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

该项目的目标是在离散时间的现实校准的生命周期模型的背景下，分析健康风险对私人投资者的最佳储蓄和投资组合决策的财务后果。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他们申领社保退休福利的年龄。面对长寿风险、资本市场风险、劳动收入风险以及健康风险，他们不得不这样做。虽然到目前为止，金融学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产生以及劳动力收入过程和生存概率的变化来影响投资者的行为。除了公共社会保障体系，家庭有两种选择来保护自己免受健康风险的经济后果的影响。他们可以积累金融财富，这反过来需要在可用资产类别(例如股票和固定收益工具)之间进行最佳配置，或者他们可能购买私人保险(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允许分析不同决策和风险类别之间的相互依赖关系，填补了文献中的重大差距。此外，由于私营和公共部门的社会保障机构正在进行改革，该项目的成果对社会和经济政策都具有重要意义。

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.