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Despite facing significant uncertainty about their lifespans and health care costs, most retirees do not buy annuities or long-term care insurance. In this paper, I find that retirees' saving and insurance choices are highly inconsistent with standard life cycle models in which people care only...
Persistent link: https://www.econbiz.de/10013040235
Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme …
Persistent link: https://www.econbiz.de/10013218406
involuntary or accidental. Moreover, parameter estimates using subjective mortality risk perform better in predicting out … influenced more strongly by individual-level beliefs about mortality risk than by group level mortality risk …
Persistent link: https://www.econbiz.de/10013222076
priced risk …
Persistent link: https://www.econbiz.de/10013224117
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10013224964
This paper explores optimal fiscal policy in an overlapping-generations general-equilibrium model under uncertainty and the impact on optimal policy of the introduction of a type of policy stickiness intended to account for the stylized fact that major reforms happen infrequently. In general,...
Persistent link: https://www.econbiz.de/10013237552
enough to approximate Kahnenman and Tversky's prospect theory and that for certain parametric values will yield the expected …
Persistent link: https://www.econbiz.de/10013135363
and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …
Persistent link: https://www.econbiz.de/10013138143
prices, including the equity premia, risk-free rate and volatility puzzles …
Persistent link: https://www.econbiz.de/10013101822
We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility …
Persistent link: https://www.econbiz.de/10013101828