household's mortality risk itself to be stochastic. Annuities still help to hedge longevity risk, but they are now subject to … valuation risk. Valuation risk is a powerful gateway mechanism for numerous frictions to reduce annuity demand, even without ad …

In this paper we study the neoclassical growth model with idiosyncratic income risk and aggregate risk in which risk … pay off depending on both idiosyncratic and aggregate risk, but limited commitment rules out that households sell these … conditions under which it has lower/higher risk premia than the corresponding representative agent version of the model …

assumptions of full annuitization and deterministic health. Our framework can value the prevention of mortality and of illness … illness can significantly increase the value of statistical life, helping to reconcile theory with empirical findings that … add $127 billion to the value of a one percent decline in future mortality …

adult life span is about 15 years in the U.S., and theory and evidence suggest it is costly. I calibrate a utility … component due to infant mortality, has exhibited even more convergence than life expectancy. Sustained reductions in the … total economic value of gains against mortality in the U.S. prior to 1950 but only about 5 percent since …

long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

The objective of this paper is to find the quantitative importance of some predictors of mortality among the population … including a history of heart attack or cancer, and subjective probabilities of survival. The estimation is based on mortality …-economic indicators and mortality declines with age 13 health indicators are strong predictors of mortality and that the subjective …