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Drawing Down Retirement Financial Savings: A Welfare Analysis using French data

2021-07-27Documento de conferência Acesso aberto
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dc.contributor.authorEl Mekkaoui, Najat
dc.contributor.authorBravo, Jorge Miguel
dc.contributor.institutionInformation Management Research Center (MagIC) - NOVA Information Management School
dc.contributor.institutionNOVA Information Management School (NOVA IMS)
dc.coverage.spatialNew York, NY, USA
dc.date.accessioned2021-08-02T23:21:20Z
dc.date.available2021-08-02T23:21:20Z
dc.date.issued2021-07-27
dc.descriptionBravo, J. M., & Freitas, N. E. M. D. (2021). Drawing Down Retirement Financial Savings: A Welfare Analysis using French data. In 2021 The 5th International Conference on E-Commerce, E-Business and E-Government (ICEEG '21) (pp. 152-158). Association for Computing Machinery (ACM). https://doi.org/10.1145/3466029.3466041 -------------------------------------------------------------- Funding Information: Najat El Mekkaoui acknowledges support by Groupama Gan Vie, Groupama Asset Management and Deloitte. Jorge M. Bravo acknowledges financial support by Portuguese national funds through FCT under the project UIDB/04152/2020 - Centro de Investigação em Gestão de Informação (MagIC). Publisher Copyright: © 2021 ACM.
dc.description.abstractIn recent decades, most countries have responded to increased longevity, population ageing, and low market returns with systemic and/or gradual parametric pension reforms. The trend towards individual accounts in public and private funded pension schemes augmented the importance of studying the decumulation phase of pensions. This paper uses a simulation design to empirically investigate the individual welfare generated from alternative annuitization and self-managed fixed, variable and hybrid drawdown strategies. A time-separable utility function is used to represent an individual's preferences towards consumption and bequest, risk aversion and intertemporal discounting and to quantitively assess the range of retirement outcomes from competing decumulation designs. The setting comprises a stochastic mortality and investment risk framework calibrated to French interest rate, stock market and mortality data from 2010 to 2019. The results show that self-managed variable decumulation strategies may generate higher income at the expense of high risk taking, more volatile income streams and no longevity insurance. Annuitization strategies involving longevity-linked life annuities and hybrid solutions provide higher expected lifetime utility at the expense of bequest motives.en
dc.description.versionauthorsversion
dc.description.versionpublished
dc.format.extent7
dc.format.extent750670
dc.identifier.doi10.1145/3466029.3466041
dc.identifier.isbn978-1-4503-8949-52021
dc.identifier.otherPURE: 28097389
dc.identifier.otherPURE UUID: 35719d92-88da-4646-8ae7-95e8fe4e931a
dc.identifier.otherORCID: /0000-0002-7389-5103/work/97709959
dc.identifier.otherScopus: 85112025883
dc.identifier.urihttp://hdl.handle.net/10362/122029
dc.identifier.urlhttps://www.scopus.com/pages/publications/85112025883
dc.language.isoeng
dc.peerreviewedyes
dc.publisherACM - Association for Computing Machinery
dc.subjectDraw down strategies
dc.subjectPensions
dc.subjectLongevity-linked life annuity
dc.subjectLongevity insurance
dc.subjectRetirement savings
dc.subjectHuman-Computer Interaction
dc.subjectComputer Networks and Communications
dc.subjectComputer Vision and Pattern Recognition
dc.subjectSoftware
dc.subjectSDG 1 - No Poverty
dc.subjectSDG 10 - Reduced Inequalities
dc.titleDrawing Down Retirement Financial Savings: A Welfare Analysis using French dataen
dc.typeconference object
degois.publication.firstPage152
degois.publication.lastPage158
degois.publication.title2021 The 5th International Conference on E-Commerce, E-Business and E-Government (ICEEG '21)
degois.publication.title5th International Conference on E-Commerce, E-Business and E-Government, ICEEG 2021
dspace.entity.typePublication
rcaap.rightsopenAccess

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