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Life Insurance Demand under Health Shock Risk
(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 ...
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 ...
Putting the Pension Back in 401(k) Plans: Optimal versus Default Longevity Income Annuities
(2016-09-29)
Most defined contribution pension plans pay benefits as lump sums, yet the US Treasury has recently encouraged firms to protect retirees from outliving their assets by converting a portion of their plan balances into ...
How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior
(2017-06-23)
This Chapter explores how an environment of persistent low returns influences saving, investing, and retirement behaviors, as compared to what in the past had been thought of as more “normal” financial conditions. Our ...
Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection Then and Now
(2019-10-21)
In the wake of the financial crisis and continued volatility in international capital markets, there is growing interest in mechanisms that can protect people against retirement account volatility. This paper explores the ...