The Calculus of Retirement Income: Financial Models for Pension Annuities and Life Insurance
Cambridge University Press, 5/25/2006
EAN 9780521842587, ISBN10: 0521842581
Hardcover, 336 pages, 23.2 x 16 x 1.2 cm
Language: English
This 2006 book introduces and develops the basic actuarial models and underlying pricing of life-contingent pension annuities and life insurance from a unique financial perspective. The ideas and techniques are then applied to the real-world problem of generating sustainable retirement income towards the end of the human life-cycle. The role of lifetime income, longevity insurance, and systematic withdrawal plans are investigated in a parsimonious framework. The underlying technology and terminology of the book are based on continuous-time financial economics by merging analytic laws of mortality with the dynamics of equity markets and interest rates. Nonetheless, the book requires a minimal background in mathematics and emphasizes applications and examples more than proofs and theorems. It can serve as an ideal textbook for an applied course on wealth management and retirement planning in addition to being a reference for quantitatively-inclined financial planners.
Preface
Part I. Models of Actuarial Finance
1. Introduction and motivation
2. Modeling the human life-cycle
3. Models of human mortality
4. Valuation models of deterministic interest
5. Models of risky financial investments
6. Models of pension life annuities
7. Models of life insurance
8. Models of DB vs. DC pensions
Part II. Wealth Management Applications and Implications
9. Sustainable spending at retirement
10. Longevity insurance revisited
Part III. Advanced Topics
11. Options within variable annuities
12. The utility of annuitization
13. Book conclusions
Appendices.
'This very readable book is a landmark in the area of life insurance, pensions and long risk analysis. Integrating actuarial and financial approaches, the book provides an approach which is both theoretically elegant and practical in applications. It is highly recommended for both academics and those in industry.' Michael Orszag, Watson Wyatt