Rethinking the annuity puzzle: The role of loss aversion and money-back guarantees
研究了损失厌恶如何解释人们既购买终身年金又购买本金返还型年金的矛盾行为，对理解年金市场中的消费者决策有参考价值。
Consumption and saving models typically suggest accumulation in life-only annuities that is at odds with actual investments. Milevsky and Salisbury (2022) add another dimension to this annuity puzzle by documenting a shift from life-only annuities to those offering money-back guarantees to the heirs of the annuitant. We provide further evidence for a balanced coexistence of both annuity types, however, standard utility frameworks that rely solely on consumption and bequest utility fail to reproduce this relationship. To overcome the dominance of life-only annuities, we incorporate loss aversion into individual preferences. Specifically, we assume aversion to dying before the total payouts exceed the premiums paid, creating a natural obstacle to life-only annuities. Using realistically calibrated life cycle models with access to liquid savings and both life-only and refundable annuities, we show that loss aversion can flexibly control the demand for annuities, thereby enabling a balanced relationship between the annuity types. While our findings shed further light on behavioral drivers behind the annuity puzzle, our utility framework does not simultaneously establish the empirical relationship across annuity types as well as the overall demand for annuities.