文章基本信息

标题：Explaining Why Retirees Do Not Choose Annuities in Korea: A Probability of Consumption Shortfall Approach
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作者：Dong-Hwa Lee ; Jun-Hee An ; Joo-Ho Sung 等
期刊名称：Journal of Finance and Economics
印刷版ISSN：2328-7284
电子版ISSN：2328-7276
出版年度：2018
卷号：6
期号：4
页码：125-133
DOI：10.12691/jfe-6-4-2
出版社：Science and Education Publishing
摘要：Many assume that for retirees, purchasing an annuity is a better option than self-annuitization in the decumulation period. In Korea, retirees have shown a strong preference for properties (real estate), and a decision to annuitize has been extremely rare. Using a genetic algorithm, we show that self-annuitization can be recommended as an optimal choice for retirees in Korea if they consider properties as one of the investment options. We set three scenarios that a worker can choose at retirement: self-annuitization, purchasing a whole life annuity, and mixed strategy. We then calculate an optimal asset allocation for each scenario capable of minimizing probability of consumption shortfall (PCS). An important observation is achieved: the optimal asset allocation for minimizing PCS vary by the income quintiles, and PCS rises significantly as the preference for purchasing a whole-life annuity increases. In case of a large reduction in consumption after retirement, however, annuitization may be a better option for retirees in the lowest income quintile.
关键词：annuity puzzle; self-annuitization; annuitization; probability of consumption shortfall; optimal asset allocation