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 … 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 higher-order risk. We estimate our extended income process by GMM for household … show that in a standard incomplete-markets life-cycle model, first, higher-order risk has sizable welfare implications …

In recent multi-population stochastic mortality models, one critical scientific issue is the vague distinction between … trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a …