-rate risk. Our model matches important stylized facts. First, the share of long-term assets in households' wealth is hump … rates fall, but only when wealth does not include the value of Social Security. Hedging demand against interest-rate risk …

special solutions are provided. It is shown that idiosyncratic mortality risk has significant impacts on the wage earner …, while systematic mortality risk only has significant impacts on the wage earner’s investment in the zero-coupon bond and the … longevity bond. Since systematic mortality risk can be hedged by trading the longevity bond, its impacts on consumption …

ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We … risk channel arising from fluctuations in the fund's endowment. We use our calibrated model to study the implications of a …

We develop an analytically tractable model of optimal financing policies for a risk averse decision maker who is … exposed to climate risk causing a significant disruption to capital stock accumulation. We quantitatively identify certain … in the decision maker's optimal financing strategies occurs even when the possibility of climate risk is very slim …

We develop a methodology to estimate households’ exposure to systematic income risk and its causal effect on portfolio … substantial cross-sectional variation in systematic income risk. We find that households more exposed to business cycle …

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two … period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose … unique under full insurance. If investment is fully insured but unemployment risk is uninsured, the precautionary saving …

This paper analyzes an individual’s post retirement longevity risk management strategy allowing for systematic … longevity risk, recent product innovations, and product loadings. A complete-markets discrete state model and multi … systematic and idiosyncratic longevity risk. Portfolios include: fixed life annuities, deferred annuities, inflation …

earnings risk and aggregate asset price risk, I show that changes in earnings dynamics account for a large part of the …

uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to … capital income risk, we solve for the optimal consumption-saving choices and show that the expected welfare is increasing with … capacity, assuming a relative risk aversion degree larger than unity. Furthermore, we solve for attention choice and find that …

(2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states … systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio …