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

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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