Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences

Equilibrium Asset Pricing with Epstein-Zin and Loss-Averse Investors

We study multi-period equilibrium asset pricing in an economy with EZ-agents whose preferences for consumption are represented by recursive utility and with LAagents who experience additional utility of trading gains and losses and are averse to losses. We propose an equilibrium gain-loss ratio for stocks and show that the LAagents hold less (more) stocks than the EZ-agents if and only if the L...

Optimal Funding and Investment Strategies in Defined Contribution Pension Plans under Epstein-Zin Utility

A defined contribution pension plan allows consumption to be redistributed from the plan member’s working life to retirement in a manner that is consistent with the member’s personal preferences. The plan’s optimal funding and investment strategies therefore depend on the desired pattern of consumption over the lifetime of the member. We investigate these strategies under the assumption that th...

Consumption-investment optimization with Epstein-Zin utility in incomplete markets

In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and elasticity of intertemporal substitution are in excess of one, we characterize optimal consumption and investment strategies via backward stochastic differ...

Stochastic Mortality Under Measure Changes

We provide a self-contained analysis of a class of continuous-time stochastic mortality models that have gained popularity in the last few years. We describe some of their advantages and limitations, examining whether their features survive equivalent changes of measures. This is important when using the same model for both market-consistent valuation and risk management of life insurance liabi...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran