Life-cycle risk-taking with personal disaster risk☆

被引：1
|
作者：
Bagliano, Fabio C. [1 ,2 ,4 ]
Fugazza, Carolina [1 ,2 ]
Nicodano, Giovanna [1 ,2 ,3 ]
机构：
[1] Univ Torino, Turin, Italy
[2] CeRP Coll Carlo Alberto, Turin, Italy
[3] Netspar, Tilburg, Netherlands
[4] Univ Torino, Dipartimento ESOMAS, Corso Unione Soviet 218bis, I-10134 Turin, Italy
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2024年 / 89卷
关键词：
Life-cycle portfolio choice Disaster risk Beta distribution Non-linear income process Unemployment risk Disability risk; PORTFOLIO CHOICE; EARNINGS LOSSES; DISABILITY INSURANCE; RARE DISASTERS; UNEMPLOYMENT; CONSUMPTION; DYNAMICS; ALLOCATION; BENEFITS; MARKETS;
D O I：
10.1016/j.iref.2023.10.035
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Inspired by a growing body of empirical work, this paper models a non-linear labor income process allowing for a personal disaster, such as long-term unemployment or disability, during working years. Such a disaster entails an uncertain but potentially large permanent shock to earnings. Personal disaster risk allows to match moderate risk-taking of young investors and a flat investment profile in age, observed in the United States, when the calibration of both the disaster probability and the expected permanent loss in the disaster state is conservative.
引用
收藏
页码：378 / 396
页数：19
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