Statistics Papers

Document Type

Journal Article

Date of this Version

3-2014

Publication Source

Asia-Pacific Journal of Risk and Insurance

Volume

8

Issue

1

Start Page

1

Last Page

26

DOI

10.1515/apjri-2013-0027

Abstract

This paper contributes to a better understanding of the risks involved in a life annuity investment. We study the full distribution of weighted annuity benefits and quantify risk measures such as dispersion and skewness, thereby extending the usefulness of the popular money’s worth valuation framework for life annuities. Using data from pension annuities in Singapore, we also introduce several risk measures that might appeal to less financially sophisticated retirees. A more detailed and accurate picture of the risk of investing in life annuities emerges, enabling prospective annuitants to differentiate among products that may appear seemingly uniform in terms of money’s worth, but vary widely in terms of their risk attributes.

Copyright/Permission Statement

The final publication is available at www.degruyter.com

Keywords

annuities, money's worth ratio, risk measures

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Date Posted: 27 November 2017

This document has been peer reviewed.