Optimal longevity of a dynasty
A standard roundabout production framework is considered in a dynastic social welfare maximization problem, incorporating critical-level utilitarianism as the guiding principle for social welfare. While critical-level utilitarianism has been established to studying the optimal population size in a static and equitable manner, we apply the same axiology in a dynamic context with respect to capital accumulation and savings and study the optimal generation size, possibly without discounting future generations. Our study is based on a finite-horizon dynamic programming technique. We apply this technique to obtain optimal consumption schedules under a given planning horizon. The findings suggest that the optimal planning horizon (i.e., the optimal generation size) is not necessarily infinite, even when future generations are treated under conditions of ultimate equity.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Optimal post-retirement investment under longevity risk in collective funds
We study the optimal investment problem for a homogeneous collective of $n$ individuals investing in a Black-Scholes model subject to longevity risk with Epstein--Zin preferences. %and with preferences given by power uti…
Hedging longevity risk in defined contribution pension schemes
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment problem for a defined contribution pensio…
Contract Structure and Risk Aversion in Longevity Risk Transfers
This paper introduces an economic framework to assess optimal longevity risk transfers between institutions, focusing on the interactions between a buyer exposed to long-term longevity risk and a seller offering longevit…
Optimal retirement income tontines
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the gambling instinc}, it…
Optimal mutual insurance against systematic longevity risk
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a mark…