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Research Group on Risk in Finance and Insurance
RFA - IREA - University of Barcelona


Barcelona Insurance and Risk Management
Summer School
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 July 12-14th, 2010


Reading List

Required Readings
  • Albrecht, P.; R. Maurer (2002): Self-Annuitization, Consumption Shortfall in Retirement, and Asset Allocation: The Annuity Benchmark. Journal of Pension Economics and Finance 1, 269–288.
  • Cairns, A., Blake, D., Dowd, K. (2008): Modeling and management of mortality risk: A review. Scandinavian Actuarial Journal 2-3, 79-113.
  • Chai, J; Horneff, W., Maurer, R., Mitchell (2009): Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts, NBER Working Paper Nr. 15079.
  • Horneff, W., Maurer, R., Mitchell, O.S., Stamos, M. (2009): Asset allocation and location over the life cycle with survival-contingent payouts. Journal of Banking and Finance 33, 1688-1699.
  • Horneff, W., Maurer, R.; Rogalla, R. (2010): Dynamic portfolio choice with deferred annuities, accepted Journal of Banking and Finance
  • Milevsky, M.A (2006): The Calculus of Retirement Income: Financial Models for Pension Annuities and Life Insurance, Chapter 3, 5 and 6.
  • Polkovnichenko, V. (2007): Life cycle portfolio choice with additive habit formation and uninsurable labor income risk. Review of Financial Studies, 20, 83-124.
  • Sullivan, D (1971): A Single Index of Mortality and Morbidity. HSMHA Health Reports 86, 347–354.
  • Wittemberg, R, Sandhu, B., Knapp, M. (2002): Funding long-term care: the public and private options. Chapter 10. Funding Health Care: Options for Europe edited by Elias Mosialos et al. 226-249.
  • Yao, R., Zhang, H.H. (2005): Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints. Review of Financial Studies 18, 197-239

Additional Readings
  • Brown, J.R., Finkelstein (2009): The Private Market for Long-Term Care Insurance in the United States: A Review of the Evidence. Journal of Risk and Insurance 76, 5-29.
  • Brown, J.R., Finkelstein, A. (2008): The Interaction of Public and Private Insurance: Medicaid and the Long-Term Care Insurance Market. American Economic Review 98, 1083-1102.
  • Cocco, J., Gomes, F., Maenhout, P. (2005): Consumption and portfolio choice over the life cycle. Review of Financial Studies 18, 491–533.
  • Crimmins, E., Hayward, M., Saito, Y. (1994): Changing Mortality and Morbidity Rates and the Health Status and Life Expectancy of the Older Population. Demography 31, 159–175.
  • Davidoff, T., Brown, J., Diamond, P. (2005): Annuities and individual welfare. American Economic Review 95, 1573–1590.
  • Dus,I. Maurer,R., Mitchell, O. S. (2005): Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans. Financial Service Review 14, 169-196.
  • Feder, J., Komisar, H.L., Niefeld, M. (2000): Long-term care in the United States: an overview. Health Affairs 19, 40-56.
  • Gomes, F., Kotlikoff, L., Viceira, L.M. (2008): Optimal life-cycle investing with flexible labor supply: A welfare analysis of life-cycle funds. American Economic Review: Papers & Proceedings 98, 297-303.
  • Guillén, M., Pinquet, J. (2008): Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase. The Geneva Papers 33, 659–672.
  • Horneff, W., Maurer, R., Mitchell, O.S., Stamos, M. (2010): Variable Payout Annuities and Dynamic Portfolio Choice in Retirement. Journal of Pension Economics and Finance 9, 163-183.
  • Horneff, W., Maurer, R., Stamos, M. (2008): Life-cycle asset allocation with annuity markets. Journal of Economic Dynamics and Control 32, 3590–3612.
  • Horneff, W., Maurer, R., Stamos, M. (2008): Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities. Journal of Risk and Insurance 75, 1019-1038.
  • Horneff, W., Maurer, R., Stamos, M. (2008): Life-Cycle Asset Allocation with Annuity Markets. Journal of Economic Dynamics and Control 32, 3590-3612.
  • Horneff, W., Maurer, R., Stamos, M., Dus, I. (2008): Following the Rules: Integrating Asset Allocation and Annuitization in Retirement Portfolios. Insurance: Mathematics and Economics 42, S. 396-408.
  • Kessler, D. (2008): The Long-Term Care Insurance Market. The Geneva Papers 33, 33-34.
  • Milevsky, M. (2005): Real longevity insurance with a deductible: Introduction to advanced-life delayed annuities (ALDA). North American Actuarial Journal 9, 109–122.
  • Miller, E.A., Mor V., Clark, M. (2009) Reforming Long-Term Care in the United States: Findings From a National Survey of Specialists. The Gerontologist, 50, 2, 238-252.
  • Murtaugh, C., Spillman, B., Warshawsky, M. (2001): In Sickness and in Health: an Annuity Approach to Financing Long-Term Care and Retirement Income. Journal of Risk & Insurance 68, 225-254.
  • Pinquet, J., Guillén, M., Ayuso, M. (2010): Commitment and Lapse Behavior in Long-Term Insurance: A Case Study. Working Papers HEC.
  • Reimat, A. (2009): Welfare regimes and long-term care for elderly people in Europe. The European Social Model in a Global Perspective. IMPALLA-ESPAnet Joint conference. March 6-7, 2009.