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The Impact of Health Risk on Dynamic Portfolio Choice over the Life Cycle

健康风险对生命周期动态投资组合选择的影响

基本信息

批准号：
258464417
负责人：
Professor Dr. Raimond Maurer
金额：
--
依托单位：
Lehrstuhl für Investment, Portfolio-Management und Alterssicherung
依托单位国家：
德国
项目类别：
Research Grants
财政年份：
2014
资助国家：
德国
起止时间：
2013-12-31 至 2016-12-31
项目状态：
已结题

来源：
https://gepris.dfg.de/gepris/projekt/258464417?language=en
关键词：
Impact Health Risk Dynamic Portfolio

项目摘要

The goal of this project is to analyze the financial consequences of health risks on optimal savings and portfolio decisions of private investors within the context of a realistically calibrated life cycle model in discrete time. In this model, investors have access to capital and insurance markets; they decide on their labor supply as well as the age at which they claim social security retirement benefits. They have to do so in the face of longevity, capital market, and labor income risks as well as health risks. While the Finance literature, to a great extent, has neglected health risks so far, these risks influence investor behavior through the incurrence of health costs as well as through changes in the labor income process and the survival probabilities. Apart from the public social security system, households have two alternatives to protect themselves against the financial consequences of health risks. They may either build up financial wealth, which in turn requires an optimal allocation between available asset classes (e.g. stocks and fixed income instruments),or they may buy private insurance (health, long term care or private pensions). The life cycle model we plan to develop and calibrate allows an analysis of the interdependencies between the different decisions and risk categories, closing an substantial gap in the literature. Furthermore, since private and public sector social security institutions are in the process of reform, the results of this project are relevant for both social and economic policy.

该项目的目标是分析健康风险对私人投资者最佳储蓄和投资组合决策的财务后果，在离散时间的现实校准的生命周期模型的背景下。在这种模式下，投资者可以进入资本和保险市场;他们决定自己的劳动力供应以及领取社会保障退休福利的年龄。他们不得不这样做，面对长寿，资本市场，劳动收入风险以及健康风险。虽然金融文献在很大程度上忽略了健康风险，但这些风险通过健康成本的发生以及劳动收入过程和生存概率的变化来影响投资者的行为。除了公共社会保障制度外，家庭还有两种选择来保护自己免受健康风险的财务后果。他们可以积累金融财富，这反过来又需要在现有资产类别（如股票和固定收入工具）之间进行最佳配置，或者他们可以购买私人保险（健康、长期护理或私人养老金）。我们计划开发和校准的生命周期模型可以分析不同决策和风险类别之间的相互依赖关系，从而缩小文献中的巨大差距。此外，由于私营和公共部门的社会保障机构正在进行改革，该项目的结果对社会和经济政策都有意义。