Health and (Other) asset holdings

Review of Economic Studies

Volumn 80, Issue 2, 2013, Pages 663-710

  Hugonnier, Julien ^a   Pelgrin, Florian ^b   St amour, Pascal ^b  

^a EPFL   (Switzerland)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

Author keywords

Consumption; Health expenditures and insurance; Mortality and morbidity risks; Portfolio; Values of life and of health

Indexed keywords

CONSUMPTION BEHAVIOR; HEALTH EXPENDITURE; HEALTH INSURANCE; HEALTH RISK; INVESTMENT; MORBIDITY; MORTALITY; WELFARE ECONOMICS;

EID: 84877047629     PISSN: 00346527     EISSN: 1467937X     Source Type: Journal    
DOI: 10.1093/restud/rds033     Document Type: Article

References (88)

1. ABEL, A. B. and EBERLY, J. C. (1994), "A Unified Model of Investment Under Uncertainty", American Economic Review, 84, 1369-1384.
2. ALAN, S. and BROWNING, M. (2010), "Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation", Review of Economic Studies, 77, 1231-1261.
3. ALAN, S., ATTANASIO, O. and BROWNING, M. (2009), "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators", Journal of Applied Econometrics, 24, 309-324.
4. BARROS, P. P.,MACHADO, M. P. and SANZ-DE GALDEANO, A. (2008), "Moral Hazard and the Demand for Health Services: AMatching Estimator Approach", Journal of Health Economics, 27, 1006-1025.
5. BECKER, G. S., PHILIPSON, T. J. and SOARES, R. R. (2005), "The Quantity and Quality of Life and the Evolution of World Inequality", American Economic Review, 95, 277-291.
6. BENITEZ-SILVA, H. and NI, H. (2008), "Health Status and Health Dynamics in an Empirical Model of Expected Longevity", Journal of Health Economics, 27, 564-584.
7. BERKOWITZ, M. K. and QIU, J. (2006), "A Further Look at Household Portfolio Choice and Health Status", Journal of Banking and Finance, 30, 1201-1217.
8. BIEDERMAN, D. K. and GOENNER, C. F. (2008), "A Life-Cycle Approach to the Intertemporal Elasticity of Substitution", Journal of Macroeconomics, 30, 481-498.
9. BODIE, Z., MERTON, R. C. and SAMUELSON, W. F. (1992), "Labor Supply Flexibility and Portfolio Choice in a Life Cycle Model", Journal of Economic Dynamics and Control, 16, 427-449.
10. BOMMIER, A. (2006), "Uncertain Lifetime and Intertemporal Choice: Risk Aversion as a Rationale for Time Discounting", International Economic Review, 47, 1223-1246.
11. BOMMIER, A. (2010), "Portfolio Choice Under Uncertain Lifetime", Journal of Public Economic Theory, 12, 57-73.
12. BOMMIER, A. and ROCHET, J.-C. (2006), "RiskAversion and Planning Horizons", Journal of the European Economic Association, 4, 708-734.
13. BRAV, A., CONSTANTINIDES, G. M. and GEZCY, C. C. (2002), "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence", Journal of Political Economy, 110, 793-824.
14. BRUNNERMEIER, M. K. and NAGEL, S. (2008), "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence On Individuals' Asset Allocation", American Economic Review, 98, 713-736.
15. CALVET, L. E. and SODINI, P. (2010), "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios", (Working Paper 15859, National Bureau of Economic Research).
16. CAMPBELL, J. Y. and VICEIRA, L. M. (2002), Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (New York: Oxford University Press).
17. CARDON, J. H. and HENDEL, I. (2001), "Asymmetric Information in Health Insurance: Evidence from the National Medical Expenditure Survey", RAND Journal of Economics, 32, 408-427.
18. CARROLL, C. D. and SAMWICK, A.A. (1997), "The Nature of PrecautionaryWealth", Journal of Monetary Economics, 40, 41-71.
19. CARROLL, C. D. and SAMWICK, A. A. (1998), "How Important is Precautionary Saving?", The Review of Economics and Statistics, 80, 410-419.
20. CHANG, F.-R. (1996), "Uncertainty and Investment in Health", Journal of Health Economics, 15, 369-376.
21. CHANG, F.-R. (2005), "ATheory of Health Investment under Competing Mortality Risks", Journal of Health Economics, 24, 449-463.
22. COILE, C. and MILLIGAN, K. (2009), "How Household Portfolios Evolve after Retirement: The Effect of Aging and Health Shocks", Review of Income and Wealth, 55, 226-248.
23. DE NARDI, M., FRENCH, E. and JONES, J. B. (2009), "Life Expectancy and Old Age Savings", American Economic Review, 99, 110-115.
24. DELLACHERIE, C. (1970), "Un Exemple de la Théorie Générale des Processus. In Séminaire de Probabilités IV Université de Strasbourg. Vol. 124 of Lecture Notes in Mathematics (Berlin, Heidelberg: Springer) pp. 60-70.
25. DOMEIJ, D. and JOHANNESSON, M. (2006), "Consumption and Health", B.E. Journal of Macroeconomics: Contributions to Macroeconomics, 6, 1-30.
26. DUFFIE, D. and EPSTEIN, L. G. (1992a), "Asset Pricing with Stochastic Differential Utility", Review of Financial Studies, 5, 411-436.
27. DUFFIE, D. and EPSTEIN, L. G. (1992b), "Stochastic Differential Utility", Econometrica, 60, 353-394.
28. DUFFIE, D., FLEMING, W., SONER, H. M. and ZARIPHOPOULOU, T. (1997), "Hedging in Incomplete Markets with Hara Utility", Journal of Economic Dynamics and Control, 21, 753-782.
29. DYNAN, K. E., SKINNER, J. and ZELDES, S. P. (2004), "Do the Rich Save More?", Journal of Political Economy, 112, 397-444.
30. EDWARDS, R. D. (2008), "Health Risk and Portfolio Choice", Journal of Business and Economic Statistics, 26, 472-485.
31. EHRLICH, I. (2000), "Uncertain Lifetime, Life Protection and the Value of Life Saving" Journal of Health Economics, 19, 341-367.
32. EHRLICH, I. and CHUMA, H. (1990), "AModel of the Demand for Longevity and theValue of Life Extension", Journal of Political Economy, 98, 761-782.
33. EHRLICH, I. and YIN, Y. (2005), "Explaining Diversities in Age-specific Life Expectancies and Values of Life Saving: A Numerical Analysis", Journal of Risk and Uncertainty, 31, 129-162.
34. ENGELHARDT, G.V. and KUMAR, A. (2009), "The Elasticity of Intertemporal Substitution: New Evidence from 401(k) Participation". Economics Letters. forthcoming.
35. EPSTEIN, L. G. and ZIN, S. E. (1989), "Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: ATheoretical Framework", Econometrica, 57, 937-969.
36. FINKELSTEIN, A., LUTTMER, E. F. P. and NOTOWIDIGDO, M. J. (2008), "What Good is Wealth Without Health? The Effect of Health on the Marginal Utility of Consumption", (Working Paper 14089, National Bureau of Economic Research).
37. FINKELSTEIN, A., LUTTMER, E. F. P. and NOTOWIDIGDO, M. J. (2009), "Approaches to Estimating the Health State Dependence of the Utility Function", American Economic Review, 99, 116-121.
38. FRENCH, E. (2005), "The Effects of Health, Wealth, andWages on Labour Supply and Retirement Behaviour", Review of Economic Studies, 72, 395-427.
39. GERTLER, P. and GRUBER, J. (2002), "Insuring Consumption against Illness", American Economic Review, 92, 51-76.
40. GILLESKIE, D. B. and MROZ, T. A. (2004), "A Flexible Approach for Estimating the Effects of Covariates on Health Expenditures", Journal of Health Economics, 23, 391-418.
41. GORMLEY, T., LIU, H. and ZHOU, G. (2010), "Limited Participation and Consumption-Saving Puzzles: A Simple Explanation and the Role of Insurance", Journal of Financial Economics, 96, 331-344.
42. GOURINCHAS, P.-O. and PARKER, J. A. (2002), "Consumption over the Life Cycle", Econometrica, 70, 47-89.
43. GROSSMAN, M. (1972), "On the Concept of Health Capital and the Demand for Health", Journal of Political Economy, 80, 223-255.
44. GUO, S. (2010), "The Superior Measure of PSID Consumption: An Update", Economics Letters, 108, 253-256.
45. HAKANSSON, N. H. (1969), "Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance", International Economic Review, 10, 443-466.
46. HALL, R. E. and JONES, C. I. (2007), "The Value of Life and the Rise in Health Spending", Quarterly Journal of Economics, 122, 39-72.
47. HAYASHI, F. (1982), "Tobin's Marginal q and Average q: A Neoclassical Interpretation", Econometrica, 50, 213-224.
48. HICKS, J. (1956), A Revision of Demand Theory (Oxford: Clarendon Press).
49. HURD, M. D. (1987), "Savings of the Elderly and Desired Bequests", American Economic Review, 77, 298-312.
50. HURD, M. D. (2002), "Are Bequests Desired or Accidental", (Working Paper Series DRU-3010, RAND, January).
51. HURD, M. D., MCFADDEN, D. and MERRILL, A. (2001), "Predictors of Mortality among the Elderly", In "Themes in the economics of aging" NBER Conference Report series (Chicago and London: University of Chicago Press) 171-197.
52. JAPPELLI, T. and PISTAFERRI, L. (2010), "The Consumption Response to Income Changes", (Working paper 15739, National Bureau of Economic Research).
53. KAESTNER, R. and KAUSHAL, N. (2003), "Welfare Reform and Health Insurance Coverage of Low-Income Families", Journal of Health Economics, 22, 959-981.
54. KHWAJA, A. (2010), "Estimating Willingness to Pay for Medicare using a Dynamic Life-Cycle Model of Demand for Health Insurance", Journal of Econometrics, 156, 130-147.
55. KREPS, D. M. and PORTEUS, E. L. (1979), "Temporal von Neumann-Morgenstern and Induced Preferences", Journal of Economic Theory, 20, 81-109.
56. LAPORTE, A. and FERGUSON, B. S. (2007), "Investment in Health When Health is Stochastic", Journal of Population Economics, 20, 423-444.
57. LAZRAK, A. and QUENEZ, M. C. (2003), "A Generalized Stochastic Differential Utility", Mathematics of Operations Research, 28, 154-180.
58. LEE, C.-I. (2008), "On-the-Job Human Capital Investment and Intertemporal Substitution: New Evidence on Intertemporal Substitution Elasticity", Journal of Economic Dynamics and Control, 32, 3350-3375.
59. LUBITZ, J., CAI, L.,KRAMAROW, E. and LENTZNER, H. (2003), "Health, Life Expectancy, and Health Care Spending among the Elderly", New England Journal of Medicine, 349, 1048-1055.
60. MARSHALL, S., MCGARRY, K. M. and SKINNER, J. S. (2010), "The Risk of Out-of-Pocket Health Care Expenditure at End of life", (Working paper 16170, National Bureau of Economic Research).
61. MEHRA, R. and PRESCOTT, E. C. (1985), "The Equity Premium: A Puzzle", Journal of Monetary Economics, 15, 145-161.
62. MERTON, R. C. (1971), "Optimum Consumption and Portfolio Rules in a Continuous-Time Model", Journal of Economic Theory, 3, 373-413.
63. OBSTFELD, M. (1994), "Risk-Taking, Global Diversification, and Growth", American Economic Review, 84, 1310-1329.
64. PICONE, G., URIBE, M. and WILSON, R. (1998), "The Effect of Uncertainty on the Demand for Medical Care, Health Capital andWealth", Journal of Health Economics, 17, 171-185.
65. PROTTER, P. E. (2004), Stochastic Integration and Differential Equations (New York: Springer).
66. RICHARD, S. F. (1975), "Optimal Consumption, Portfolio and Life Insurance Rules for an Uncertain Lived Individual in a Continuous Time Model", Journal of Financial Economics, 2, 187-203.
67. ROSEN, H. S. and WU, S. (2004), "Portfolio Choice and Health Status", Journal of Financial Economics, 72, 457-484.
68. ROSEN, S. (1988), "The Value of Changes in Life Expectancy", Journal of Risk and Uncertainty, 1, 285-304.
69. SALTARI, E. and TICCHI, D. (2007), "Risk Aversion, Intertemporal Substitution, and the Aggregate Investment- Uncertainty Relationship", Journal of Monetary Economics, 54, 622-648.
70. SHEPARD, D. S. and ZECKHAUSER, R. J. (1984), "SurvivalVersus Consumption", Management Science, 30, 423-439.
71. SKIADAS, C. (2008), "Dynamic Portfolio Choice and Risk Aversion", in Birge, J. R. and Linetsky, V. (eds) Financial Engineering, Vol. 15 of Handbooks in Operations Research and Management Science, chapter 19 (Elsevier) 789-843.
72. SKIADAS, C. (2009), "Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility", (manuscript, Kellogg School of Management, Department of Finance, Northwestern University).
73. SKINNER, J. (1987), "A Superior Measure of Consumption from the Panel Study of Income Dynamics", Economics Letters, 23, 213-216.
74. SMITH, J. P. (1999), "Healthy Bodies and Thick Wallets: The Dual Relation between Health and Economic Status", Journal of Economic Perspective, 13, 145-166.
75. SMITH, J. P. (2007), "The Impact of Socioeconomic Status on Health Over the Life-Course", Journal ofHumanResources, 42, 739-764.
76. SMITH, J. P. (2009), "The Impact of Childhood Health on Adult Labour Market Outcomes", Review of Economic and Statistics, 91, 478-489.
77. SMITH, R. D. (2005), "Sensitivity to Scale in Contingent Valuation: the Importance of the Budget Constraint", Journal of Health Economics, 24, 515-529.
78. SMITH, W. T. (1996), "Feasibility and Transversality Conditions for Models of Portfolio Choice with Non-Expected Utility in Continuous Time", Economics Letters, 53, 123-131.
79. SOCIAL SECURITY ADMINISTRATION (2007), "Period Life Tables", In Actuarial Publications. http://www.ssa.gov/oact/STATS/table4c6.html.
80. SVENSSON, L. E. O. (1989), "Portfolio Choice with Non-expected Utility in Continuous Time", Economics Letters, 30, 313-317.
81. UZAWA, H. (1969), "Time Preference and the Penrose Effect in a Two-Class Model of Economic Growth", Journal of Political Economy, 77, 628-652. Part 2: Symposium on the Theory of Economic Growth.
82. VISSING-JøRGENSEN, A. (2002), Limited Asset Market Participation and the Elasticity of Intertemporal Substitution", Journal of Political Economy, 110, 825-853.
83. WACHTER, J. A. and YOGO, M. (2010), "Why Do Household Portfolio Shares Rise in Wealth?", Review of Financial Studies, 23, 3929-3965.
84. WEIL, P. (1989), "The Equity Premium Puzzle and the Risk-Free Rate Puzzle", Journal of Monetary Economics, 24, 401-421.
85. WU, S. (2003), "Sickness and Preventive Medical Behavior", Journal of Health Economics, 22, 675-689. YAARI, M. (1965), "Uncertain Lifetime, Life Insurance and the Theory of the Consumer", Review of Economic Studies, 52, 137-150.
86. YAARI, M. (1965), "Uncertain Lifetime, Life Insurance and the Theory of the Consumer", Review of Economic Studies, 52, 137-150.
87. YANG, Z., GILLESKIE, D. B. and NORTON, E. C. (2009), "Health Insurance, Medical Care, and Health Outcomes: A Model of Elderly Health Dynamics", Journal of Human Resources, 44, 47-114.
88. YOGO, M. (2009), "Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets", (NBERWorking Paper 15307, National Bureau Of Economic Research, September).