12/27/2006: Working Paper: Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal? (PDF) (Michigan Retirement Research Center)
Excerpt: "[The authors] derive the optimal portfolio choice over the life-cycle for households facing labor income, capital market, and mortality risk. In addition to stocks and bonds, households also have access to incomplete annuity markets offering a hedge against mortality risk. [The authors] show that a considerable fraction of wealth should be annuitized to skim the return enhancing mortality credit."
Important word about authorship:
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