摘要
通过引入Epstein-Zin效用函数探讨风险规避对年金市场的影响,分析后认为,普遍使用的期望效用函数不能区分消费者的跨期消费波动规避和风险规避;通过引入Epstein-Zin递归效用函数,分离出消费者对风险的规避,证明在寿命唯一不确定条件下,无遗产动机的消费者,其年金化效用与相对风险规避系数反向变动,风险规避行为特别是短寿风险规避对年金市场有抑制作用。
The paper explores the relation between relative risk aversion and annuity market based on Epstein-Zin utility function. With Epstein-Zin utility function it is shown that risk aversion can be disentangled from intenemporal substitution. The paper finds the utility of annuitization is a negative function of relative risk aversion and risk aversion, especially ephemerality-risk aversion, does hinder annuity market.
出处
《科技与管理》
2006年第1期40-41,44,共3页
Science-Technology and Management
