華南經(jīng)濟論壇第259期：曾燕教授講座
時間：2019年4月17日（周三）下午3:00—4:30
地點：經(jīng)濟與管理學(xué)院五樓會議室
主講人：曾燕教授（中山大學(xué)嶺南學(xué)院）
主題： Optimal Post-Retirement Planning for Couples with Dependent Mortality
摘要
This paper develops a computationally tractable multi-period consumption and portfolio choice model for retired couples with dependent mortality rates. This new model enables us to unveil the significant role of mortality correlation in shaping a household’s optimal post-retirement saving, investing and spending. Compared to independent couples, dependent couples optimally purchase less joint annuities but more single annuities and have higher total annuity holdings. The higher annuity holdings make dependent couples favor risky assets more than bonds. They also enable dependent couples to enjoy higher joint-life consumption. If dependent couples ignore the mortality dependence, the total demand for annuities will be substantially lower than the optimal level, leading to a lower overall utility. Using the optimal level suggested by our model as a benchmark, we show that the prevalence of ignorance and indifference about mortality dependency observed in reality is one important factor that explains the annuity puzzle. Our comparison also uncovers the value-added mechanism of joint annuities: joint annuities improve welfare by smoothing the trajectory of consumption per household member. (Coauthor with Baiyi Wu and Yijia Lin)
報告人簡介
曾燕, 男，中山大學(xué)嶺南學(xué)院教授、博士生導(dǎo)師。其主要從事金融工程、風(fēng)險管理、保險精算、數(shù)字普惠金融與金融經(jīng)濟學(xué)等領(lǐng)域的研究，曾在美國麻省理工學(xué)院（MIT）、加拿大滑鐵盧大學(xué)、新加坡國立大學(xué)、香港大學(xué)訪問，是國家社科基金重大項目首席專家、廣東省青年珠江學(xué)者、廣東省杰青、霍英東教育基金項目獲得者、廣東省高校“千百十工程”培養(yǎng)對象、系統(tǒng)科學(xué)與系統(tǒng)工程科學(xué)技術(shù)青年科技獎獲得者、中國決策科學(xué)青年科技獎獲得者；主持了國家自科面上項目等10余項課題；在本領(lǐng)域著名期刊《Journal of Economic Dynamics and Control》、《Insurance: Mathematics and Economics》、《Annals of Operations Research》、《IEEE Systems Journal》、《Journal of Optimization Theory and Applications》、《管理科學(xué)學(xué)報》等上發(fā)表學(xué)術(shù)論文60余篇，其中SCI/SSCI收錄30余篇；研究成果獲得廣東省哲學(xué)社科優(yōu)秀成果一等獎（省級）、第七屆高等學(xué)校科學(xué)研究優(yōu)秀成果三等獎（部級）、中國人保部社會保障論壇征文三等獎（部級）等；學(xué)術(shù)兼職包括中國運籌學(xué)會金融工程與金融風(fēng)險管理分會副秘書長、Quantitative Finance and Economics編委等。