Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans: Financial Services Review

01.04.2005

Alterssicherung, Empirische Kapitalmarktforschung

Vol. 14, Nr. 3, 2005, S. 169-196 (2005)

Autoren

Duš, Dr. Ivica Raimond Maurer Olivia S. Mitchell

Abstract

Retirees must draw down their accumulated assets in an orderly fashion, so as not to exhaust their funds too soon. We compared alternative phased withdrawal strategies to a life annuity benchmark using German data; one particular phased withdrawal rule seems attractive, as it offers relatively low expected shortfall risk, good expected payouts for the retiree during his life, and some bequest potential. Results are similar for the U.S. case. Delayed annuitization may also appeal, as it offers higher expected benefits with lower expected shortfalls.

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