On the effects of changing mortality patterns on investment, labour and consumption under uncertainty

Ewald, C.-O. and Zhang, A. (2017) On the effects of changing mortality patterns on investment, labour and consumption under uncertainty. Insurance: Mathematics and Economics, 73, pp. 105-115. (doi: 10.1016/j.insmatheco.2017.01.008)

Abstract

In this paper we extend the consumption-investment life cycle model for an uncertain-lived agent, proposed by Richard (1974), to allow for exible labor supply. We further study the consumption, labor supply and portfolio decisions of an agent facing age-dependent mortality risk, as presented by UK actuarial life tables spanning the time period from 1951-2060 (including mortality forecasts). We find that historical changes in mortality produces significant changes in portfolio investment (more risk taking), labour (decrease of hours) and consumption level (shift to higher level) contributing up to 5% to GDP growth during the period from 1980 until 2010.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Ewald, Professor Christian
• Authors: Ewald, C.-O., and Zhang, A.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Insurance: Mathematics and Economics
• Publisher: Elsevier
• ISSN: 0167-6687
• ISSN (Online): 1873-5959
• Published Online: 08 February 2017
• Copyright Holders: Copyright © 2017 Elsevier B.V.
• First Published: First published in Insurance: Mathematics and Economics 73: 105-115
• Publisher Policy: Reproduced in accordance with the publisher copyright policy