We analyze the impact of risk aversion and ambiguity aversion on the competing demands for annuities and bequeathable savings using a lifecycle recursive utility model. Our main finding is that risk aversion and ambiguity aversion have similar effects: an increase in either of the two reduces annuity demand and enhances bond holdings. We obtain this unequivocal result in the flexible intertemporal framework of Hayashi and Miao (2011) by assuming that the agent’s preferences are monotone with respect to first-order stochastic dominance. Our contribution is then twofold. First, from a decision-theoretic point of view, we show that monotonicity allows one to obtain clear-cut results about the respective roles of risk and ambiguity aversion. Second, from the insurance point of view, our result that the demand for annuities decreases with risk and ambiguity aversion stands in contrast with what is usually found with other insurance products. As such, it may help explain the low annuitization level observed in the data.

我们使用生命周期递归效用模型分析了风险厌恶和模糊厌恶对年金和可遗赠储蓄的竞争需求的影响。我们的主要发现是风险厌恶和模糊厌恶具有相似的效果：两者中任何一个的增加都会降低年金需求并增加债券持有量。我们在 Hayashi 和 Miao (2011) 的灵活跨期框架中获得了这个明确的结果，假设代理人的偏好对于一阶随机优势是单调的。我们的贡献是双重的。首先，从决策理论的角度来看，我们表明单调性允许人们获得关于风险和歧义厌恶各自角色的明确结果。二、从保险的角度来看，我们的结果是，对年金的需求随着风险和歧义厌恶而减少，这与通常在其他保险产品中发现的情况形成鲜明对比。因此，它可能有助于解释数据中观察到的低年金化水平。