解释年金和一次性付款期权的估值.pdf

1、|1Explaining the Valuation of Annuities and Lumpsum Options The Role of PreferencesEduard PondsJoint work with Niek Hensen and Jane SpliethoffIPRA-ParisJune 12,2024|Motivation Netherlands is an annuity country Pension funds must pay out pensions as a life-long annuity 2024:Lumpsum as new option(maxi

2、mum 10%of pension capital at retirement)Issues pension fund industry Fear big run on the lumpsum option How to communicate this new product properly(choice architecture)?Research question paper:We ask respondents to give a(financial)value to the 10%lumpsum option and the 10%annuityoptions?What can w

3、e learn from this valuation for choice architecture?June 1,20232|3Degree of annuitizationDegree of annuitisation pension wealth at retirement in workplacepension plans|Literature mainly focused on explaining the actual annuity decisions byplan participants(cf.Agnew et al.2008,Schreiber&Weber 2016,Br

4、own 2007,Alexandra&Gatzert 2019,Lambregts&Schut,2022).Stylized model Yaari(1965):100%annuitisation Rational economic perspective(Im)patience Bequests Life expectancy Institutional aspects:-Public pensions,-Taxation,-Role social partners in plan design Behavioral economic perspective Present bias(tim

5、e inconsistency)Cognitive constraintsExplaing Annuity DECISIONS4Annuity take up is still a puzzle|Different route:use the information from doing a valuation task:Ask respondents to value both options and use this information to improve the understanding of annuitydecision making We ask respondents t

6、wo questions:Q1 How much lumpsum do you want in return for 10%of your annuity position?Q2 How much annuity do you want in return for a lumpsum position equal to 10%of pension pot?InspirationBrown,J.R.,Kapteyn,A.,Luttmer,E.F.,&Mitchell,O.S.(2017).Cognitive constraints on valuing annuities.Journal of