsky, Moshe A., "Real longevity insurance with a deductible: Introduction to advanced-life delayed annuities (ALDA)" 9 (9): 109-122, 2005

      13 Antolin, Pablo, "Policy Options for the Payout Phase" 2008

      14 Mitchell, Olivia, "New evidence on the money's worth of individual annuities" 89 (89): 1299-1318, 1999

      15 Gong, Guan, "Mortality heterogeneity and the distributional consequences of mandatory annuitization" 75 (75): 1055-1079, 2008

      16 "MetLife, MetLife Retirement Income IQ Study: A Survey of Pre-Retiree Knowledge of Financial Retirement Issue"

      17 Chen, Peng, "Merging Asset Allocation and Longevity Insurance: An Optimal Perspective on Payout Annuities" 1-20, 2003

      18 Mottola, Gary G., "Lump Sum or Annuity? An Analysis of Choice in DB Pension Payouts" 30 : 2007

      19 Turner, John A., "Longevity Insurance: Strengthening Social Security at Advanced Ages" Pension Policy Center 2008

      20 Brown, Jeffrey R., "Joint Life Annuities and Annuity Demand by Married Couples" 67 (67): 527-554, 2000

      21 Powell, Robert, "Insuring for a long life"

      22 Greene, Kelly, "How to Bullet Proof Your Nest Egg" 2008

      23 Dushi, Irena, "Household annuitization decisions: Simulations and empirical analyses" 3 (3): 109-143, 2004

      24 "HTTP://WWW.KOSIS.KR/"

      25 "HTTP://WWW.KIDI.OR.KR/"

      26 "HTTP://ECOS.BOK.OR.KR/"

      27 Gong, Guan, "Evaluating the Advanced Life Deferred Annuity-An annuity people might actually buy" 46 : 210-221, 2010

      28 Scott, Jason S., "Efficient Annuitization: Optimal Strategies for Hedging Mortality Risk" 2007

      29 Boardman, T., "Annuitization lessons from the UK: money-back annuities and other developments" 73 : 633-646, 2006

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      연월일 이력구분 이력상세 등재구분
      2027 평가예정 재인증평가 신청대상 (재인증)
      2021-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2018-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2015-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2010-01-05 학술지명변경 외국어명 : KOREAN INSURANCE JOURNAL -> KOREAN JOURNAL OF INSURANCE KCI등재
      2009-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2007-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2004-01-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2003-01-01 평가 등재후보 1차 PASS (등재후보1차) KCI등재후보
      2001-07-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

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      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.89 0.89 1.04
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      1 0.99 1.561 0.52
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