Individual post-retirement longevity risk management under systematic mortality risk

► We analyze individuals' post-retirement longevity risk management strategies. ► Our complete market model distinguishes between systematic and idiosyncratic risk. ► Portfolios of different annuities and group self-annuitization plans are compared. ► GSA plans are attractive when there are loadings on guaranteed annuity products. ► Individuals with a bequest motive prefer coinsurance portfolio strategies.