Optimal annuity planning and longevity risk: Evidence from Korea

Yoonkyung Yuh, Jaehwan Yang

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


This study examines annuity planning using an optimization framework. An optimization problem is formulated with the objective of maximizing the lifetime utility of consumption and bequestable wealth, and benchmark cases for Korean households are applied. We extend the optimization model suggested in Gupta and Li (2007) by incorporating realistic constraints, such as installment premium contracts, deferred annuity payments and the possibility of borrowing. Further, we have considered a variety of longevity cases. The results confirmed that an annuity is an effective tool for managing longevity risk, and annuitization timing is crucial for the maximization of lifetime utility.

Original languageEnglish
Pages (from-to)1423-1433
Number of pages11
JournalApplied Economics
Issue number11
StatePublished - Apr 2011


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