annuity puzzle 要写硕士论文思路如何 金融数学专业的

求助annuity puzzle  贴老师给的参考 求给思路According to Brown, while researchers and policymakers have placed enormous attention on the accumulation phase of retirement accounts,such as how individuals save and invest, they are becoming increasingly aware that asset accumulation is only part of the retirement security equation. The other part is how individuals convert their accumulated savings into a retirement consumption stream, particularly when most of us do not know how long we will live. Indeed, uncertainty about length-of-life is one of the most significant sources of financial risk facing today’s retirees.

Dramatic advances in life expectancy over the last century mean that today’s typical 65-year old man and woman can expect to live to age 81 and 85 respectively. Perhaps even more striking is the fact that almost a fifth of 65-year-old men and nearly one-third of 65-year-old women will live to age 90 or beyond. Without appropriate financial planning during retirement, increased longevity means that individuals face a greater risk of being forced to substantially reduce their living standards at advanced ages. Life annuities are financial instruments that allow an individual to exchange a stock of wealth for a stream of income that continues for life.

So why is the Annuity Market So Small? Given the remarkable disconnect between theory and practice, it is natural to ask why more individual do not purchase life annuities.


要写硕士论文，求思路如何想
金融数学专业的需要模型和收集数据为主的

现在解释annuity puzzle的主要解释有
1. Bequest Motive
2. Unexpected income shock, such as health cost
3. Irreversibility
4. Incompleteness of market
5. Lack of financial literacy
基本上单一解释都无法完全解释annuity puzzle。组合这些解释都不是很有解释力。也有说自己解释了的。最近最有名的一篇是11年的rfs。“How deep is the annuity market participation puzzle?” 主流的模型是life-cycle model。如果要做自己做calibration需要数据，否则没数据也可以。
刚刚看到这一篇也是最近顶刊的关于这个话题的文章。对于annuity puzzle的解释的总结更详细。
“Accounting for non-annuitization”


希望对你有帮助。

那请问life cycle model使用什么软件进行模拟的或者运算的。。。以前没有接触过这块的，导师说我们专业论文要以数据和模型为主  所以我这个该主要分析那个原因？  谢谢

long range dependence

fantuanxiaot 发表于 2014-8-1 07:26
long range dependence

什么意思？？

soar1120 发表于 2014-7-31 02:31
现在解释annuity puzzle的主要解释有
1. Bequest Motive
2. Unexpected income shock, such as health co ...

那请问life cycle model使用什么软件进行模拟的或者运算的。。。以前没有接触过这块的，导师说我们专业论文要以数据和模型为主  所以我这个该主要分析那个原因？  谢谢

chenyuxuan0 发表于 2014-7-31 21:28
那请问life cycle model使用什么软件进行模拟的或者运算的。。。以前没有接触过这块的，导师说我们专业论文 ...

分析哪个原因要看你自己觉得哪个最重要，加入的因素越多，解life-cycle model越复杂，因为state variable越多。

软件的话，可以用matlab，也可以用Fortran。

话说这个模型不是一点复杂，需要有较强的编程和数值分析的背景知识，一般博士生都搞不定。你还是和你老师先沟通一下吧，我觉得你老师不一定会让你解这个模型。具体怎么解，你可以好好看看我推荐的两篇文章，他们绝对是近年来发得最好的关于这个话题的文章了。

soar1120 发表于 2014-8-2 07:43
分析哪个原因要看你自己觉得哪个最重要，加入的因素越多，解life-cycle model越复杂，因为state variable ...

ok  非常感谢