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【金融系學術講座】 講座題目:Optimal Post-Retirement Planning for Couples with Dependent Mortality
日期: 2019-03-16

講座摘要

This paper develops a computationally tractable multi-period consumption and portfolio choice model for retired couples with dependent mortality rates. This new model enables us to unveil the significant role of mortality correlation in shaping a household’s optimal post-retirement saving, investing and spending. Compared to independent couples, dependent couples optimally purchase less joint annuities but more single annuities and have higher total annuity holdings. The higher annuity holdings make dependent couples favor risky assets more than bonds. They also enable dependent couples to enjoy higher joint-life consumption. If dependent couples ignore the mortality dependence, the total demand for annuities will be substantially lower than the optimal level, leading to a lower overall utility. Using the optimal level suggested by our model as a benchmark, we show that the prevalence of ignorance and indifference about mortality dependency observed in reality is one important factor that explains the annuity puzzle. Our comparison also uncovers the value-added mechanism of joint annuities: joint annuities improve welfare by smoothing the trajectory of consumption per household member. (Coauthor with Baiyi Wu and Yijia Lin)

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嘉賓簡介

曾燕, 男,中山大學嶺南學院教授、博士生導師。其主要從事金融工程、風險管理、保險精算、數字普惠金融與金融經濟學等領域的研究,曾在美國麻省理工學院(MIT)、加拿大滑鐵盧大學、新加坡國立大學、香港大學訪問,是國家社科基金重大項目首席專家、廣東省青年珠江學者、廣東省杰青、霍英東教育基金項目獲得者、廣東省高校千百十工程培養對象、系統科學與系統工程科學技術青年科技獎獲得者、中國決策科學青年科技獎獲得者;主持了國家自科面上項目等10余項課題;在本領域著名期刊《Journal of Economic Dynamics and Control》、《Insurance: Mathematics and Economics》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科學學報》等上發表學術論文60余篇,其中SCI/SSCI收錄30;研究成果獲得廣東省哲學社科優秀成果一等獎(省級)、第七屆高等學??茖W研究優秀成果三等獎(部級)、中國人保部社會保障論壇征文三等獎(部級)等;學術兼職包括中國運籌學會金融工程與金融風險管理分會副秘書長、Quantitative Finance and Economics編委等。


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