TY  - JOUR
AU  - Dus,Ivica
AU  - Maurer,Raimond
AU  - Mitchell,Olivia S.
TI  - Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11271
PY  - 2005
Y2  - April 2005
UR  - http://www.nber.org/papers/w11271
L1  - http://www.nber.org/papers/w11271.pdf
N1  - Author contact info:
Ivica Dus

Raimond Maurer
Finance Department
Goethe University
Grüneburgplatz 1 (Uni-PF. H 23)
Frankfurt am Main
Germany
E-Mail: rmaurer@wiwi.uni-frankfurt.de

Olivia S. Mitchell
University of Pennsylvania
Wharton School
3620 Locust Walk, St 3000 SH-DH
Philadelphia, PA 19104-6302
Tel: 215-898-0424
Fax: 215/898-0310
E-Mail: mitchelo@wharton.upenn.edu
AB  - Retirees must draw down their accumulated assets in an orderly fashion, so as not to exhaust their funds too soon. We compare alternative phased withdrawal strategies to a life annuity benchmark using German data; one particular phased withdrawal rule seems attractive, as it offers relatively low expected shortfall risk, good expected payouts for the retiree during his life, and some bequest potential; results are similar for the US case. Delayed annuitization may also appeal, as it offers higher expected benefits with lower expected shortfalls. Requiring unisex mortality tables in annuity pric-ing raises women's risks under a phased withdrawal program.
ER  -