时间：2019年4月17日（周三）下午3:00—4:30

地点：经济与管理学院五楼会议室

主讲人：曾燕教授（中山大学岭南学院）

主题： Optimal Post-Retirement Planning for Couples with Dependent Mortality

摘要

    This paper develops a computationally tractable multi-period consumption and portfolio choice model for retired couples with dependent mortality rates. This new model enables us to unveil the significant role of mortality correlation in shaping a household’s optimal post-retirement saving, investing and spending. Compared to independent couples, dependent couples optimally purchase less joint annuities but more single annuities and have higher total annuity holdings. The higher annuity holdings make dependent couples favor risky assets more than bonds. They also enable dependent couples to enjoy higher joint-life consumption. If dependent couples ignore the mortality dependence, the total demand for annuities will be substantially lower than the optimal level, leading to a lower overall utility. Using the optimal level suggested by our model as a benchmark, we show that the prevalence of ignorance and indifference about mortality dependency observed in reality is one important factor that explains the annuity puzzle. Our comparison also uncovers the value-added mechanism of joint annuities: joint annuities improve welfare by smoothing the trajectory of consumption per household member. (Coauthor with Baiyi Wu and Yijia Lin)

报告人简介

曾燕, 男，中山大学岭南学院教授、博士生导师。其主要从事金融工程、风险管理、保险精算、数字普惠金融与金融经济学等领域的研究，曾在美国麻省理工学院（MIT）、加拿大滑铁卢大学、新加坡国立大学、香港大学访问，是国家社科基金重大项目首席专家、广东省青年珠江学者、广东省杰青、霍英东教育基金项目获得者、广东省高校“千百十工程”培养对象、系统科学与系统工程科学技术青年科技奖获得者、中国决策科学青年科技奖获得者；主持了国家自科面上项目等10余项课题；在本领域著名期刊《Journal of Economic Dynamics and Control》、《Insurance: Mathematics and Economics》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科学学报》等上发表学术论文60余篇，其中SCI/SSCI收录30余篇；研究成果获得广东省哲学社科优秀成果一等奖（省级）、第七届高等学校科学研究优秀成果三等奖（部级）、中国人保部社会保障论坛征文三等奖（部级）等；学术兼职包括中国运筹学会金融工程与金融风险管理分会副秘书长、Quantitative Finance and Economics编委等。