Much of the industrialized world is undergoing a significant demographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...

This paper studies the link between group-specic consumption growth and volatility within a framework of heterogeneous agents, under the assumption of a consumption externality. Household preferences are related to the volatility through asset holding decisions: volatility decreases with groups'...

A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....

This paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large pool of ex-ante identical agents that face idiosyncratic income uncertainty that makes them heterogeneous ex-post. In any given period, after having observed her income, the agent...

Theoretical studies suggest that unexpected changes in future mortality and survival probabilities (stochastic mortality) are important determinants of individuals’ decisions about consumption, saving, asset allocation, and retirement timing. Using data on subjective survival expectations...

We exploit the natural experiment of the 2005 income tax reform in Germany to study the effects of tax incentives on consumer behavior in life insurance markets. Our empirical analysis of sociodemographic, economic, and psychological household characteristics elicited in the German SAVE study...

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numerical representation is much less transparent. In classical rating models a convenient representation of ratings in a closed form is possible reducing...

Based on administrative data from the federal employment office in Germany, we apply matching techniques to estimate the stepping-stone function of temporary agency work for the unemployed, i.e. its short-run and long-run effects on their future employment prospects. Our results show that...

Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...