Erlandzon, KarlCarlsson, Evert2006-10-302007-02-092007-02-0920061403-2465http://hdl.handle.net/2077/2683This paper investigates the diversification demand of an agent, who is faced with the alternative to swap aggregate labour-income risk for equity-exposure, through her individual account in a mandatory-pension scheme. The framework for the analysis is a life-cycle model of a borrowing-constrained individual´s consumption- and portfolio-choice in the presence of uncertain labour-income and realistically calibrated tax- and pension systems. Pension benefits stem from both defined benefit and notionally defined contributions part, the latter being indexed to stochastic aggregate labour-income. We show that agents, depending on age and swap premium, agents will be either buyers or sellers of such a swap, and that inter-generational risk sharing can therefore be achieved.23 pages207666 bytesapplication/pdfenLife-cycle; portfolio choice; pensions; Shiller-swapReportEconomics