dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest … changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond … risks, but only when risk premia change endogenously as predicted by the model …

In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA …) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk … if the distribution of idiosyncratic risk is independent of aggregate shocks and aggregate consumption growth is …

-level general population mortality in their construction. By constructing a typical mortality risk portfolio and calibrating a bond …Life insurers are exposed to catastrophic mortality risk. Catastrophic mortality bonds are a recent market innovation … that provide an alternative risk management tool to address this risk. However there is little in the way of published …

comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond …-indexed derivative products, and the analytical tools required to value such instruments. … Bond (CIB) -- 2.2.2 Interest Indexed Bond (IIB) -- 2.2.3 Current Pay Bond (CPB) -- 2.2.4 Indexed Annuity Bond (IAB) -- 2 …