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Optimal Health and Longevity Insurance

Author

Listed:
  • Stijn Van Nieuwerburgh

    (New York University)

  • Motohiro Yogo

    (University of Pennsylvania)

  • Ralph S.J. Koijen

    (University of Chicago)

Abstract

We derive the optimal portfolio of longevity products during the retirement phase. The households 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.

Suggested Citation

  • Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S.J. Koijen, 2009. "Optimal Health and Longevity Insurance," 2009 Meeting Papers 185, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:185
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    More about this item

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private

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