Dynamic portfolio choice with pension annuities and life insurance:
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| Format: | Thesis Book |
| Language: | English |
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2008
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| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zsfassung in dt. Sprache. - Enth. 4 Sonderabdr. aus verschiedenen Zeitschr. und Publ. |
| Physical Description: | XXX, 165 S. graph. Darst. |
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| 245 | 1 | 0 | |a Dynamic portfolio choice with pension annuities and life insurance |c vorgelegt von Wolfram Johannes Horneff |
| 264 | 1 | |c 2008 | |
| 300 | |a XXX, 165 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Zsfassung in dt. Sprache. - Enth. 4 Sonderabdr. aus verschiedenen Zeitschr. und Publ. | ||
| 502 | |a Frankfurt am Main, Univ., Diss., 2008 | ||
| 650 | 7 | |a Lebensversicherung |2 stw | |
| 650 | 7 | |a Leibrente |2 stw | |
| 650 | 7 | |a Portfolio-Management |2 stw | |
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| _version_ | 1804138039174234112 |
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| adam_text | Contents
Table of Contents VII
List of Figures XI
List of Tables XIII
List of Symbols XV
List of Abbreviations XXIX
1 Zusammenfassung 1
1.1 Thematische Einordnung......................... 1
1.2 Struktur und Inhalt der Arbeit ..................... 5
2 Optimal Gradual Annuitization: Quantifying the Costs of Switch-
ing to Annuities 11
2.1 Introduction................................ 12
2.2 Prior Literature.............................. 14
2.3 The Model................................. 15
2.3.1 Preferences ............................ 15
2.3.2 Gradual Annuitization Strategy................. 16
2.3.3 Partial Switching Strategy.................... 18
2.3.4 Complete Switching Strategy .................. 18
2.3.5 Numerical Solution Method................... 19
2.4 The Impact of Switching Restrictions on Optimal Annuitization and
Asset Allocation.............................. 20
2.4.1 Base Case Results......................... 20
VII
2.4.2 Variation of Risk Aversion and Elasticity of Intertemporal
Substitution............................ 25
2.4.3 Impact of Bequest Motives.................... 27
2.5 Welfare Analysis ............................. 29
2.6 Conclusion................................. 32
3 Following the Rules: Integrating Asset Allocation and Annuitiza-
tion in Retirement Portfolios 37
3.1 Introduction................................ 38
3.2 Prior Studies ............................... 39
3.3 Comparing Alternative Payout Rules.................. 46
3.3.1 The Constant Life Annuity.................... 46
3.3.2 Alternative Phased Withdrawal Plans.............. 47
3.3.3 Expected Benefits and Value at Risk under Alternative Payout
Patterns.............................. 49
3.4 A Utility Approach to Distribution Rules................ 52
3.4.1 Impact of Risk Aversion on the Choice of Distribution Rules . 52
3.4.2 Blending Portfolios of Annuities and Withdrawal Rules . . • • 56
3.4.3 Further Results.......................... 61
3.5 Conclusion and Discussion........................ 6*
3.6 Appendix (A): Model and Parameterization .............. 5
4 Money in Motion: Dynamic Portfolio Choice in Retirement 67
4.1 Introduction................................ 68
4.2 Prior Studies ............................... 69
4.3 Introduction to Variable Annuities ................... 7*
4.3.1 The Mechanics of Variable Payout Annuities.......... ^
4.3.2 The Assumed Interest Rate {AIR) and Payouts........ 72
4.4 Model and Calibration.......................... 75
4.4.1 The Investor s Optimization Problem.............. ^
4.4.2 Numerical Solution and Calibration............... 7
4.5 Optimal Asset Allocation and Location................. 79
4.5.1 Optimal Policies for a Range of Base Cases........... 79
4.5.2 Stochastic Analysis........................ 82
VIII
4.5.3 Impact of the AIR........................ 84
4.6 Utility Gains from Variable Payout Annuities .............86
4.7 Discussion and Conclusions .......................90
5 Asset Allocation and Location over the Life Cycle with Survival
Contingent Payouts 93
5.1 Introduction................................94
5.2 A Dynamic Asset Allocation and Location Model...........97
5.2.1 Preference.............................97
5.2.2 Labor Income...........................98
5.2.3 Capital and Payout Annuity Market Parameters........ 99
5.2.4 Wealth Accumulation.......................100
5.2.5 Numerical Solution of the Optimization Problem .......102
5.2.6 Calibration ............................103
5.3 Asset Location and Allocation......................103
5.3.1 Optimal Asset Location .....................103
5.3.2 Optimal Asset Allocation and the Impact of Human Capital . 106
5.3.3 Expected Asset Allocation and Location............108
5.4 Sensitivity Analysis............................110
5.5 Expected Life Cycle Profiles.......................113
5.6 Welfare Analysis .............................115
5.7 Conclusion.................................117
5.8 Appendix (A): Technical Details.....................119
6 Asset Liability Management for Me Inc.: Life Insurance and An-
nuities over the Life-Cycle 123
6.1 Introduction................................124
6.2 The Model.................................127
6.2.1 Uncertain Lifetime and Preferences...............127
6.2.2 Financial Markets.........................130
6.2.3 Insurance Markets ........................132
6.2.4 Labor Income...........................133
6.3 Spanned Income..............................134
6.3.1 Optimal Policies .........................134
IX
6.3.2 Life Insurance or Pension Annuity................137
6.4 Unspanned Income............................138
6.4.1 Optimal Policies .........................138
6.4.2 Calibration ............................139
6.4.3 Numerical Illustration of Insurance Demand..........141
6.5 Conclusion.................................142
6.6 Appendix (A): Value Function......................143
6.7 Appendix (B): Human Capital......................145
6.8 Appendix (C): Numerical Methods...................147
Bibliography 149
Resume 159
Ehrenwortliche Erklarung 165
X
List of Figures
2.1 Optimal Annuity Fracton ir?(w,l = 0,t),i 6 {GA,PS,CS} for Vary-
ing w and t ................................ 21
2.2 Optimal First Annuity Purchase Times and Expected Evolution of
Annuity Wealth..............................22
2.3 Expected Stock Fraction and Volatility of Consumption Changes over
Age.....................................23
2.4 Expected Annuity Fraction over Age for Various Levels of RRA ... 25
2.5 Expected Annuity Fraction and Wealth Evolution over Age for Vari-
ous Levels of EIS............................. 26
2.6 Optimal Annuity Fracton nf(w,l = 0,t),i € {GA,PS} with Bequest
Motives .................................. 28
2.7 Optimal Expected Portfolio Composition with Bequest Motives ... 28
3.1 Benefit-to-Wealth Patterns for Alternative Distribution Rules .... 49
3.2 Expected Benefit Ratios for Alternative Distribution Rules Condi-
tional on Survival.............................50
3.3 Probable Minimum Benefits under Alternative Distribution Rules
Conditional on Survival..........................52
3.4 Equivalent Annuity Streams for Alternative Distribution Rules .... 55
3.5 Optimal Equity Exposure for Alternative Distribution Rules.....56
3.6 Optimal Immediate Blend of Equity, Bonds and Annuity Given One-
Time Decision at Retirement for the l/E(T) Rule...........58
3.7 Optimal Switch To Annuities By Age Under the 1/E(T) Rule by Risk
Aversion..................................60
XI
4.1 Payment Percentiles for Alternative Asset Allocations in the Annuity
and Varying AIRs.............................75
4.2 Illustrative Optimal Dynamic Asset Location and Allocation given
Stocks, Bonds, and Variable Payout Annuities: Variations by Age
and Cash on Hand............................80
4.3 Illustrative Optimal Stock Fractions in the Combined Annuity and
Financial Wealth Portfolios .......................83
4.4 Dispersion of Annuity, Total Stock, and Consumption Paths: Base
Case....................................85
4.5 Impact of Changing the AIR on (a) the Expected Share of Financial
Wealth, (b) Total Stock Share, and (c) Consumption.........87
5.1 Illustrative Optimal Dynamic Asset Location Outcomes Assuming
No Loads vs. Loads (top-bottom), No Bequest vs. Moderate Bequest
Cases (left-right) .............................105
5.2 Illustrative Optimal Stock Fractions in the Combined Annuity and
Financial Wealth Portfolios .......................107
5.3 Optimal Expected Asset Allocation Over the Life Cycle Assuming
No Loads vs. Loads (top-bottom), No Bequest vs. Moderate Bequest
Cases (left-right) .............................109
5.4 Illustration of Health Shock at Age 65 .................I13
5.5 Optimal Expected Consumption, Labor Income, Saving, and Annuity
Purchases Over the Life Cycle Assuming No Loads vs. Loads (top-
bottom), No Bequest vs. Moderate Bequest Cases (left-right).....114
6.1 Demand for Pension Annuities and Life Insurance...........141
6.2 Illustrative Coefficient Array.......................147
XII
List of Tables
2.1 Utility Costs of Restricted Annuitization Strategies.......... 31
3.1 Retirement Payout Research Overview: Assumptions......... 40
3.2 Retirement Payout Research Overview: Specifications......... 42
3.3 Retirement Payout Research Overview: Specifications (continued) . . 43
3.4 Retirement Payout Research Overview: Specifications (continued) . . 45
3.5 Percentage Increase in Equivalent Annuity Stream for Blended Strate-
gies ..................................... 59
3.6 Difference in Equivalent Nominal Annuity Stream between Real and
Nominal Strategies............................ 61
3.7 Capital Market Parameterization.................... 66
4.1 Required Increase (in percent) in Financial Wealth .......... 88
5.1 Expected Asset Allocation: Fraction in Stocks and Bonds held Inside
and Outside the Annuity......................... Ill
5.2 Expected Equivalent Increase in Financial Wealth Needed to Com-
pensate an Individual Lacking Access to Annuity Products...... 116
6.1 Parameters and Calibration....................... 139
XIII
|
| adam_txt |
Contents
Table of Contents VII
List of Figures XI
List of Tables XIII
List of Symbols XV
List of Abbreviations XXIX
1 Zusammenfassung 1
1.1 Thematische Einordnung. 1
1.2 Struktur und Inhalt der Arbeit . 5
2 Optimal Gradual Annuitization: Quantifying the Costs of Switch-
ing to Annuities 11
2.1 Introduction. 12
2.2 Prior Literature. 14
2.3 The Model. 15
2.3.1 Preferences . 15
2.3.2 Gradual Annuitization Strategy. 16
2.3.3 Partial Switching Strategy. 18
2.3.4 Complete Switching Strategy . 18
2.3.5 Numerical Solution Method. 19
2.4 The Impact of Switching Restrictions on Optimal Annuitization and
Asset Allocation. 20
2.4.1 Base Case Results. 20
VII
2.4.2 Variation of Risk Aversion and Elasticity of Intertemporal
Substitution. 25
2.4.3 Impact of Bequest Motives. 27
2.5 Welfare Analysis . 29
2.6 Conclusion. 32
3 Following the Rules: Integrating Asset Allocation and Annuitiza-
tion in Retirement Portfolios 37
3.1 Introduction. 38
3.2 Prior Studies . 39
3.3 Comparing Alternative Payout Rules. 46
3.3.1 The Constant Life Annuity. 46
3.3.2 Alternative Phased Withdrawal Plans. 47
3.3.3 Expected Benefits and Value at Risk under Alternative Payout
Patterns. 49
3.4 A Utility Approach to Distribution Rules. 52
3.4.1 Impact of Risk Aversion on the Choice of Distribution Rules . 52
3.4.2 Blending Portfolios of Annuities and Withdrawal Rules . . • • 56
3.4.3 Further Results. 61
3.5 Conclusion and Discussion. 6*
3.6 Appendix (A): Model and Parameterization . "5
4 Money in Motion: Dynamic Portfolio Choice in Retirement 67
4.1 Introduction. 68
4.2 Prior Studies . 69
4.3 Introduction to Variable Annuities . 7*
4.3.1 The Mechanics of Variable Payout Annuities. ^
4.3.2 The Assumed Interest Rate {AIR) and Payouts. 72
4.4 Model and Calibration. 75
4.4.1 The Investor's Optimization Problem. ^
4.4.2 Numerical Solution and Calibration. 7"
4.5 Optimal Asset Allocation and Location. 79
4.5.1 Optimal Policies for a Range of Base Cases. 79
4.5.2 Stochastic Analysis. 82
VIII
4.5.3 Impact of the AIR. 84
4.6 Utility Gains from Variable Payout Annuities .86
4.7 Discussion and Conclusions .90
5 Asset Allocation and Location over the Life Cycle with Survival
Contingent Payouts 93
5.1 Introduction.94
5.2 A Dynamic Asset Allocation and Location Model.97
5.2.1 Preference.97
5.2.2 Labor Income.98
5.2.3 Capital and Payout Annuity Market Parameters. 99
5.2.4 Wealth Accumulation.100
5.2.5 Numerical Solution of the Optimization Problem .102
5.2.6 Calibration .103
5.3 Asset Location and Allocation.103
5.3.1 Optimal Asset Location .103
5.3.2 Optimal Asset Allocation and the Impact of Human Capital . 106
5.3.3 Expected Asset Allocation and Location.108
5.4 Sensitivity Analysis.110
5.5 Expected Life Cycle Profiles.113
5.6 Welfare Analysis .115
5.7 Conclusion.117
5.8 Appendix (A): Technical Details.119
6 Asset Liability Management for Me Inc.: Life Insurance and An-
nuities over the Life-Cycle 123
6.1 Introduction.124
6.2 The Model.127
6.2.1 Uncertain Lifetime and Preferences.127
6.2.2 Financial Markets.130
6.2.3 Insurance Markets .132
6.2.4 Labor Income.133
6.3 Spanned Income.134
6.3.1 Optimal Policies .134
IX
6.3.2 Life Insurance or Pension Annuity.137
6.4 Unspanned Income.138
6.4.1 Optimal Policies .138
6.4.2 Calibration .139
6.4.3 Numerical Illustration of Insurance Demand.141
6.5 Conclusion.142
6.6 Appendix (A): Value Function.143
6.7 Appendix (B): Human Capital.145
6.8 Appendix (C): Numerical Methods.147
Bibliography 149
Resume 159
Ehrenwortliche Erklarung 165
X
List of Figures
2.1 Optimal Annuity Fracton ir?(w,l = 0,t),i 6 {GA,PS,CS} for Vary-
ing w and t . 21
2.2 Optimal First Annuity Purchase Times and Expected Evolution of
Annuity Wealth.22
2.3 Expected Stock Fraction and Volatility of Consumption Changes over
Age.23
2.4 Expected Annuity Fraction over Age for Various Levels of RRA . 25
2.5 Expected Annuity Fraction and Wealth Evolution over Age for Vari-
ous Levels of EIS. 26
2.6 Optimal Annuity Fracton nf(w,l = 0,t),i € {GA,PS} with Bequest
Motives . 28
2.7 Optimal Expected Portfolio Composition with Bequest Motives . 28
3.1 Benefit-to-Wealth Patterns for Alternative Distribution Rules . 49
3.2 Expected Benefit Ratios for Alternative Distribution Rules Condi-
tional on Survival.50
3.3 Probable Minimum Benefits under Alternative Distribution Rules
Conditional on Survival.52
3.4 Equivalent Annuity Streams for Alternative Distribution Rules . 55
3.5 Optimal Equity Exposure for Alternative Distribution Rules.56
3.6 Optimal Immediate Blend of Equity, Bonds and Annuity Given One-
Time Decision at Retirement for the l/E(T) Rule.58
3.7 Optimal Switch To Annuities By Age Under the 1/E(T) Rule by Risk
Aversion.60
XI
4.1 Payment Percentiles for Alternative Asset Allocations in the Annuity
and Varying AIRs.75
4.2 Illustrative Optimal Dynamic Asset Location and Allocation given
Stocks, Bonds, and Variable Payout Annuities: Variations by Age
and Cash on Hand.80
4.3 Illustrative Optimal Stock Fractions in the Combined Annuity and
Financial Wealth Portfolios .83
4.4 Dispersion of Annuity, Total Stock, and Consumption Paths: Base
Case.85
4.5 Impact of Changing the AIR on (a) the Expected Share of Financial
Wealth, (b) Total Stock Share, and (c) Consumption.87
5.1 Illustrative Optimal Dynamic Asset Location Outcomes Assuming
No Loads vs. Loads (top-bottom), No Bequest vs. Moderate Bequest
Cases (left-right) .105
5.2 Illustrative Optimal Stock Fractions in the Combined Annuity and
Financial Wealth Portfolios .107
5.3 Optimal Expected Asset Allocation Over the Life Cycle Assuming
No Loads vs. Loads (top-bottom), No Bequest vs. Moderate Bequest
Cases (left-right) .109
5.4 Illustration of Health Shock at Age 65 .I13
5.5 Optimal Expected Consumption, Labor Income, Saving, and Annuity
Purchases Over the Life Cycle Assuming No Loads vs. Loads (top-
bottom), No Bequest vs. Moderate Bequest Cases (left-right).114
6.1 Demand for Pension Annuities and Life Insurance.141
6.2 Illustrative Coefficient Array.147
XII
List of Tables
2.1 Utility Costs of Restricted Annuitization Strategies. 31
3.1 Retirement Payout Research Overview: Assumptions. 40
3.2 Retirement Payout Research Overview: Specifications. 42
3.3 Retirement Payout Research Overview: Specifications (continued) . . 43
3.4 Retirement Payout Research Overview: Specifications (continued) . . 45
3.5 Percentage Increase in Equivalent Annuity Stream for Blended Strate-
gies . 59
3.6 Difference in Equivalent Nominal Annuity Stream between Real and
Nominal Strategies. 61
3.7 Capital Market Parameterization. 66
4.1 Required Increase (in percent) in Financial Wealth . 88
5.1 Expected Asset Allocation: Fraction in Stocks and Bonds held Inside
and Outside the Annuity. Ill
5.2 Expected Equivalent Increase in Financial Wealth Needed to Com-
pensate an Individual Lacking Access to Annuity Products. 116
6.1 Parameters and Calibration. 139
XIII |
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| author | Horneff, Wolfram J. |
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| author_facet | Horneff, Wolfram J. |
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| author_sort | Horneff, Wolfram J. |
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| dewey-full | 368.3 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 368 - Insurance |
| dewey-raw | 368.3 |
| dewey-search | 368.3 |
| dewey-sort | 3368.3 |
| dewey-tens | 360 - Social problems and services; associations |
| discipline | Soziologie Wirtschaftswissenschaften |
| discipline_str_mv | Soziologie Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV035085039 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:08:37Z |
| indexdate | 2024-07-09T21:21:51Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016753232 |
| oclc_num | 320541182 |
| open_access_boolean | |
| owner | DE-703 DE-384 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-703 DE-384 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-188 |
| physical | XXX, 165 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| record_format | marc |
| spelling | Horneff, Wolfram J. Verfasser (DE-588)132332809 aut Dynamic portfolio choice with pension annuities and life insurance vorgelegt von Wolfram Johannes Horneff 2008 XXX, 165 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zsfassung in dt. Sprache. - Enth. 4 Sonderabdr. aus verschiedenen Zeitschr. und Publ. Frankfurt am Main, Univ., Diss., 2008 Lebensversicherung stw Leibrente stw Portfolio-Management stw Private Rentenversicherung stw Theorie stw Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Lebensversicherung (DE-588)4034928-7 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Altersversorgung (DE-588)4001479-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Portfoliomanagement (DE-588)4115601-8 s Altersversorgung (DE-588)4001479-4 s Lebensversicherung (DE-588)4034928-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753232&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Horneff, Wolfram J. Dynamic portfolio choice with pension annuities and life insurance Lebensversicherung stw Leibrente stw Portfolio-Management stw Private Rentenversicherung stw Theorie stw Portfoliomanagement (DE-588)4115601-8 gnd Lebensversicherung (DE-588)4034928-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Altersversorgung (DE-588)4001479-4 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4034928-7 (DE-588)4046834-3 (DE-588)4001479-4 (DE-588)4113937-9 |
| title | Dynamic portfolio choice with pension annuities and life insurance |
| title_auth | Dynamic portfolio choice with pension annuities and life insurance |
| title_exact_search | Dynamic portfolio choice with pension annuities and life insurance |
| title_exact_search_txtP | Dynamic portfolio choice with pension annuities and life insurance |
| title_full | Dynamic portfolio choice with pension annuities and life insurance vorgelegt von Wolfram Johannes Horneff |
| title_fullStr | Dynamic portfolio choice with pension annuities and life insurance vorgelegt von Wolfram Johannes Horneff |
| title_full_unstemmed | Dynamic portfolio choice with pension annuities and life insurance vorgelegt von Wolfram Johannes Horneff |
| title_short | Dynamic portfolio choice with pension annuities and life insurance |
| title_sort | dynamic portfolio choice with pension annuities and life insurance |
| topic | Lebensversicherung stw Leibrente stw Portfolio-Management stw Private Rentenversicherung stw Theorie stw Portfoliomanagement (DE-588)4115601-8 gnd Lebensversicherung (DE-588)4034928-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Altersversorgung (DE-588)4001479-4 gnd |
| topic_facet | Lebensversicherung Leibrente Portfolio-Management Private Rentenversicherung Theorie Portfoliomanagement Portfolio Selection Altersversorgung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016753232&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT horneffwolframj dynamicportfoliochoicewithpensionannuitiesandlifeinsurance |