整合资产收益策略与年金化最优退休决策:异质性风险偏好与规避视角

Integrate Asset Allocation and Optimal Annuitization of Retirement:Perspective of Heterogeneity Risk Aversion

随着我国老龄化加剧,退休支付策略中阶段提取计划备受老年人青睐。为深入研究阶段提取计划的价值,本文在含有资本市场随机性和寿命不确定性的效用函数中研究不同退休支付计划,基于不同风险规避程度评价这些退休支付计划,在此基础上,整合资产收益和年金化退休决策。研究显示,与选择退休时全部年金化作比较,整合策略能提高中低风险规避退休者25%~50%的福利。如果考虑个人在退休后最优时点转向购买固定年金引起的福利改变,这提供给退休者年轻时从股票溢价受益的机会,也可使退休者开发死亡率信用。研究表明,对于适中的风险规避者而言,最优转换年龄介于75—80岁之间。

This paper studied different retirement payment schemes in utility function,which included randomness of capital market and life uncertainty,and evaluated these schemes based on different risk-avoiding levels.The result shows that integrated strategies can enhance retirees' wellbeing by 25%-50%for low/moderate levels of risk aversion when compared to full annuitization at retirement.Finally,we examined how welfare changes if the consumer is permitted to switch to a fixed annuity at an optimal point after retirement.This affords the retiree the chance to benefit from the equity premium when younger,and exploit the mortality credit in later life.For moderately risk-averse retirees,the optimal switching age lies between 75 and 80.