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Abstract
This paper explores the effect of aggregate mortality risk on the pricing of annuities. It uses a two-period model; in the second period people face a constant but initially unknown risk of death. Old people can either carry the aggregate emortality risk for themselves or buy annuities which are sold by young people. A market-clearing price for such annuities is established. It is found that old people would, given the choice, decide to carry a considerable part of aggregate mortality risk for themselves.
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