Asset Demands and Consumption with Longevity Risk
SSCI
SCOPUS
- Title
- Asset Demands and Consumption with Longevity Risk
- Authors
- Jang, B.-G; Hyeng Keun Koo; Yuna Rhee
- Date Issued
- 2016-08
- Publisher
- Springer
- Abstract
- We study asset demands and consumption of an individual with longevity risk. We investigate a complete market with vehicles hedging against longevity risk and compare this case with a no insurance case and a partial insurance case to illustrate comprehensive economic implications. Particularly, we show that the stock-to-savings ratio in the partial insurance case is smaller than that in the other two cases, and that the time-old proposition, such that an increased mortality rate is equivalent to an increased subjective discount rate, does not necessarily follow without the assumption of a time-separable utility function.
- Keywords
- Longevity risk; Asset demand; Consumption; Life insurance; Annuity
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/36156
- DOI
- 10.1007/S00199-015-0922-7
- ISSN
- 0938-2259
- Article Type
- Article
- Citation
- Economic Theory, vol. 62, no. 3, page. 587 - 633, 2016-08
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- There are no files associated with this item.
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