Erschienen in:Netspar Discussion Paper ; No. 03/2011-061
Umfang:
1 Online-Ressource (76 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1888305
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2011 erstellt
Beschreibung:
Over the last couple of decades there have been unprecedented increases in life expectancy which have raised important concerns for retirement savings. We solve a life-cyclemodel with longevity risk, which can be hedged through endogenous saving and retirement decisions. We investigate the benefits of financial assets designed to hedge the shocks to survival probabilities. When longevity risk is calibrated to match forward-looking projections those benefits are substantial. This lends support to the idea that such hedging should be pursued by defined-benefit pension plans on behalf of their beneficiaries. Finally, we draw implications for optimal security design