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Consumption-Investment Problems with Stochastic Mortality Risk
(2014-03-03)
I numerically solve realistically calibrated life cycle consumption-investment problems in continuous time featuring stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity ...
Critical Illness Insurance in Life Cycle Portfolio Problems
(2014-03-03)
I analyze a critical illness insurance in a consumption-investment model over the life cycle. I solve a model with stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness ...
Aging and Pension Reform: Extending the Retirement Age and Human Capital Formation
(2014-12-29)
Projected demographic changes in industrialized and developing countries vary in extent and timing but will reduce the share of the population in working age everywhere. Conventional wisdom suggests that this will increase ...