Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/265233 
Year of Publication: 
2021
Series/Report no.: 
ESRB Working Paper Series No. 132
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
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.
Subjects: 
disaster risk
portfolio choice
non-linear income process
unemployment risk
disability risk
beta distribution
JEL: 
D15
E21
G11
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-239-3
Document Type: 
Working Paper

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