Optimum and Risk‐Class Pricing of Annuities
研究当个人寿命信息早期未知时，如何通过年金定价实现最优福利。对称信息下竞争均衡无法提供跨状态转移，而最优社会保障计划优于竞争均衡，但若偏好依赖风险等级，系统福利排序不确定。
When information on longevity (survival functions) is unknown early in life, individuals have an interest in insuring themselves against moving into different 'risk-classes' as their life expectancy is revealed. The "First-Best" allocation involves transfers across states of nature. With symmetric information, competitive equilibrium separates different risk classes and cannot provide such transfers because insurance firms are unable to "precommit". When utility is invariant to risk-class realisation, the optimum entails uniform consumption and optimum retirement age independent of risk-class and an optimum social security scheme is superior to competitive equilibrium. When preferences depend on risk-class, welfare ranking of systems becomes indeterminate. Copyright 2007 The Author(s). Journal compilation Royal Economic Society 2007.