摘要：Many assume that for retirees, purchasing an annuity is a better option than self-annuitization in the decumulation period. In Korea, retirees have shown a strong preference for properties (real estate), and a decision to annuitize has been extremely rare. Using a genetic algorithm, we show that self-annuitization can be recommended as an optimal choice for retirees in Korea if they consider properties as one of the investment options. We set three scenarios that a worker can choose at retirement: self-annuitization, purchasing a whole life annuity, and mixed strategy. We then calculate an optimal asset allocation for each scenario capable of minimizing probability of consumption shortfall (PCS). An important observation is achieved: the optimal asset allocation for minimizing PCS vary by the income quintiles, and PCS rises significantly as the preference for purchasing a whole-life annuity increases. In case of a large reduction in consumption after retirement, however, annuitization may be a better option for retirees in the lowest income quintile.
关键词：annuity puzzle; self-annuitization; annuitization; probability of consumption shortfall; optimal asset allocation
