Kim Peijnenburg
| Date of PhD defense: | 27 May 2011 |
| Title of thesis: | Consumption, Savings, and Investments over the Life Cycle |
| ISBN: | 978 90 5668 289 7 |
| Promotor: | Prof.dr. Theo Nijman Prof.dr. Bas Werker |
Abstract:
This dissertation contains four studies on asset allocation over the life cycle. The first chapter explores the implications of ambiguity about the equity premium on the asset allocation over the life cycle. I find that if agents are ambiguous about the equity premium and averse with respect to ambiguity, this can explain the empirically observed low allocation to stocks and the participation puzzle. The other three chapters deal with the annuity puzzle; in reality agents rarely annuitize their wealth on a voluntary basis, while theory predicts it is optimal to annuitize your entire wealth. Chapter two focuses on the influence of means-tested benefits on annuity demand using a dataset from Switzerland. In Chapter three, we examine out-of-pocket medical expenses as a potential driver of deviation from full annuitization, which we find to be particularly important. Finally, Chapter four explores whether incomplete annuity markets, bequest motives, or default risk of the insurer can explain the low observed annuity levels.
Global / English