• Consumption-Investment Problems with Stochastic Mortality Risk 

      Schendel, Lorenz S. (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 

      Schendel, Lorenz S. (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 ...
    • Higher-Order Income Risk over the Business Cycle: A Parametric Approach 

      Busch, Christopher; Ludwig, Alexander (2020-03-24)
      We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher- order risk. We estimate our extended income process by ...
    • Life Insurance Demand under Health Shock Risk 

      Kraft, Holger; Schendel, Lorenz S.; Steffensen, Mogens (2015-06-03)
      This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ...