Relatore: prof. Luca Regis - Università di Siena

Abstract:

In a complete financial market, we solve in closed form the problem of an agent who maximizes his intertemporal lifetime utility. The agent is subject to the so-called longevity risk, i.e. her force of mortality is stochastic. Her utility is additively separable on consumption and leisure while working. Consumer's preferences belong to the Hyperbolic Absolute Risk Aversion family, with a subsistence level of consumption. The individual optimally chooses the labor supply, consumption and investment portfolio. We study these optimal choices when the agent has access to a market for longevity-linked securities and is possibly contributing to a personal pension scheme. A calibrated application shows that individuals at different stages of their lives and with different wage characteristics have different demand for the longevity-linked assets. (The paper is joint with F. Menoncin)