Asset demands and consumption with longevity risk

Bong-Gyu Jang (), Hyeng Keun Koo () and Yuna Rhee ()
Additional contact information
Bong-Gyu Jang: POSTECH
Hyeng Keun Koo: Ajou University
Yuna Rhee: POSTECH

Economic Theory, 2016, vol. 62, issue 3, No 8, 587-633

Abstract: Abstract We study asset demands and consumption of an individual with longevity risk. We investigate a complete market with vehicles hedging against longevity risk and compare this case with a no insurance case and a partial insurance case to illustrate comprehensive economic implications. Particularly, we show that the stock-to-savings ratio in the partial insurance case is smaller than that in the other two cases, and that the time-old proposition, such that an increased mortality rate is equivalent to an increased subjective discount rate, does not necessarily follow without the assumption of a time-separable utility function.

Keywords: Longevity risk; Asset demand; Consumption; Life insurance; Annuity (search for similar items in EconPapers)
JEL-codes: G11 G12 G22 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00199-015-0922-7

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