Life-cycle risk-taking with personal disaster risk

by Fabio C. Bagliano, Carolina Fugazza, Giovanna Nicodano

This paper examines households' self-insurance in financial markets when a rare personal disaster, such as disability or long-term unemployment, may occur during working years. Personal disaster risk alters lifetime ex-ante investment choices, even if most workers will not experience a disaster. Uncertainty about the size of human capital losses, which characterizes rare disasters, results in lower risk-taking at the beginning of working life, and is crucial in order to match the observed age profiles of US investors from 1992 to 2016.

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Year of publication:	[2021]
Authors:	Bagliano, Fabio C. ; Fugazza, Carolina ; Nicodano, Giovanna
Publisher:	Frankfurt am Main, Germany : European Systemic Risk Board
Subject:	disaster risk \| portfolio choice \| non-linear income process \| unemployment risk \| disability risk \| beta distribution \| Risiko \| Risk \| Portfolio-Management \| Portfolio selection \| Katastrophe \| Disaster \| Theorie \| Theory \| Arbeitslosigkeit \| Unemployment \| Risikomanagement \| Risk management \| Lebenszyklus \| Life cycle \| Risikopräferenz \| Risk attitude \| Risikoprämie \| Risk premium \| Privater Haushalt \| Household

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Extent:	1 Online-Ressource (circa 50 Seiten) Illustrationen
Series:	Working paper series. - Frankfurt am Main, Germany : European Systemic Risk Board, ISSN 2467-0677, ZDB-ID 2930716-8. - Vol. no 132 (December 2021)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Amtsdruckschrift ; Government document ; Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-92-9472-239-3
Other identifiers:	10.2849/095447 [DOI] hdl:10419/265233 [Handle]
Classification:	d15 ; E21 - Consumption; Saving ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012793436