寿命不确定与企业年金退休后投资决策

Uncertain Lifetime and Postretirement Investment Decision for Occupational Pension

摘要:

员工退休后依然面临企业年金基金投资决策问题：一次性提取,逐步提取,或者立即年金化.引入递归偏好,剔除跨期替代规避,建立了一个寿命唯一不确定条件下的跨期效用函数,探讨风险规避对无遗产动机员工决策的影响.研究发现,长寿风险和短寿风险作用不一致,一次性提取和逐步提取利于规避长寿风险,而立即年金化利于规避短寿风险.总体上,风险规避程度越高,企业年金基金年金化的效用越低,一次性领取方式的吸引力越大.

Abstract:

Employees affiliated to occupational pension schemes have to choose between lumpsum,phased withdraw and annuitization after retirement.The recursive preference was introduced to eliminate intertemporal substitution,and an intertemporal utility function with unique uncertainty of lifetime was set up to explore the employees’ decisions without bequest motive.Results show that longevity risk and ephemerality risk have different effect: the lumpsum way and phased withdraw help to aversion to longevity risk while annuitization helps to aversion to ephemerality risk.In general,the utility of annuitization decreases and the lumpsum way is more attractive as risk aversion increases.