It is well established that annuities can fully diversify idiosyncratic mortality risks. However, survival rates at the cohort level are changing, raising the question what is the scope of annuities in the presence of aggregate mortality risk? In an overlapping generations setting, we show that risk free annuities exist, but offer a return below the (fair) certainty equivalent return, and agents do not fully annuitize their savings. Higher aggregate mortality risk increases savings and thus the mean level of the capital stock. This lowers the mean rate of return on capital, the survival premium on annuities and the share of individual savings in annuities.

中文翻译：

---

年金化和总死亡风险

众所周知，年金可以完全分散特发性死亡风险。但是，队列级别的生存率正在发生变化，这带来了一个问题，即存在总死亡风险的情况下，年金的范围是多少？在世代重叠的情况下，我们证明了存在无风险年金，但是提供的回报低于（确定的）确定等值回报，并且代理商没有完全将其储蓄用于年金。更高的总死亡率风险增加了储蓄，从而增加了资本存量的平均水平。这降低了平均资本回报率，年金的生存溢价以及年金中个人储蓄的份额。