整合消费、投资与退休决策的最优年金购买规划研究

Optimal Annuity Program with Integrating Consumption,Investment and Retirement Decision

随着人口老龄化日益加剧,为应对老年贫困,年金成为退休规划中应对长寿风险的有效工具。通过整合消费、投资与年金购买决定,构建一个多期财富演进模型,基于效用最大化原则,作出最优年金化决策。研究表明,在不存在风险资产时,最优年金化决策受个人寿命、财富与劳动收入状况影响。寿命越长,劳动收入越高,年金化年龄越晚,而财富水平越高,年金化年龄越早。在存在风险资产时,最优年金化年龄会延迟,效用会提高。此外,对待风险的态度也影响年金化决策,不仅显著影响最优年金购买年龄,而且影响当前投资和消费之间的分配比例。

With aging increase,annuities are effective tools in managing longevity risk.this paper develops a framework that merges consumption,investment selections with annuity purchase decisionsin retirement decision.construct a multiperiod wealth evolution model.An optimization problem is formulated with an objective of maximizing lifetime utility of consumption and wealth.When without including risky asset,Optimal decisions are affected by life span,wealth and income status.The optimal age of annuitization increase as the life span and income increase,which decrease as wealth increase.When including risky asset,the optimal age of annuitization is delayed and utility is increased.Furthermore,the attitude to risk affect annuitization,not only affect optimal age of annuitization,but also affect allocation between investment and consumption.