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Optimal Health and Longevity Insurance

  • Stijn Van Nieuwerburgh

    (New York University)

  • Motohiro Yogo

    (University of Pennsylvania)

  • Ralph S.J. Koijen

    (University of Chicago)

We derive the optimal portfolio of longevity products during the retirement phase. The household’s health state moves stochastically and the longevity products are priced consistent with equilibrium in the insurance market. The household has recursive preferences, which allows us to study the optimal cross-sectional and time-series allocation of risk. We show how our results modify in the presence of government social security, a market for health insurance, a market for life insurance if the household has a motive or bequest, and macroeconomic (systematic) longevity risk.

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Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 185.

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Date of creation: 2009
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Handle: RePEc:red:sed009:185
Contact details of provider: Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Web page: http://www.EconomicDynamics.org/society.htm
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  24. Alexander Michaelides & Joachim Inkmann, 2011. "Can the Life Insurance Market Provide Evidence for a Bequest Motive?," 2011 Meeting Papers 108, Society for Economic Dynamics.
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