退休计划中养老年金购买决策的建模与分析

Modeling and Analyzing Annuity Purchase Decisions in Retirement Planning

随着人类寿命的不断延长,社会个体面临越来越大的长寿风险,养老年金是规避长寿风险的有效工具。本文讨论个体退休计划中有关养老年金购买的重要决策问题,构建了一个能规避长寿风险的多期消费与投资决策模型框架,该框架把最优年金购买决策和传统的消费与投资选择问题有机地结合起来,以求达到规避长寿风险并获得消费和遗产的最大效用的双重目的。本文最后展示了特定参数设置下的计算结果以说明特定的社会个体应该如何构建能规避长寿风险的消费和投资策略,并分析了寿命的不确定性等因素对个体年金计划的影响。

With an increase in life expectancy, individuals are exposed to greater longevity risk. Annuity can be effective tools in managing longevity risk. This paper discusses some important annuity purchase decision problems in retirement planning. We construct a multi-period consumption and investment decision framework, which can provide longevity risk protection. The integrated optimization framework merges annuity purchase decisions with traditional consumption-investment selections, so as to help individuals achieve maximum utility from consumption and bequest, as well as to protect longevity risk in retirement. Computational results are provided to demonstrate the construction of consumption and investment selections with longevity protection, as well as to analyze the effect of uncertain lifetime on annuity planning.