英文标题：
《Modern tontine with bequest: innovation in pooled annuity products》
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作者：
Thomas Bernhardt and Catherine Donnelly
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最新提交年份：
2019
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英文摘要：
  We introduce a new pension product that offers retirees the opportunity for a lifelong income and a bequest for their estate. Based on a tontine mechanism, the product divides pension savings between a tontine account and a bequest account. The tontine account is given up to a tontine pool upon death while the bequest account value is paid to the retiree\'s estate. The values of these two accounts are continuously re-balanced to the same proportion, which is the key feature of our new product. Our main research question about the new product is what proportion of pension savings should a retiree allocate to the tontine account. Under a power utility function, we show that more risk averse retirees allocate a fairly stable proportion of their pension savings to the tontine account, regardless of the strength of their bequest motive. The proportion declines as the retiree becomes less risk averse for a while. However, for the least risk averse retirees, a high proportion of their pension savings is optimally allocated to the tontine account. This surprising result is explained by the least risk averse retirees seeking the potentially high value of the bequest account at very old ages.
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中文摘要：
我们推出了一种新的养老金产品，为退休人员提供终身收入和遗产继承的机会。该产品基于tontine机制，将养老金储蓄分为tontine账户和遗赠账户。死亡后，tontine账户将交给tontine池，而遗赠账户价值将支付给退休人员的遗产。这两个账户的价值不断重新平衡到相同的比例，这是我们新产品的关键特征。我们对这一新产品的主要研究问题是，退休人员应该在托丁账户中分配多少比例的养老金储蓄。在幂效用函数下，我们表明，风险厌恶程度较高的退休人员将其养老金储蓄中相当稳定的比例分配到tontine账户，而不管他们的遗赠动机有多强。这一比例随着退休人员在一段时间内风险厌恶程度的降低而下降。然而，对于风险厌恶程度最低的退休人员来说，他们的养老金储蓄中有很大一部分被最佳地分配到托丁账户。这一令人惊讶的结果可以解释为，那些风险厌恶程度最低的退休人员在很老的时候就开始寻求遗产账户的潜在高价值。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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