What’s Wrong with Annuity Markets?
研究发现美国终身年金供给受利率风险制约，利用1989-2019年数据，利率风险管理成本约占年金加价的一半（8个百分点），且在低利率环境下退休者转移长寿风险的机会难以改善。
Abstract We show that the supply of U.S. life annuities is constrained by interest rate risk. We identify this effect using annuity prices offered by life insurers from 1989 to 2019 and exogenous variations in contract-level regulatory capital requirements. The cost of interest rate risk management—conditional on the effect of adverse selection—accounts for about half of annuity markups, or 8 percentage points. The contribution of interest rate risk to annuity markups sharply increased after the Global Financial Crisis, suggesting new retirees’ opportunities to transfer their longevity risk are unlikely to improve in a persistently low interest rate environment.