Repository logo

Department of Finance and Real Estate

Permanent URI for this community

https://hdl.handle.net/10217/206603
This digital collection includes faculty publications from the Department of Finance and Real Estate and publications from the Everitt Real Estate Center.

Browse

Browsing Department of Finance and Real Estate by Author "Bajtelsmit, Vickie L., author"

Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Household financial planning strategies for managing longevity risk
    (Colorado State University. Libraries, 2018-09-19) Bajtelsmit, Vickie L., author; Wang, Tianyang, author; Financial Planning Review, publisher
    This study examines how longevity risk, in conjunction with other postretirement risks, impacts retirement consumption decisions and retirement wealth needs. We develop a theoretical model that directly examines the relationship between longevity risk and consumption/savings, and empirically test these theoretical implications by simulating retirement outcomes for representative households, including longevity, inflation, investment, health, and long‐term care risks. Our study shows that the top third of households by longevity need approximately 20% more retirement wealth than those households who live only an average life span. Investigations of various risk mitigation strategies suggest that combination strategies, particularly those that include delayed retirement, can significantly reduce the retirement wealth target. This research provides valuable new insights on household financial planning strategies for managing longevity risk.
  • Thumbnail Image
    ItemOpen Access
    Life insurer cost of equity with asymmetric risk factors
    (Colorado State University. Libraries, 2015-07-16) Bajtelsmit, Vickie L., author; Villupuram, Sriram V., author; Wang, Tianyang, author; The Financial Review, publisher
    This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures of market risk have been shown to be priced factors for the broader equity market, life insurer realized equity returns include a much larger premium for bearing downside risk, even after controlling for firm characteristics and other measures of risk. Cross‐sectional regression analysis finds a positive (negative) premium for downside (upside) betas, conditional on down and up markets, respectively. Coskewness and cokurtosis are also priced factors.