to college households in terms of welfare. Chapter 2 disentangles the effect of demographic change on returns to risk …. Chapter 3 develops a method for computing transitional dynamics in heterogeneous agent models with aggregate risk if these …

productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from joint insurance against … both risks is greater than the sum of benefits from insurance against the isolated risk components. One reason is the … convexity of the welfare gain in total risk. The other reason is a direct risk interaction which amplifies the utility losses …

When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We … in closed form and show that joint presence of both risks leads to over-proportional risk exposure for households. This …

facing uninsurable idiosyncratic labor income risk. The Ramsey government internalizes the general equilibrium effects of … exhibits an optimal aggregate saving rate that is independent of income risk, whereas the optimal time-invariant tax on capital … implementing this saving rate is increasing in income risk. The optimal saving rate is constant along the transition and its sign …

When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We …

show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household …