Recursive Preferences, the Value of Life, and Household Finance

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Event details

Date 04.10.2024
Hour 14:0015:00
Speaker Antoine Bommier - ETH Zurich
Location
UniL Campus, Room Extra 126
Online
Category Conferences - Seminars
Event Language English

We analyze lifecycle saving using a recursive utility model calibrated to match estimates of the value of a statistical life. The novelty of our approach is that we require preferences to be monotone with respect to first-order stochastic dominance while disentangling risk aversion and the intertemporal elasticity of substitution. We show that, with a positive value of life, risk aversion reduces each of savings, stock market participation, and annuity purchase. Risk averse agents insure against early death by consuming more when young and retaining wealth for bequests. These results contrast with those of previous studies using non-monotonic recursive models.
This is joint work with François Le Grand, Cormac O’Dea and Daniel Harenberg.

Practical information

  • Informed public
  • Free

Organizer

  • UniL Actuarial Seminar joint with EPFL

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