We develop a pair of risk measures for the universe of health and longevity products that includes life insurance, annuities, and supplementary health insurance. Health delta measures the differential payoff that a policy delivers in poor health, while mortality delta measures the differential...

We derive the optimal portfolio of longevity products during the retirement phase. The households health state moves stochastically and the longevity products are priced consistent with equilibrium in the insurance market. The household has recursive preferences, which allows us to study the...

expenditure share for basic goods declines in total consumption, and the variance of consumption growth rises in the level of consumption. When calibrated to match these two predictions in household consumption data, the model explains portfolio shares that rise in wealth.

We study the dynamics of how private information is resolved in credit markets and its dependence on systematic uncertainty in collateral value. We develop a model in which all borrowers have verifiable income that can be collateralized, but only good borrowers have additional income that is...

During the financial crisis, life insurers sold long-term insurance policies at firesale prices. In January 2009, the average markup, relative to actuarial value, was $-25$ percent for 30-year term annuities as well as life annuities and $-52$ percent for universal life insurance. This...

retiree at age 65, and the welfare gain is about 10% of wealth for the healthiest.

cross-section, a strategy that is long on durables and short on services earns a sizable risk premium. In the time series, a strategy that is long on durables and short on the market portfolio earns a countercyclical risk premium. We develop an equilibrium asset-pricing model that explains these...