Krueger, Dirk; Lustig, Hanno - C.E.P.R. Discussion Papers - 2006
In models with a large number of agents who have constant relative risk aversion (CRRA) preferences, the absence of … insurance markets for idiosyncratic labour income risk has no effect on the premium for aggregate risk if the distribution of … idiosyncratic risk is independent of aggregate shocks. In spite of the missing markets, a representative agent who consumes …