在有经济情况调查公共养老金的情况下,退休后的最优年金、住房和反向抵押贷款

IF 0.8 Q4 BUSINESS, FINANCE European Actuarial Journal Pub Date : 2024-05-09 DOI:10.1007/s13385-024-00379-3
Johan G. Andréasson, Pavel V. Shevchenko
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引用次数: 0

摘要

在本文中,我们建立了一个模型,以寻求在退休后,在有经济情况调查公共养老金的情况下,在消费、风险资产分配、获得年金、反向抵押贷款和住房规模选择等方面的最优决策。为了解决相应的高维最优随机控制问题,我们使用了最小二乘蒙特卡罗模拟法。该模型适用于澳大利亚的退休制度。在澳大利亚,很少有退休人员在退休后使用年金或反向抵押贷款等金融产品。由于澳大利亚政府提供的、经过经济情况调查的养老金是一种间接的年金流,通常高于消费下限,因此可以说这可能是许多澳大利亚人不进行年金养老的原因。此外,在澳大利亚,分配给家庭住房的资产不包括在养老金的经济情况调查中,因此过度分配财富到住房资产的动机很高。这就提出了一个问题,即退休人员是否真的更适合将财富过度分配到家庭住房中,而在以后通过缩小住房规模或进行反向抵押贷款来获取住房资产。我们的研究结果证实,经济情况调查养老金挤掉了退休后自愿年金化发展的空间,而且一旦退休,年金化发展宜早不宜迟。我们发现,在有经济情况调查养老金和反向抵押贷款的情况下,缩小住房规模从来都不是最佳选择;只有在没有其他办法获得资产的情况下,缩小住房规模才是唯一的选择。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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Optimal annuitisation, housing and reverse mortgage in retirement in the presence of a means-tested public pension

In this paper we develop a model to find optimal decisions in retirement with respect to the consumption, risky asset allocation, access to annuities, reverse mortgage and the option to scale housing in the presence of a means-tested public pension. To solve the corresponding high-dimensional optimal stochastic control problem, we use the Least-Squares Monte Carlo simulation method. The model is applied in the context of the Australian retirement system. Few retirees in Australia utilise financial products in retirement, such as annuities or reverse mortgages. Since the government-provided means-tested Age Pension in Australia is an indirect annuity stream which is typically higher than the consumption floor, it can be argued that this could be the reason why many Australians do not annuitise. In addition, in Australia where assets allocated to the family home are not included in the means tests of Age Pension, the incentive to over-allocate wealth into housing assets is high. This raises the question whether a retiree is really better off over-allocating into the family home, while accessing home equity later on either via downsizing housing or by taking out a reverse mortgage. Our findings confirm that means-tested pension crowds out voluntary annuitisation in retirement, and that annuitisation is optimal sooner rather than later once retired. We find that it is never optimal to downscale housing when the means-tested pension and a reverse mortgage are available; only when there is no other way to access equity then downsizing is the only option.

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来源期刊
European Actuarial Journal
European Actuarial Journal BUSINESS, FINANCE-
CiteScore
2.30
自引率
8.30%
发文量
35
期刊介绍: Actuarial science and actuarial finance deal with the study, modeling and managing of insurance and related financial risks for which stochastic models and statistical methods are available. Topics include classical actuarial mathematics such as life and non-life insurance, pension funds, reinsurance, and also more recent areas of interest such as risk management, asset-and-liability management, solvency, catastrophe modeling, systematic changes in risk parameters, longevity, etc. EAJ is designed for the promotion and development of actuarial science and actuarial finance. For this, we publish original actuarial research papers, either theoretical or applied, with innovative applications, as well as case studies on the evaluation and implementation of new mathematical methods in insurance and actuarial finance. We also welcome survey papers on topics of recent interest in the field. EAJ is the successor of six national actuarial journals, and particularly focuses on links between actuarial theory and practice. In order to serve as a platform for this exchange, we also welcome discussions (typically from practitioners, with a length of 1-3 pages) on published papers that highlight the application aspects of the discussed paper. Such discussions can also suggest modifications of the studied problem which are of particular interest to actuarial practice. Thus, they can serve as motivation for further studies.Finally, EAJ now also publishes ‘Letters’, which are short papers (up to 5 pages) that have academic and/or practical relevance and consist of e.g. an interesting idea, insight, clarification or observation of a cross-connection that deserves publication, but is shorter than a usual research article. A detailed description or proposition of a new relevant research question, short but curious mathematical results that deserve the attention of the actuarial community as well as novel applications of mathematical and actuarial concepts are equally welcome. Letter submissions will be reviewed within 6 weeks, so that they provide an opportunity to get good and pertinent ideas published quickly, while the same refereeing standards as for other submissions apply. Both academics and practitioners are encouraged to contribute to this new format. Authors are invited to submit their papers online via http://euaj.edmgr.com.
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