We discuss the "life cycle model" by first introducing a credit market with only biometric risk, and then market risk is introduced via risky securities. This framework enables us to find optimal pension plans and life insurance contracts where the benefits are state dependent. We compare these...

For the conventional model with additive and separable expected utility, risk aversion and intertemporal elasticity of substitution in consumption sometimes play conflicting roles, in particular in life insurance and pensions. We propose to use recursive utility in the life cycle model, where we...

We analyze optimal consumption in the life cycle model by introducing life and pension insurance contracts. The model contains a credit market with biometric risk, and market risk via risky securities. This idealized framework enables us to clarify important aspects life insurance and pension...