Netspar Annual Report 2008 Report Annual Netspar 2008

Visiting address Faculty of Economics and Business Administration Tilburg University Warandelaan 2 5037 AB Tilburg

Postal address P.O. Box 90153 5000 LE Tilburg The Netherlands Phone +31 13 466 2109 E-mail: [email protected] www.netspar.nl Annual Report Annual Report

2008 Annual Report Annual Report

Contents

Preface 7

State of Affairs 11

Internationalization and Research 16

Education 22 Contents Sharing Knowledge 28

Appendices 33

Colophon 64

The Promise She wants to become a doctor. She wants to travel the world and do good works in distant places. She wants to fall in love. She wants a beautiful house. She wants to have children. But not right now. Right now she’s doing well in her first summer job. And while she serves the customers and cleans the shop, she has ample time to think about her future. Her great expectations don’t even seem exaggerated or profane. Her license to dream is one of the blessings of youth. If she’s lucky, she might even get it all.

Preface

This annual report for the period April 2008 until March 2009 7 surveys the many activities that Netspar — now four years old — has developed during this year. The global financial

Preface crisis has created a long list of new questions and issues that must be addressed — both in academic research and in the current policy debate. Netspar interacts with its partners to find answers to all of these new challenges by shifting the frontier of knowledge, by providing education and, last but not least, through various forms of knowledge exchange with the pension and insurance industry. More events have been organized that focus on the interaction with professionals in the sector. Moreover, the number of papers written by Netspar researchers that directly address current policy issues has increased significantly, and working group meetings have successfully been introduced that assure a degree of confidentiality when discussing sensitive issues.

In 2008, Netspar and Holland Financial Centre (HFC) jointly developed the innovation program Retirement Management, which outlines the many excellent opportunities to benefit from innovation and further improvements in the interaction between knowledge centers and the pension and insurance industry. Needless to say, Netspar’s Advisory Board strongly supports this initiative and hopes that it can be implemented in the very near future.

I gladly accepted the invitation to chair Netspar’s Advisory Board as of September 1, 2008. Netspar is an inspiring initiative that has a lot to offer to all its partners, both in academia and in the private and public sector!

Jan Willem Oosterwijk Erasmus University Rotterdam Chairman of Netspar’s Advisory Board The Congregation Sister She has entered the convent of career and wears her habit with pride. Five years ago she devoted her life to her work. She is already in her third job now. At two o’clock she attends a meeting in The City of London. During her flight back she writes a well thought-out report for her bosses. At nine o’clock she eats a simple supper in front of the television. Exhausted, she climbs into her single bed. Just before she falls asleep a sudden thought startles her: a profound desire for a baby.

Based on the evaluations of Netspar’s Scientific Council and the recommendations of its council of private partners, new research themes have been selected for the period 2009 – 2012. These new research themes in part help Netspar to take up the challenge of the evaluation committee to enrich its research program with insights from other disciplines, such as psychology.

Supporting Consumer Pension Decision-Making Online Theme coordinator: Benedict Dellaert (EUR)

In recent years, the range of available pension- and related income-provision products has expanded significantly. This trend is likely to continue in the future. Consumers are potentially better off, given the rich product menu — but are they really willing and capable to act on 10 this potential welfare gain? How can individuals be classified in terms of their willingness to consider pension decisions? How can they best be assisted in formulating their future needs when retiring? This theme’s focus is on the role of online systems and interactive decision aids in answering these questions. Netspar Research New Themes for 2009-2012 The Economics and Psychology of Lifecycle Decision-Making Theme coordinators: Peter Kooreman and Jan Potters (both UvT)

Lifecycle decisions — especially with regard to pensions and insurance— are increasingly left to individuals. This second Netspar theme aims to expand our empirical knowledge about lifecycle decision-making. In order to make better models, predictions and recommendations, we need a better understanding of people’s preferences, probability and risk perceptions, and decision strategies. This theme’s researchers use experiments from both economics and the social sciences to improve our knowledge of lifecycle decision-making. State of Affairs Affairs of State

The Influence of Market Imperfections on Recovery Strategies for Pension Funds Theme coordinator: Laura Spierdijk (RUG)

The academic literature largely ignores market imperfections in large institutional trades. The recent financial crisis has made it crystal clear how important liquidity issues and the absence of trading opportunities can be. Likewise, the crisis has demonstrated how shocks may easily spread out from one market to another and from the local to the global level. The research question in this third theme is concerned with what asset and liability strategies are optimal for pension funds, in the presence of market imperfections and systemic risks.

Netspar’s Research Opportunities 11 The year 2008 was the year of the credit crisis. Pension systems were also seriously hit by the turmoil in the financial markets. Buffers of pension funds and insurance companies have been eroded by steep falls in stock prices as well as by declining long-term interest rates. The most important task for pension funds and insurance companies is to simply survive. The next challenge will be to prepare for the long-term consequences of the credit crisis.

Many issues need to be studied: the implications for risk management, for example, and which funded systems world- wide have best weathered the current perfect storm. We need to find out which changes in pension contracts are needed, now that buffers have eroded, and to explore how the financial-market shocks have affected retirement behavior and the labor market for older workers. We must also find out the consequences for the behavior of investors and savers, as well as the implications of how their behavior affects financial markets, in general, and the rewards for risk-taking, in particular. Can institutional investors act as a stabilizing factor in turbulent financial markets, and how can they get involved in the reform of financial systems? We need to answer one question in particular: can institutional investors remain reliable long-term shareholders who provide risk- taking capital to financial institutions, given the fact that State of Affairs Affairs of State many governments are eager to sell their substantial stakes in their newly acquired banks and insurance companies?

The Dutch soccer legend Johan Cruyff believed in the saying that every dark cloud has a silver lining. This also applies to the current difficult times experienced by pension systems. Such a crisis reveals flaws in policies and pension practices that need correcting. The turmoil also provides a rich source of new data, which can clarify how financial markets operate and how this process can be improved. The key challenge is to learn from the dramatic events of 2008, so that the pension and insurance sector emerges better prepared for the challenges of our risky world. 12 Netspar is ready to help in this crucial learning process. An evaluation committee — comprised of representatives of Netspar’s partners and the Netherlands’ Organization for Scientific Research (NWO) as well as Netspar’s Scientific Council— evaluated Netspar in 2007. The outcome was positive, and came with two main recommendations. The first is to broaden Netspar’s research activities from the Netherlands to Europe and beyond, while exchanging pension knowledge across borders. The second major recommendation is to intensify contacts with Netspar’s private partners. Netspar has put a lot of effort into meeting these challenges, as described in the chapters Internationalization and Research and Sharing Knowledge.

Governance Frank van der Duyn Schouten, former Rector Magnificus of Tilburg University, has been appointed in the new position of general director of Netspar. As of April 1, 2009, he will govern the institute, together with scientific director Theo Nijman. Van der Duyn Schouten will focus on governing and management tasks, as well as external affairs. As such, he will enable the scientific directors Theo Nijman and Lans Bovenberg, in particular, to increase their contribution to the substance of Netspar and to the widening of its scientific base.

Netspar’s Advisory Board has appointed Jan Willem State of Affairs of State Oosterwijk as its chairman (as of September 1). Oosterwijk took over from Joep Schouten, the former chairman of pensions provider Cordares, who retired in 2008. The new chairman of the Advisory Board is also chairman of the executive board of the Erasmus University in Rotterdam. He was a member of the ‘Commissie Bakker’, which advised the Dutch government on labor market participation. Erik van Houwelingen of Aegon was chairman in the transition period in the first half of 2008. The development of Netspar over the period 2008 - 2011 will be monitored on behalf of the government sponsors by a committee installed at NWO. A committee of six members has been appointed for this task.

Living Longer in Good Health: Prospects, Strategies and Consequences 13

Scope Whereas the rise in life expectancy is one of the great successes of public health, it also poses significant challenges by threatening the sustainability of the pension system and inducing increased demand for social services, including healthcare. This Netspar theme aims to contribute to health policy strategies that will ultimately alleviate the consequences of aging for society, and to bring together a range of disciplines, such as public health, epidemiology, demography, healthcare policy and management, economics and econometrics. The theme uses the unique results of epidemiological studies, linked registration data of Statistics Netherlands (CBS) and mathematical modeling of population health in order to link various components of the entire survey.

Main Research Findings • The occurrence of disability is associated more with the proximity to death rather than with age, suggesting that rising life expectancy will be accompanied by an age increase at the onset of disability. • Obesity is likely to cause an individual to spend a larger part of life in disability, while smoking reduces life expectancy. • Disability is the main factor for long-term care for the elderly, while age and health status Theme have no discernable impact on use of these services. Thus, aging in and of itself does not lead to increased expenditures for long-term health care. However, forecasting these Mackenbach expenditures depends heavily on whether there will be a compression of disability. • Single elderly persons are more likely to use long-term care services. Following the individualization of society, this is a cause of concern. • Longevity risk depends strongly on the design of the pension arrangements. Pensioners with a combination of old-age pension rights as well as partner pension rights have a lower longevity risk than retirees with only an old-age pension. This applies even if the insured has the option to exchange partner pension rights for old-age rights at retirement date. • In order to better estimate the cost-effectiveness of prevention, future research should include indirect medical costs for extra life years in the new standard for economic evaluations of healthcare interventions.

The Acrobat Life has been generous to her: she gathered all the plates she can keep up in the air. Sometimes her juggle is a struggle; combining a job with a buzzing family life can be exhausting. Yet she feels rewarded. She shares household tasks with her partner – although usually she shares just a little bit more than he does. She doesn’t mind. Her part-time job seems to be a welcome distraction from the household that she runs. Her occasionally tired look can suddenly turn into a smile when she says: ‘These are the best years of my life.’

16 National and International Research Fellows Following the internationalization of the research activities, more than 120 researchers at universities and academic institutions in the Netherlands and abroad are now fellows of Netspar’s research network. They write research papers and participate in Netspar’s events and its education program. Fellows can apply for research funding for new and original work.

Several of the research fellows from non-Dutch institutions have begun contributing to the Netspar discussion papers in 2008, and have also participated in the bi-annual workshops. Workshops were organized in The Hague (June 2008, in cooperation with Statistics Netherlands (CBS)) and in Amsterdam (January 2009). The second workshop in 2009 will be held abroad (Stockholm).

Netspar aims at exporting and importing knowledge on aging and pensions through EU research funding. It participated with other European research institutes in defining the

and Research and Research European research agenda on pensions, aging and health. Workshops in Turin, Lausanne and Dublin prepared for the final conference in The Hague in 2009. This meeting, in combination with the associated papers, must help European funding agencies in prioritizing research subsidies.

Netspar research fellows also participated in several conferences organized by non-Dutch institutes abroad. Following a successful event in Italy (about Italian and Dutch pension problems) in 2007 — co-organized by pensions provider Cordares and the Dutch embassy — Netspar co-sponsored a conference on life cycle saving and investment at Boston University.

Reeling from the financial crisis and confronted by many individuals facing inadequate pension coverage, policymakers in the US are looking at the Dutch pension system for inspiration. Low-cost and employer-provided pension plans for saving, investment and annuitization have attracted Internationalization

increased interest in the US. These ideas may fit well within the (VU A) in Amsterdam. For example, researchers have been 17 priorities of the new Obama administration. looking into the relation between household finances and mortality risk, while others are combining register data to The Importance of Data: SHARE and COMPARE analyze the relation between healthcare utilization and Netspar continued its participation in the Survey of Health, socioeconomic status. Data from several sources are being Ageing and Retirement in Europe (SHARE), aimed at collecting used to study disability, mortality and life expectancy among internationally comparable data. It also supported the the elderly. \acquisition of specific data — including register data on pension entitlements — and access facilities. Experimental Data and Data on Stated Preferences SHARE is a multi-disciplinary and cross-national panel Netspar is subsidizing several projects on data collection by the database on health, socioeconomic status and social and Dutch CentER panel and its US counterpart, the RAND American family networks of more than 30,000 individuals aged 50 Life Panel. Survey data on preventative healthcare in both or over. Since 2004, fourteen European countries have countries have been collected, while a project is now underway contributed data to the project. Netspar researcher Arthur that measures risk and time preferences in the Netherlands for van Soest was Dutch country team leader until October 2008, the optimal design of third-pillar pension products. when he was succeeded by future Netspar director Frank van der Duyn Schouten. In addition, data in both countries on households’ considerations for long-term saving decisions have been Affiliated with SHARE is the EU-funded project COMPARE, collected, as well as data on preferences for gradual which is coordinated by Van Soest. COMPARE focuses on retirement, focusing on which scenarios for gradual improving the comparability of subjective measures of retirement are attractive to workers. Data on the Dutch economic and non-economic dimensions of well being across public’s expectations regarding future old-age benefits and countries. Interesting results thus far include the findings pensions are being collected on a monthly basis. that Dutch and Swedish citizens are the happiest among the countries considered, and that the healthcare systems across Research Highlights Europe show huge differences, with Poland and Italy scoring In 2008, one of Netspar’s PhD students was particularly poorly. extremely successful.

At present, SHARE’s third wave of data collection is focusing The thesis of Ralph Koijen qualified for the Tilburg at detailed retrospective life histories in fifteen countries, University’s prize for best dissertation of 2007 - including the Netherlands. 2008. His work, Essays on Asset Pricing, also scored well on a national level. The Royal Netherlands Register Data on Health and Socioeconomic Economic Association (KVS) voted Koijen’s thesis as Status the best. After completing his PhD thesis in Tilburg Netspar continues its cooperation with CBS on remote access at CentER and Netspar, Koijen obtained offers from to existing register data. Several researchers are already virtually all of the top schools in the US, and finally extensively using such facilities at the universities of Rotter- accepted a position as assistant professor at the dam, Tilburg, and Utrecht, as well as at the Free University University of Chicago.

Valuation and Risk Management for Insurance Companies and Pension Funds

Scope This theme focuses on the common ground between financial risks and ‘classic’ actuarial risks. The main applications are risk management and asset-liability management by pension funds and insurance companies. The emphasis is on internal risk management, external supervision and regulation.

Main Research Findings • The researchers found that higher returns of larger and more experienced private equity funds are caused mainly by higher risk exposures, rather than abnormal performance. Venture capital funds showed a high market beta, while beta for buy-out firms appeared to be low. • The political tensions between generations that are caused by ambiguity regarding the ownership of a pension fund’s assets can be solved through the introduction of generational accounts. Theories of consumption and portfolio choice show that the younger generations should be most exposed to equity due to their (relatively) risk-less human capital. • A framework has been developed for optimal investment decisions for insurance companies with risks that cannot be hedged. Use of stochastic control theory made it possible to derive the optimal policy for investment and dividends.

• A study of option-pricing anomalies revealed that jump risk and volatility risk are the main drivers behind the phenomenon of guarantees being substantially more expensive than most standard models suggest. Jump risk and volatility risk appear to be priced risk factors in the option markets. • A pricing framework for life insurance liabilities using utility indifference has been developed. The resulting pricing rule is linked to the best estimate, plus a market value margin rule-of- Theme Pelsser thumb. • Another project has analyzed how to choose regulatory intervention levels, in order to control the probability of a shortfall at an insurance company. It also looked into the interaction between the regulatory rule and the company’s risk management. • Analytical approximations have been derived for embedded options, such as profit-sharing features in combination with guarantees, for life insurance products. In practice, these options are usually valued through time-consuming ‘Monte Carlo simulations’.

Macroeconomic Aspects of the Three-Pillar System

Scope The research theme focuses on macroeconomic aspects of the Dutch state pension AOW (first pillar), the supplementary mandatory and collective pensions (second pillar) and the additional voluntary private savings (third pillar). Specifically, what weight should be given to each of the pillars, what should be the optimal pension contract in each pillar and what should the government’s role be in shaping the system?

Main Research Findings • Research on the gains from optimal risk-sharing between generations has shown that the optimal pension scheme may add up to 19% of lifetime consumption on account of inter- generational risk-sharing. • It may be possible to set up a pension plan that combines intergenerational risk-sharing with zero-discontinuity risk (of young generations opting out) – if there is enough difference between returns on pension savings and on private savings. • The optimal pension scheme – the one that would be chosen by a hypothetical social planner – cannot be reproduced nationally in case of an imbalance of labor supply. • Welfare gains from risk-sharing are more important than welfare losses following labor market distortions. In addition, pension funds may also have a welfare-increasing impact, because they act as a commitment device for workers. • In most pension funds, early retirement provision acts as a trap, because it induces most workers to retire well before the official retirement age. In order to have an effect on retirement behavior, pension reform must be drastic – as simulations have made clear. • A study on the international dimensions of pension reform has shown that benefits and costs that ensue as a result of a change from a pay-as-you-go set-up to a more capital- Theme Van Ewijk funded pension system are usually shared by neighboring countries. The Dream Catcher He built his first boat together with his father. The bug got him. After he had finished his study, he did a serious attempt to work as the ICT-specialist that his curriculum supposed him to be. But the bug kept itching. Two years ago he threw caution to the wind and followed his dream: building sailing boats. It’s a fulltime job now. Every dime he makes goes back into the business – and so far, he hasn’t even had time to think about his pension. He is sure about one thing, though: he will build his last boat together with his son.

22 Netspar has initiated the Master of Science in Economics and Finance of Aging (MSc EFA) at Tilburg University (UvT). This program focuses on training talented students who just have finished their bachelor degree, in order to become the new human capital of the sector. The MSc EFA started in September 2006. In 2007 (2008), eleven (twelve) students started this MSc program. Netspar has intensified its marketing efforts to persuade more students to study this highly rated master. Students in the MSc EFA are in general very satisfied with the program, which they regard as interesting and challenging. They value in particular the close link between the program, Netspar and the sector. It enables them to participate in many Education activities, such as the Netspar Workshop, guest lectures and company visits.

Courses on pensions and aging have also been added to other MSc programs. For example, Netspar sponsored three courses in the MSc Quantitative Finance and Actuarial Science at the UvT. These courses are meant to introduce students to the challenges in pensions and insurance, and to raise their interest in a career in the sector.

The internships at Netspar partner institutions are also a greatly appreciated part of Netspar’s educational activities. Students from both the MSc EFA and other programs base their MSc thesis on an internship with a partner institution, while a Netspar researcher and a professional from the partner are supervising these projects. These internships result in theses linking theory to practice, whereby students are able to gain valuable work experience. On the other hand, partner institutions can meet young talent. Assisted by the partner institutions, Netspar was able to offer many internship projects to students in the MSc EFA and in other relevant master programs. This resulted in sixteen thesis projects. Most of the MSc EFA graduates easily found a job – often at the company where they had conducted their internship. A new element was the Junior Pension Day, held in June, which gave the students the opportunity to present their problem statements, research plans and preliminary results to an audience of Netspar

researchers, company supervisors and fellow students. Netspar Thesis Awards 23 The initiative generated a great deal of useful discussion and In 2008, Netspar again presented € 3,000 awards feedback for further improvement of the students’ theses. for the best BSc, MSc and MPhil thesis on topics related to Netspar’s research program, in order The Netspar - UMBS Academy offers high - level postgraduate to encourage a wider interest among students in courses for professionals, managers and policymakers of pensions and aging-related subjects. The Netspar pension funds, banks, insurance companies, the public sector Editorial Board selected the prizewinners from all and supervisory boards. Due to the level of the courses and participating universities. their international and interactive nature, the Netspar- UMBS Academy is probably unique in the world. Each course The prize for best BSc thesis was awarded to Sjoerd addresses a specific theme about pensions and insurance. Timmermans of UvT for his thesis on Intergene- Professional organizations, like the Royal Dutch Institute of rational risk-sharing. The best MSc thesis — The Register Accountants (NIVRA), the Actuarial Institute and the added value of age differentiation in pension Association of Financial Professionals (VBA) grant Continuing deals — was written by Bart Custers of UvT. Marloes Professional Education credits to participants in the modules of Lammers, of Amsterdam’s Free University (VU A), the Academy. was awarded for the best MPhil thesis: The effects of savings on reservation wages and search effort. The Netspar-UMBS Academy held two three-day modules between April 2008 and March 2009. As part of the first module — on responsible investing — experts from Maastricht University/ECCE and the Elfenwork Center for the Study of Fiduciary Capitalism in California discussed several cases, and looked into the effect of environmental, social and governance (ESG) factors on the returns and risks of investment portfolios. The second module addressed aging and pensions in Europe, and was organized in collaboration with the Netspar research theme The Macroeconomics of Pension Reform. The module, which was coordinated by CPB Netherlands Bureau for Economic Policy Analysis, included presentations by representatives of CPB, the European Commission and the National Institute of Economic and Social Research in the United Kingdom. The participants evaluated the modules with a grade of 8 out of 10, on average. Nevertheless, we would like to see an increase of the number of participants, particularly from non-partner institutions. Representatives of the sector have indicated that it might be better to limit the modules to two- day events, to be held in central locations in the Netherlands. The Traffic Police Woman This is the rush hour of the generations. She was already looking forward to an easier life, now that her children were growing older. But adolescents seem to need even more attention than small children – as she found out. And to be honest, she’d never expected her mom and dad to become more or less dependent on her. Sometimes, she feels squeezed in between her parents, her offspring and a million things to take care of. Amazingly, she has managed to arrange a week’s holiday with her husband – just the two of them.

Microeconomic Aspects of Pensions and Social Security Benefits

Scope Occupational pensions, third-pillar products and social security benefits are aimed at guaranteeing sufficient income and financial security for the elderly. This theme focuses on how the financial security provided by governments, pension funds and insurance companies serves the population.

Main Research Findings • Implicit taxes on working longer and generous schemes for pensions and/or early retirement stimulate workers to take early retirement. At present, gradual retirement in western countries is rather low, because of institutional restrictions, macroeconomic circumstances and exit routes, such as early retirement. • A study on financial literacy found that households’ grasp of basic economic concepts (such as inflation, interest rates and interest rate compounding) is modest – although it does exceed their knowledge about stocks, bonds and financial markets. • Research on trends in income and wealth has shown that the well being of the female partner benefits elderly couples. However, a woman’s well being is proportionally more affected by her partner’s death, than the other way around. • The mortality risk of individuals on the lowest 10% of the income scale seems to be twice as high as the risk to earners in the top 10% of the income distribution. • Wealthy people tend to be more pessimistic about the prospects of future old-age social security staying at the present level, while less wealthy individuals actually expect a rise of the age at which they are entitled to benefit at the current level.

Theme Alessi & Van Soest

Income, Health and Work across the Life Cycle

Scope This theme addresses the sustainability of current retirement and disability programs, as well as the affordability of healthcare systems. It looks into the links between income and health across the life cycle, focusing in particular on the moment at which individuals move from working age into retirement.

Main Research Findings • The project on health effects on labor force participation established that financial incentives are far more important than health issues. A study of the role of subjective survival probabilities for retirement did not confirm the standard assumption that a higher life expectancy reduces the retirement probability. • Extension of the working life doesn’t seem to have an impact on health later in life, as we found no short-term retirement effects on post-retirement health. • Our researchers found that health increases with income growth, and that the health increase is proportionally larger for high earners. • No evidence has yet been found for links between income growth and health. This suggests that most causal links come from background- and early life factors. • Individuals in good health who have attained higher education and have a better income are more likely to insure themselves, a study in Ireland indicated. • Informal care – by children or a spouse – is a substitute for formal home care, and is omplementary to visits to GPs and hospitals. This suggests that informal care providers may function as ‘agents’ in the formal healthcare system. • Lower socioeconomic classes suffer disproportionally from economic shocks, leading to a proportionally higher mortality. • The loss of a spouse shortens life expectancy of the surviving partner by 12%, on average. This affects the share of healthy years in the residual lifetime, mainly because healthy years are replaced by a period characterized by chronic diseases. • A model for health and work, as well as health-reporting behavior, shows that justification bias (the jobless, for example, are inclined to overstate health problems to justify inactivity or dependence on social security) is substantial. Failing to account for this may considerably change the estimation results of retirement models.

Theme Lindeboom & Van Doorslaer 28 Sharing Knowledge “Longevity Risk” with “Longevity speakers. renowned international Financial Centre, Netspar organized a on conference Jointly with Cass Business School of London and Holland and circumstances needs. ways to improve tailoring pension policies to individual plans. recovery Moreover, the working groups discussed contract, real or nominal solvency rules and optimal papers on timely topics such as the optimal pension on commented groups outlines and of NEA drafts (Netspar Economic Advisors) working These sector. insurance to address relevant to current subjects the pension and so-called introduced taskforces Netspar also successfully themes. research the to — organization partner as well as sounding boards linked discus-sing issues Netspar-related within each academic — Netspar teams at established partners aimed private at of Netspar. partners private include The instruments andexchange the between Netspar researchers the developed to the improve instruments the knowledge in evaluation committee June 2007, Netspar further In line with the of recommendations the Netspar The The conference, which included more than 200 attendants, the social partners’ view on the future of the Dutch Dutch the of future the on view partners’ social the One of (June events Netspar’s 2008) also on focused success. and wide attendants press publicity, made this event a this seminar, of with the together over participation 70 go abroad Theto of contentbuy inflation protection. bond issues, because at present pension funds have to the of Dutch Ministry Finance should emit index-linked index-linked bonds. Roderick (APG) Munsters argued that In February 2009 Netspar organized a seminar on issuing were discussed. risk of to and risks longevity trade opportunities longevity was organized in September 2008 in Naarden. The impact

pension system. The Dutch social partners of employers is assisting pension-related institutions and businesses 29 and employees are both the architects and important in the Netherlands in achieving a leading position in the stakeholders of the second pillar of the Dutch pension emerging international market for retirement management. system. Netspar therefore aims to intensify contacts with The second target is to stimulate innovations on pensions the social partners. Regular meetings were also held with and insurance in the Netherlands, in order to address the the lobbying organizations of Dutch pension funds, which challenge of an aging population. The innovation program include representatives of the social partners, as well as promises to further strengthen the innovation chain in the Dutch Association of Insurers. retirement management. The Dutch government will decide in the spring of 2009 on funding for the program. New Partners On April 1, Twente University became a partner of Netspar. The institute is the eighth Dutch university joining the national research network on aging and pensions. Since Twente has a great deal of expertise on hedging investment risks, the new partner allows Netspar to extend its study of risk management. Twente’s researchers also add knowledge on assessing liabilities of pension funds and insurers.

Cardano, an independent service provider on investment and risk management, joined Netspar in November 2008. With Netspar heading towards a European network and Cardano’s recent move into the broader European market, their joint forces will strengthen the international synergy between academia and risk management.

Innovation Program on Retirement Management In April 2008, Netspar and Holland Financial Centre (HFC) submitted a proposal to the government containing their vision for an innovation program on retirement management. Following the recommendation of the so-called strategic advice committee, Netspar and HFC developed an innovation program for the period 2009- 2017.

The innovation program Retirement Management is aimed at developing the Netherlands as Europe’s international center for retirement management. One of the objectives The Cross-Channel Swimmer Cutting hair is just like swimming: you never lose your skills. So why should he retire at the age of sixty-five? Have his scissors gone blunt? Did the hair of his customers stop growing? Is he no longer interested in the local news that they bring to his shop? The barber is over eighty now. He may have grown old, but he hasn’t grown tired yet. He might be getting slower over the years. But as long as he cuts the hair of his customers faster than it grows, he won’t lay down his scissors.

Private Retirement Provision Theme Schotman

• • • • • • Findings Main Research of behavior individuals. save and invest optimally Moreover, for retirement. the theme and actual savings analyzes investment The theme the addresses of question how individual households, or pension funds on their behalf, should Scope The are responding to in slowly but the consistently opportunities this plan. Analysis the low of cost the to pension relative mutual industry funds. The adequate. where inflation iscontract, indexation only compensated if the funded rate of is the collective Arranging the retirement portfolio. Homeownership tural changes in the equity premium. long-run risk are due regarding the to size uncertainty of the premiumequity and struc the persistent Long-run researchers default of equity retirement participation design have risk, and of pension developed the savings for in example, choice the through plans recently of a model mortgage is is much significantly mandatory introduced to greater determine financing participation more than Dutch the affects previously dominant ‘Levensloop’ market the in pension value optimal thought. than scheme of previously funds the mix The so-called indicates of increased explains equity thought. and conditional that

estimates bonds individuals

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Appendices Appendices List of Abbreviations Netspar Events Theses • Panel • NEA • Discussion • Publications • Published and Forthcoming Papers Income and Expenses 2004-2011 Netspar Organization Papers Papers Papers 33

34 Advisory Board Partner Council Executive members Jan Marc Berk, DNB Marco Keim, AEGON David Knibbe, ING/NN Jan Willem Oosterwijk, EUR (Chairman) Maarten Camps, SZW Dick Sluimers APG Carel Hooghiemstra, ABN AMRO Netspar Netspar Job Swank, DNB Niels Kortleve, PGGM Tom Wansbeek, RUG Arie Perfors, AEGON Joos Nijtmans, Interpolis Non-executive members: to be appointed by Robert Olieman, SVB Netspar’s partners. Stan Steeghs, Mn Services Hens Steehouwer, Ortec Finance Scientific Council Tom Steenkamp, APG David Blake, City University London Willem van der Vorm, ASR Verzekeringen Richard Blundell, University College London Guus Wouters, Achmea Zvi Bodie, Boston University Adri van der Wurff, Cordares Tito Boeri, University of Turin Bart Oldenkamp, Cardano Paul Embrechts, ETH-Zentrum (Zürich) Christian Gollier, University of Toulouse Editorial Board Olivia Mitchell, University of Pennsylvania Henk Don, EUR (Chairman) Luis M. Viceira, Harvard University Bernhard ter Haar, MinFin

Organization David Wise, Harvard University Jan Koeman, SZW Niels Kortleve, PGGM Scientific Directors Fieke van der Lecq, EUR Lans Bovenberg, UvT Albert Mentink, AEGON Lex Meijdam, UvT Joost Nijtmans, Achmea Theo Nijman, UvT (Chairman) Alwin Oerlemans, Cordares Arthur van Soest, UvT Jan Potters, UvT Peter Schotman, UM Scientific Advisors Hein Stam, Mn Services Arie Kapteyn, RAND Corporation Hens Steehouwer, Ortec Finance Coen Teulings, CPB (until January 1, 2009) Marno Verbeek, EUR Peter Wijn, APG Fellows Dick de Beus, formerly PGGM Sounding Board Netspar-UMBS Jean Frijns, VU A and formerly APG Academy Jan Nijssen, formerly ING Else Bos, PGGM Jan Overmeer, formerly AEGON Gordon Clark, Oxford University Bert de Vries, former Dutch Minister of Social Sven Hougaard Jensen, Copenhagen Business School Affairs Klaas Knot, DNB Theo Langejan, MinFin

35 Advisory Board

Board of Scientific Directors

Scientific Advisors Scientific Council Partner Council Fellows

Sounding Board Editorial Board Netspar-UMBS Academy

Netspar-UMBS Program Coordinators Theme Coordinators MSc Program Director Managing Director Academy Director

Faculty Staff 36 Marie-Louise Marie-Louise Kemperman Fred Hoogeland Jolien Gregorowicz Corine Goossens Sylvia Geurdes-Hanhart Sylvia van Drogenbroek Nicole van Deijck-Rijnen Wilma Banyal-Paffen Support Staff Mylène Zwaans Managing Director UvT Roon, de Frans Director Partner Contacts UM Bauer, Rob Netspar-UMBS Academy Director Melenberg, Bertrand UvT MSc Program Director CPB and UvA Ewijk, van Casper UvT Johan Soest, Mackenbach, EUR van Arthur and UU, Alessie, Rob UvA Pelsser, Antoon UM Schotman, Peter EUR Doorslaer, van Eddy and A, VU Lindeboom, Maarten Theme Coordinators UvT and UvA Jong, de Frank RUG Heijdra, Ben Research Coordinators Netspar UM Schotman, Peter UvA Pelsser, Antoon Jan (Chairman) Fellow Overmeer, Netspar A VU Lindeboom, Maarten Organization Vincent van der Vlugt der van Vincent Gaby Versmissen Daniëlle van de Velde Trier van Mandy Sociales Helmut Toulouse 1 Cremer, Université Sciences UvT Coe, Norma School Business London Cocco, Joao An Chen, Bonn UvA and Universität Katherine Carman, UvT St Monika Bütler, Gallen Universität UvA Bucciol, Allesandro of Illinois Brown, University Jeffrey Werner Brouwer, EUR CPB Broer, Peter UvT Bovenberg, Lans UvA and NN Bouwknegt, Pieter UvA Boswijk, Peter of Mannheim University Börsch-Supan, Axel of Bocconi Boeri, University Tito Zvi University Bodie, Boston London College Richard Blundell, University Hans Bloemen, VU A Han EUR Bleichrodt, Johannes Binswanger, UvT A VU Berg, den van Gerard UvA Beetsma, Roel UM Bauer, Rob Nicholas Barr, of School London Economics London College James Banks, University UvT Baele, Lieven London College University Orazio Attanasio, Ron Anderson, London School of Economics RUG Alessie, Rob CPB and EUR Adema, Yvonne Research Fellows Research for Financial Institute Magnus Stockholm Dahlquist, Niels Kortleve, PGGM Niels Kortleve, UvT Kooreman, Peter Marc Koopmanschap, EUR of Ralph Chicago Koijen, University Thijs Knaap, CPB and UU UvT Klein, Tobias A VU Klaauw, der van Bas St Gallen Universität Keuschnigg, Christian Arie Kapteyn, RAND UU Kalwij, Adriaan Kalmijn, UvT Matthijs UvA Kaas, Rob de Liège Alain Université Jousten, UvT Jong, de Frank Tullio of Salerno Jappelli, University Janssen, Maarten EUR Bas Jacobs, EUR and CPB Joachim Inkmann, UvT Michael Hurd, RAND Duke van Houtven, University Courtney Hofman, EUR Albert UM Hoffmann, Arvid VU A Hochguertel, Stefan RUG Heijdra, Ben DNB Heeringa, Willem Frankfurt Universität Michael Goethe Haliassos, UvA Goovaerts, Marc Gollier,Toulouse 1 Christian Sociales Université Sciences Hans-Martin von Hans-Martin Gaudecker, VU A of Damir Finance Vienna Filipovic, Institute Hans Würzberg Fehr, Universität EUR Exel, van Job UvA and CPB Ewijk, van Casper CPB Euwals, Rob CPB Erp, van Frank UM Eichholtz, Piet UvA Driessen, Joost Nick Draper, CPB EUR Doorslaer, van Eddy Laurance Kotlikoff, Boston University Fred van Raaij, UvT Esen Erdogan-Ciftci, EUR 37 Dirk Krueger, University of Pennsylvania Joshua Rauh, University of Chicago Igor Fedotenkov, UvT Felix Kubler, University of Pennsylvania Susann Rohwedder, RAND Rik Frehen, UM Anton Kunst, EUR Ward Romp, UvA Jinqiang Guo, UvT Roger Laeven, UvT Frans de Roon, UvT Alexander van Haastrecht, UvA and Delta Lloyd Maarten Lindeboom, VU A Jan Rouwendal, VU A David Hollanders, UvT and UvA Paula Lopes, London School of Economics Martin Salm, UvT Patrick Hullegie, UvT Angel López Nicolas, Universidad Politécnica de John Karl Scholz, Brookings Institution Michiel Janssen, UvA and Eureko / Achmea Cartagena Peter Schotman, UM Agnes Joseph, UvA Hamish Low, University of Cambridge Hans Schumacher, UvT Tunga Kantarci, UvT Nils-Petter Lundborg, VU A Paul Sengmuller, UvT Fabian Kinderman, Universität Würzberg Annamaria Lusardi, Dartmouth College Eytan Sheshinski, Hebrew University of Jerusalem Hans van Kippersluis, EUR Frank Lutgens, Value Analytics BV and UM Jonathan Skinner, Dartmouth College Bart Klijs, EUR Johan Mackenbach, EUR Arthur van Soest, UvT Marike Knoef, UvT Ronald Mahieu, EUR Peter Sorensen, University of Copenhagen Marloes Lammers, VU A Tessa Marreiros Bago d’Uva, EUR Frederica Teppa, EUR Julia Le Blanc, Goethe Universität Frankfurt Giovanni Mastrobuoni, University of Turin Coen Teulings, UvA and CPB Istvan Matyas Majer, EUR Mauro Mastrogiacomo, CPB Henning Tiemeier, EUR Roel Mehlkopf, UvT Lex Meijdam, UvT Ian Tonks, University of Exeter Claudine de Meijer, EUR Bertrand Melenberg, UvT Marc Turlings, Eureko Jochen Mierau, RUG Alex Michaelides, London School of Economics Harald Uhlig, University of Chicago Chiara Monticone, University of Turin Pierre Carl Michaud, RAND Marno Verbeek, EUR Kathrin Nies, UM Moshe Milevsky, York University Frederic Vermeulen, UvT Kim Peijnenburg, UvT Christiaan Monden, UvT Luis Viceira, Harvard University Richard Plat, UvA and Eureko / Achmea Guus van Montfort, EUR Peter Vlaar, APG David Rappange, EUR Giovanna Nicodano, University of Turin Jannes de Vries, EUR Maarten van Rooij, DNB Theo Nijman, UvT Anja de Waegenaere, UvT Lisanne Sanders, UvT Wilma Nusselder, EUR Bas Werker, UvT Guillaume Schollier, UvT Owen O’Donnell, EUR Ed Westerhout, CPB Zhen Shi, UvT Michael Orszag, Watson Wyatt Sweder van Wijnbergen, UvA Salvatore Stefannelli, UvT Tom van Ourti, EUR Ralph Stevens, UvT Giacomo Pasini, UU Junior Research Fellows Nathanaël Vellekoop, UvT Antoon Pelsser, UvA Ciro Avitabile, University of Naples David Vonka, UvT Enrico Perotti, UvA Jonneke Bolhaar, VU A Hanna Vonkova, UvT Pierre Pestieau, University of Liège Jan Bonenkamp, CPB Siert-Jan Vos, UvA Suzanne Polinder, EUR Jing Cao, UvA and Cardano Stefan Walter, EUR Eduard Ponds, APG and UvT Jiajia Cui, University of Twente and ABP Oliver Weidemuller, EUR Jan Potters, UvT Renxiang Dai, UvT Karen van der Wiel, UvT Henriëtte Prast, UvT Bart Diris, UM Jie Zeng, UvT

38 Expenses Expenses 2004-2011 Income and Income

Budget Total (including contributions in kind) 39 All amounts in thousands of Euro’s

2004 2005 2006 2007 2008* 2009 2010 2011** Total actual actual actual actual actual forecast budget budget 2004-2011

Income Tilburg University 168 852 774 1,134 838 807 682 802 6,057 Other Universities 0 316 527 882 946 794 762 1,717 5,944 NWO Spinoza 53 125 250 250 250 250 250 72 1,500 GAK Institute Foundation 0 250 250 250 250 250 250 0 1,500 Government Funding 0 1,970 1,940 1,000 3,300 3,000 3,000 700 14,910 Private Partners 300 1,250 1,300 1,450 1,650 1,675 1,650 50 9,325 Public Institutions 0 329 340 340 395 356 240 50 2,049 Other 45 94 441 672 301 433 339 268 2,593 Total income 566 5,185 5,821 5,978 7,930 7,566 7,173 3,659 43,878

Expenses Themes 0 0 857 2,468 2,943 2,892 2,887 6,416 18,462 Scientific directors & coordinators 135 381 481 624 575 680 692 345 3,914 Senior faculty 102 1,266 1,281 881 682 500 280 93 5,084 Junior faculty 0 147 302 394 282 246 322 446 2,138 PhD & MPhil students 0 23 177 315 429 489 289 428 2,149 Education 0 21 66 235 361 395 406 128 1,612 International visitors & grants 0 0 5 25 71 226 170 0 496 Data 0 30 26 132 28 135 100 25 476 NEA & Panel papers 0 0 42 140 132 280 230 43 867 Conferences & Workshops 0 74 191 155 148 350 350 175 1,443 Operation Costs & Miscellaneous 117 547 691 901 1,158 1,629 1,094 521 6,658 Unforeseen 0 0 0 0 0 175 175 228 578 Reservation Personnel Fund 0 250 -250 0 0 0 0 0 0 Total expenses 354 2,739 3,869 6,270 6,810 7,997 6,993 8,848 43,878

* Year-end audit of financial statements of the UvT is to be conducted. ** Including provisions for commitments in subsequent years.

40 Publications Bago d’Uva, Teresa, Andrew Jones and

Papers Eddy van Doorslaer Netspar researchers published 89 papers last Measurement of horizontal inequity in health year; moreover, 33 additional papers have been care utilisation using European panel data. accepted and are forthcoming in international Forthcoming in Journal of Health Economics journals. Bago d’Uva, Teresa, Owen O’Donnell and Adda, Jérome, James Banks and Eddy van Doorslaer Hans-Martin von Gaudecker Health reporting by educational level and its The impact of income shocks on health: Evidence impact on the measurement of health from cohort data. Forthcoming in Journal of the inequalities in Europe. International Journal of European Economic Association Epidemiology, 37(6), 1375-1383, Dec. 2008

Adema, Yvonne and Harrie Verbon Banks, James, Arie Kapteyn, James Smith and Pension reform in Europe. FIRST Quarterly, Apr. Arthur van Soest 2008 Work disability is a pain in the ****, especially in England, the Netherlands, and the United States. Adema, Yvonne, Lex Meijdam and Harrie Verbon In D. Cutler and D.A. Wise (eds), Health in Older Beggar thy thrifty neighbor: The international Ages: The Causes and Consequences of Declining spillover effects of pensions under population Disability Among the Elderly, University of Chicago

Forthcoming Forthcoming ageing. Journal of Population Economics, 21(4), press, 251-294, Feb. 2009 933-959, Oct. 2008 Bauer, Rob and Harry Hummels Adema, Yvonne, Lex Meijdam and Harrie Verbon Pensioenfondsen en verantwoord beleggen: The international spillover effects of pension Rendement en risico?. Tijdschrift voor Pensioen- reform. Forthcoming in International Tax and vraagstukken, 2, 28-32, Apr. 2008 Published and Published Public Finance Bauer, Rob and Luc Kicken Baele, Lieven and Koen Inghelbrecht The pension fund advantage: Are Canadians over- Time-varying integration and international paying their mutual funds? International Journal diversification strategies. Forthcoming inJournal of Pension Management, 1(1), 64-71, Oct. 2008 of Empirical Finance Bauer, Rob, Bart Frijns, Roger Otten and Bago d’Uva, Teresa and Andrew Jones Alireza Tourani Rad Health care utilisation in Europe: New evidence The impact of corporate governance on corporate from the ECHP. Forthcoming in Journal of Health performance: Evidence from Japan. Pacific Basin Economics Finance Journal, 16(3), 236-251, June 2008

Bauer, Rob, Robin Braun and Gordon Clark Bernard, Carole and An Chen Bolin, Kristian, Björn Lindgren and 41 The emerging market for European corporate On the regulator-insurer-interaction in a Petter Lundborg governance: The relationship between govern- structural model. Forthcoming in Journal of Your next of kin or your own career? Caring and ance and capital expenditure, 1997-2005. Journal Computational and Applied Mathematics working among the 50+ of Europe. Journal of of Economic Geography, 8, 441-469, July 2008 Health Economics, 27(3), 718-738, May 2008 Berridge, Steffan and Hans Schumacher Bauer, Rob, Mathijs Cosemans and An irregular grid approach for pricing Bonenkamp, Jan Peter Schotman high-dimensional American options. Journal Measuring lifetime redistribution in Dutch occu- Conditional asset pricing models and stock market of Computational and Applied Mathematics, pational pensions. Forthcoming in De Economist anomalies in Europe. Forthcoming in European 222(1), 94-111, Dec. 2008 Financial Management Bovenberg, Lans Binsbergen, Jules van, Michael Brandt and Arbeidsmarkt in plaats van begrotingsbeleid blijft Bauer, Rob, Mathijs Cosemans and Piet Eichholtz Ralph Koijen hoofdprioriteit. Tijdschrift voor Openbare Option trading and individual investor Optimal decentralized investment management. Financiën, 1, 23-24, Jan. 2008 performance. Forthcoming in Journal of Banking Journal of Finance, 63(4), 1849-1895, Aug. 2008 and Finance Bovenberg, Lans Bloemen, Hans Comments on Munnell. The Future of Life-Cycle Bauer, Rob, Piet Eichholtz and Nils Kok Job search, hours restriction, and desired hours of Saving and Investing, CFA Institute Publication, Corporate governance and performance: The REIT work. Journal of Labor Economics, 26(1), 137-179, New York, 146-152, Feb. 2008 effect. Forthcoming in Real Estate Economics Jan. 2008 Bovenberg, Lans Beetsma, Roel and Lans Bovenberg Bloemen, Hans and Arie Kapteyn Eenheid in verscheidenheid. In C. Dekker (eds.), Pensions and intergenerational risk sharing in The estimation of utility-consistent labor supply Geleerd en Gelovig, ten Have, Nov. 2008 general equilibrium. Forthcoming in Economica models by means of simulated scores. Journal of Applied Econometrics, 23(4), 395-422, Jun. 2008 Bovenberg, Lans Beetsma, Roel and Heikki Oksanen Frontiers in pension finance and reform: Pensions under ageing populations and the EU Bolin, Kristian, Anna Lindgren, Björn Lindgren Institutional innovation in the Netherlands. stability and growth pact. CESifo Economic and Petter Lundborg In D. Broeders, S. Eijffinger and A. Houben (eds.), Studies, 54, 563-592, Dec. 2008 Utilisation of physician services in 10 European Frontiers in Pension Finance, Edward Elgar countries? The relative importance of individual Belloni, Michele and Rob Alessie versus institutional factors. Forthcoming in Bovenberg, Lans The importance of financial incentives on International Journal of Health Care Finance and The life-course perspective and social policies: retirement choices: New evidence for Italy. Economics An overview of the issues. In Modernising Social Forthcoming in Labour Economics Policy for the New Life Course, OECD, Paris Bolin, Kristian, Björn Lindgren and Bergemann, Annette and Gerard van den Berg Petter Lundborg Bovenberg, Lans Active labor market policy effects for women Informal and formal care among the elderly of The life-course perspective and social policies: in Europe— a survey. Forthcoming in Annales Europe. Health Economics, 17(3), 393-409, Mar. An overview of the issues. CESifo Economic Studies, d’Economie et de Statistique 2008 54(4), 593-641, Dec. 2008 42

7(2), 265-275, Dec 2008 Dec 265-275, 7(2), ageing. towards policies Dutch Bovenberg, Lans and Raymond Gradus Berichten langdurig Duurzame zorg. Bovenberg, Lans and Raymond Gradus tische Berichten Naar die een toekomst werkt. Bovenberg, Lans and Jan Willem Oosterwijk Published2006 (eds.), West K.D. NBER International Seminar and on Macroeconomics Reichlin L. In risk. macro- of economic allocation the and systems Pension Bovenberg, Lans and Harald Uhlig in Forthcoming inflation. Pensions, intergenerational Beetsma risk Roel sharing and and Lans Bovenberg, of Economics income in Scandinavian Forthcoming taxation. linear with insurance social Optimal Bovenberg, Lans and Peter Birch Sørensen Finance Reforms The Market World Bank and Center Financial of and Excellence in Labor to Linking (eds.), policy. social and In R. Holzmann, course, L. life MacKellar the and J. risks, Repansek social New Bovenberg, Lans Democratische Verkenningen Welkom in de eeuw van de vrouw. Bovenberg, Lans and , University of 2008 Press, Chicago , University Pension Reform in Southeastern Europe, Europe, Southeastern in Reform Pension , 93(4539), July 426-428, 2008 , 93(4538), 390-393, June 2008 June 390-393, 93(4538), , Economica Economisch Statistische Forthcoming , 118-122, Herfst 2008 Herfst 118-122, , Economisch Economisch Statis European European View Christen Christen Journal

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- Papers University Press, 184-194, Mar.Press, University 2008 graphics and Fiscal Sustainability Jensen Hougaard and J. Lassila, analysis: Future directions. In J.M. Alho, S.E. Computable general equilibrium models in policy Broer, Peter Strategies in Europe and the United States In R. Fenge, G. de Menil and P. Pestieau, Ageing, funded pensions and the Dutch economy. Bovenberg, Lans and Thijs Knaap Flexicurity: Lessons and proposals from the the from Netherlands. proposals and Lessons Flexicurity: Sonja Bekker Bovenberg, Lans, Ton Wilthagen and Preadviezen 2008, Dec. 2008 klijke Vereniging van de Staathuishoudkunde Don (eds.), Over aanbodrestricties en vraagsubsidies. In F.J.H. De Nederlandse woningmarkt en overheidsbeleid: and Wouter Vermeulen Bovenberg, Lans, Paul Besseling, Gerbert Romijn Finance Public and Tax designs. alternative and Rationale Individual savings accounts for social insurance: Sørensen Bovenberg, Lans, Martin Hansen and Peter Birch 2008 Feb. 1-4, state. welfare International Tax and the Public Finance Reinventing Introduction: Bovenberg, Lans, Bas Jacobs and Ruud de Mooij 2008 Apr. 239-272, Cambridge, Press, MIT Agenda Agenda voor de KoninWoningmarkt, CESifo CESifo DICE Report , 15(1), 67-86, Feb. 2008 Feb. 67-86, 15(1), , , 9-14, Winter 2008 Winter 9-14, , Uncertain Demo , Cambridge International , 15(1), ,

Pension ,

, - - Forthcoming in Forthcoming and in governance the mutual fund industry. Does skin in the game matter? Director incentives Pascal Maenhout and David Weinbaum Cremers, Martijn, Joost Driessen, 2008 Dec. 267, Quantitative Quantitative Analysis procedure. procedure. consumption behavior: An integer programming Nonparametric tests of collectively rational and Frederic Vermeulen Cherchye, Laurens, Bram De Rock, Jeroen Sabbe and Statistics model. and the collective supply: Goodness-of-fit and power of the unitary Nonparametric analysis of household labor Cherchye, Laurens and Frederic Vermeulen 47-74, Jan. 2008 Asia-Pacific Journal ofRisk and Insurance, effectiveness of risk-minimizing products— strategies under model risk. assurance Endowment Mahayni Antje and An Chen, 2008 June andMathematics Economics discrete-time risk-minimizing hedging strategies. Loss analysis of a life insurance company applying Chen, An Research European evidence. Corporate real estate and corporate takeovers; Brounen, Brounen, Dirk, Piet and Eichholtz Mathijs van Dijk , 30(3), 293-314, Sept. 2008 Sept. 293-314, 30(3), , Journal Journal of Econometri , 90(2), 267-274, May 2008 May 267-274, 90(2), , Journal of Financial and Journal of Real Estate Review of Economics , 42(3), 1035-1049, cs, 147(2), 258- 147(2), cs,

2(2),

Dai, Renxiang and Hans Schumacher Driessen, Joost, Martijn Cremers and Goovaerts, Marc and Roger Laeven 43 Welfare analysis of conditional indexation Pascal Maenhout Actuarial risk measures for financial derivative schemes from a two-reference-point perspective. Explaining the level of credit spreads: Option- pricing. Insurance: Mathematics and Economics, Forthcoming in Journal of Pension Economics and implied jump risk premia in a firm value model. 42(2), 540-547, Apr. 2008 Finance Review of Financial Studies, 21, 2209-2242, Sept. 2008 Groezen, Bas van and Lex Meijdam Doorslaer, Eddy van, Kimberlyn McGrail, Growing old and staying young: Population Claudia Sanmartin and Nancy Ross Eichholtz, Piet and Thies Lindenthal policy in an ageing closed economy. Journal of Why are income-related health inequalities in Behoeftes en belemmeringen in de woningbouw: Population Economics, 573-588, 21(3), July 2008 Canada lower than in the United States? Een lange termijn perspectief. Preadvies, Konin- A decomposition analysis. Forthcoming in klijke vereniging voor de Staathuishoudkunde: Heijdra, Ben and Walter Henry Fisher American Journal of Public Health Agenda voor de woningmarkt, Dec. 2008 Keeping up with the ageing Joneses. Journal of Economic Dynamics and Control, 33(1), 53-64, Doorslaer, Eddy van, Dolores Jiménez-Rubio and Eichholtz, Piet and Thies Lindenthal Jan. 2009 Peter Smith Krimp, vergrijzing en de vraag naar woningen. Equity in health and health care in a decentralized Beleid & Maatschappij, 35(4), Dec. 2008 Heijdra, Ben and Ward Romp context: Evidence from Canada. Health Economics, A life-cycle overlapping-generations model of 17(3), 377 - 392, Mar. 2008 Eichholtz, Piet and Nils Kok the small open economy. Oxford Economic How does the market for corporate control Papers, 60, 89-122, Jan. 2008 Doorslaer, Eddy van, Gillian Hanley, function for property companies? Journal of Real Steve Morgan and Jeremiah Hurley Estate Finance and Economics, 36(2), 141-163, Heijdra, Ben and Ward Romp Distributional consequences of the transition Feb. 2008 Human capital formation and macroeconomic from age-based to income-based prescription performance in an ageing small open economy. drug coverage in British Columbia, Canada. Eichholtz, Piet, Nils Kok and Roger Otten Forthcoming in Journal of Economic Dynamics Health Economics, 17(12), 1379-1392, Dec. 2008 Executive compensation in U.K. property and Control companies. Journal of Real Estate Finance and Doorslaer, Eddy van, Philip Clarke, Economics, 36(4), 405-426, May 2008 Heijdra, Ben and Ward Romp Elizabeth Savage and Jane Hall Retirement, pensions, and ageing. Forthcoming Horizontal inequities in Australia’s mixed public/ Eichholtz, Piet and Marcel Theebe in Journal of Public Economics private health care system. Health Policy, 86 (1), Housing market rents in the long run, Amsterdam, 97-108, Apr. 2008 1550-1850. Forthcoming in Journal of Economic Hoevenaars, Roy, Roderick Molenaar, History Peter Schotman and Ton Steenkamp Dorn, Daniel, Paul Sengmüller and Strategic asset allocation with liabilities: Beyond Gur Huberman Frehen, Rik, Roy Hoevenaars, Franz Palm and stocks and bonds. Journal of Economic Dynamics Correlated trading and returns. Journal of Peter Schotman and Control, 32(9), 2939-2970, Sept. 2008 Finance, 63(2), 885-920, Apr. 2008 Regret aversion and annuity risk in defined contribution plans. Insurance: Mathematics and Economics, 42 (3), 1050-1061, June 2008 44 Hoffmann, Arvid and Arvid Hoffmann, Thijs Broekhuizen Jan.-Feb. 2008 voor en Accountancy Bedrijfseconomie van De beleggers. beïnvloedbaarheid Arvid, Henk Hoffmann, von Eije and Wander Jager 21-39, Jan. 2008 Forecasting market impact costs and identifying identifying and trades. expensive costs impact market Forecasting Sluis der van Jelle Pieter Roy, Hoevenaars, Laura Spierdijk, Jaap Bikker and of Palliative Medicine the access to in Forthcoming benefit? hospice Medicare necessary network home-care a Is Tulsky James and Karen Taylor, Steinhauser Donald van, Courtney Houtven, in for heterogeneous for heterogeneous Norton Testing care and Informal expenditures: Medicare Edward and van Courtney Houtven, interpersonal influence of impact and to Susceptibility ics pension schemes. collective in funded transfers of Valuation intergenerational Roy Hoevenaars, and Eduard Ponds Spring 2009 International Journal of Pension Management Under plans: the in standing real pension deal. Forthcoming pension corporate in risk Pricing Roy, Hoevenaars, Theo Kocken and Eduard Ponds Health Health Economics Published and Journal Journal of the Academy of Marketing Science & Economics in an investment context. Forthcoming Forthcoming context. investment an in , 42(2), 578-593, Apr. 2008 Apr. 578-593, 42(2), , , 27(1), 134-156, Jan. 2008 Journal Journal of Forecasting treatment effects. effects. treatment Forthcoming Insurance Insurance Mathemat Journal Journal of Maandblad Maandblad , 62-71, , 27(1), 27(1), , Journal Journal -

, 1(2), 1(2), , - Papers Financial and Quantitative Analysis market Pseudo timing: A reappraisal. Dahlquist Magnus and de Frank Jong, Finance markets. Valuation of pension liabilities in incomplete Jong, Frank de andMathematics Economics, under indexation. liabilities conditional and the of valuation Pension fund investments de Frank Jong, Health Health Economics of and Dynamics work disability pain. Kapteyn, Arie, James Smith and Arthur van Soest De Economist Gradual retirement: Preferences and limitations. Kantarci, Tunga and Arthur van Soest 2008 May 619-638, 17(5), add to indicators the analysis? people in Europe: What do objective health Health and labour force participation of older Kalwij, Adriaan and Frederic Vermeulen in Forthcoming Demography Europe. Western in fertility The impact of family policy expenditure on Kalwij, Adriaan Insurance: Mathematics measures of association. Forthcoming in Worst VaR scenarios with given marginals and Kaas, Rob, Roger Laeven and Roger Nelsen 2008 Sept. 547-580, , 7(3), 277-294, Nov. 2008 Nov. 277-294, 7(3), , Journal of Pension Economics and , 156(2), 113-144, June 2008 June 113-144, 156(2), , , 27(2), 496-509, Mar. 2008 Mar. 496-509, 27(2), , & Economics 42(1), 1-13, Feb. 2008 Feb. 1-13, 42(1), Health Health Economics , 43(3), Journal of Journal of Insurance: Insurance:

, 1285-1298, Sept. 1285-1298, 2008 Sept. model. model. self-financing?Evidence from a microsimulation Are tax subsidies for private medical insurance Ángel López-Nicolás, and Marcos Vera-Hernandez Economics a Journal from of reform. schooling Parental education and child health: Evidence Klauw der van Bas Lindeboom, Maarten, Ana Llena Nozal and Journal of Applied Econometrics Health and work of the elderly. Forthcoming in Lindeboom, Maarten and Marcel Kerkhofs Research in Forthcoming 65+ people in two care years prior to long-term informal and municipal care. formal for Costs Lundborg Petter Kristensson, Jimmie, Ingalill Rahm Hallberg and Financial Economics in timing. Forthcoming Mortgage Nieuwerburgh Koijen, Ralph, Otto van Hemert and Stijn van in Forthcoming allocation. Momentum and mean reversion in strategic asset Sbuelz Alessandro Koijen, Ralph, Juan Carlos Rodriguez and Statistisch Berichten Inkomen alleen maakt niet gezond. Ourti van Tom Kippersluis, Hans van, Eddy van Doorslaer and Journal Journal of Health Economics , 28(1), 109-131, Jan. 2009 Aging Clinical and Experimental , 94 (4551), 20-23, Jan. 2009 Management Management Science Journal of Health and , 27(5), Economisch

Lundborg, Petter and Henrik Andersson Nijman, Theo and Laurens Swinkels Rappange, David, Pieter van Baal, Job van Exel, 45 Gender, risk perceptions, and smoking behaviour. Strategic and tactical allocation to commodities Talitha Feenstra, Frans Rutten and Journal of Health Economics, 27(5), 1299-1311, for retirement savings schemes. In F. Fabozzi, Werner Brouwer Sept. 2008 R. Fuess and D Kaiser (eds.), Handbook of Unrelated medical costs in life years gained: Commodity Investments. Wiley Publishers, Should they be included in economic evaluations Mastrobuoni, Giovanni and Matthew Weinberg 522-546, July 2008 of health care interventions? Pharmaco- Heterogeneity in intra-monthly consumption Economics, 26(10), 815-830, Nov. 2008 patterns, self-control, and savings at retirement. Ourti, Tom Van, Eddy van Doorslaer and Forthcoming in AEJ Economic Policy Journal Xander Koolman Rooij, Maarten van, Arjen Siegmann and The effect of growth and inequality in incomes on Peter Vlaar Meijdam, Lex and Harrie Verbon health inequality: Theory and empirical evidence Market valuation, pension fund policy and Too many migrants, too few services: A model of from the European panel. Forthcoming in Journal contribution volatility. De Economist, decision making on immigration and integration of Health Economics 156(1), 73-93, Mar. 2008 with cultural distance. Journal of Population Economics, 21(3), 665-677, July 2008 Pelsser, Antoon Schotman, Peter, Rolf Tschernig and Jan Budek On the applicability of the wang transform for Long memory and the term structure of risk. Melenberg, Bertrand, Norbert Hari, Theo Nijman pricing financial risks.ASTIN Bulletin, 38 (1), Journal of Financial Econometrics, 6(4), and Anja De Waegenaere 171 - 181, May 2008 459-495, Fall 2008 Estimating the term structure of mortality. Insurance: Mathematics and Economics, Pelsser, Antoon, An Chen and Carole Bernard Shkolnikov, Vladimir, Rembrandt Scholz, 42(2), 492-504, Apr. 2008 On the cost of regulation under solvency II. Life & Dmitri Jdanov, Michael Stegmann and Pensions, 4(6), 36-40, June 2008 Hans-Martin von Gaudecker Melenberg, Bertrand, Norbert Hari, Theo Nijman Length of life and the pensions of five million and Anja De Waegenaere Pelsser, Antoon and Richard Plat retired German men. European Journal of Public Longevity risk in portfolios of pension annuities. Analytical approximations for prices of swap rate Health, 18(3), 264-269, June 2008 Insurance: Mathematics and Economics, dependent embedded options in insurance 42(2), 505-519, Apr. 2008 products. Insurance: Mathematics and Economics, Soest, Arthur van and Michael Hurd 44 (1), 124-134, Feb. 2009 A test for anchoring and yea-saying in experimental Michaud, Pierre Carl and Arthur van Soest consumption data. Journal of the American Health and wealth of elderly couples: Causality Perotti, Enrico and Armin Schwienbacher Statistical Association, 103(481), 126-136, Mar. 2008 tests using dynamic panel data models. Journal of The political origins of pension funding. Health Economics, 27(5), 1312-1325, Sept. 2008 Forthcoming in Journal of Financial Intermediation Soest, Arthur van Geleidelijke pensionering lijkt in ieders belang te Michaud, Pierre Carl and Arthur van Soest Portrait, France, Rob Alessie and Dorly Deeg zijn. Pensioen Magazine, 13(4), 29-33, Apr. 2008 How did the elimination of the earnings test Do early life and contemporaneous macro- above the normal retirement age affect labour conditions explain health at older ages? An Soest, Arthur van supply expectations? Fiscal Studies, 29(2), application to functional limitations of Dutch SHARE: A survey of health, ageing and retirement 197-231, June 2008 older individuals. Forthcoming in Journal of in Europe. Defacto Magazine, 22(1), 42-46, Population Economics Jan. 2008 46 Statistische Statistische Berichten klaar voor 67 Electoraat jaar. der van Karen Wiel, 2008 May 309-311, Economische Statistische Berichten Lonen hoger door ontslagbescherming. der van Karen Wiel, 2008 June 1-21, 2(2), Vijf ongemakkelijke stellingen. Vergrijzing en houdbare overheidsfinanciën: Westerhout, Ed 221(1), 202-218, Nov. 2008 Published Journal of Computational and Applied Mathematics sums of measures of lognormals based risk on conditional for expectations. approximations Optimal Luc Marc Goovaerts, Henrard and Rob Kaas Vanduffel, Steven, Xinliang Chen, Jan Dhaene, and

Forthcoming 2009 Feb. 77-78, 94(4553), , Economische TPE TPE digitaal , 93(4535),

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, Papers consumption over the life cycle life the over consumption Home production and the allocation of time and Rob,Alessie, and Joppe de Ree Discussion Papers 07/2008-027 for mothers adult prime-aged education From giving birth to paid labor: The effects of Berg, Gerard van den, and Bergemann Annette 05/2008-014 retirement choices: New evidence for Italy The importance of financial incentives on Belloni, Michele, and Rob Alessie DP 11/2008-059 international risk sharing in general equilibrium Funded pensions and intergenerational and Roel, Beetsma, Lans and Bovenberg Ward Romp dynamics beta market A Bayesian panel data approach to explaining Peter Schotman Bauer, Rob, Mathijs Cosemans, Rik Frehen and small numbers? Do sophisticated investors believe in the law of Baquero, Guillermo, and Marno Verbeek, finances in the Netherlands The impact of demographic uncertainty on public Alex, Nick Armstrong, Draper and Ed Westerhout DP 01/2008-050 DP , DP 03/2008-051 , DP 04/2008-021 DP , , DP 07/2008-020 DP , , DP , DP , Rhineland Rhineland exit? Lans, Bovenberg, and Coen Teulings capital income Human capital and optimal positive taxation of Lans, Bovenberg, and Bas Jacobs earnings function Optimal taxation of human capital and the Lans, Bovenberg, and Bas Jacobs market swap DP 02/2009-005 default credit the from evidence Derivative pricing with liquidity risk: Theory and Dion, Bongaerts, Frank de Jong and Driessen Joost insurance insurance and health care A dynamic analysis of the demand for health van der Klaauw Bolhaar, Jonneke, and Lindeboom Maarten Bas retirement? What is an adequate standard of living during Binswanger, Johannes, and Daniel Schunk fluctuations market DP 07/2008-022 stock and inertia Portfolio Haliassos Bilias, Yannis, Dimitris and Georgarakos Michael 06/2008-026 born at different stages of the business cycle, later in life— Evidence based on individuals leads to a higher cardiovascular mortality rate Being born under adverse economic conditions Reiter and Kaare Christensen Berg, Gerard van den, Gabriele Doblhammer- DP 09/2008-037? , DP 12/2008-056 DP 03/2008-055 DP , DP 02/2008-057 , DP 09/2008-039 DP ,

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, Broeders, Dick, and An Chen Cui, Jiajia Grip, Andries de, Maarten Lindeboom and 47 Pension regulation and the market value of DC pension plan defaults and individual welfare, Raymond Montizaan pension liabilities— a contingent claims analysis DP 09/2008-034 Shattered dreams: The effects of changing the using Parisian options, DP 08/2008-024 pension system late in the game, DP 02/2009-010 Diris, Bart, Franz Palm and Peter Schotman Brounen, Dirk, Melissa Porras Prado and Long-term strategic asset allocation: An out-of- Haastrecht, Alexander van, and Antoon Pelsser Marno Verbeek sample evaluation, DP 03/2008-053 Efficient, almost exact simulation of the Heston Real estate in an ALM framework— The case of fair stochastic volatility model, DP 09/2008-044 value accounting, DP 12/2008-052 Draper, Nick Prudence and robustness as explanations for Haastrecht, Alexander van, and Antoon Pelsser Bucciol, Alessandro precautionary savings; an evaluation, Generic pricing of foreign exchange, inflation and Measuring self-control problems: A structural DP 09/2008-028 stock options under stochastic interest rates and estimation, DP 01/2009-002 stochastic volatility, DP 10/2008-046 Eichholtz, Piet, and Thies Lindenthal Bucciol, Alessandro Demographic change, human capital, and Haastrecht, Alexander van, Roger Lord, Social security, self-control problems and the demand for housing, DP 02/2008-061 Antoon Pelsser and David Schrager unknown preference parameters, DP 01/2009-001 Pricing long-maturity equity and FX derivatives Erdogan-Ciftci, Esen, Eddy van Doorslaer and with stochastic interest rates and stochastic Bucciol, Alessandro, and Raffaele Miniaci Ángel López Nicolás volatility, DP 09/2008-045 Household portfolios and implicit risk aversion, Health, financial incentives and retirement in DP 07/2008-036 Spain, DP 11/2008-035 Hochguertel, Stefan, and Mette Ejrnaes Entrepreneurial moral hazard in income insurance: Callegaro, Lisa, and Giacomo Pasini Fehr, Hans, Sabine Jokisch and Laurence Kotlikoff Empirical evidence from a large administrative Social interaction in an intergenerational model Dynamic globalization and its potentially alarm- sample, DP 07/2008-019 of informal care giving, DP 07/2008-023 ing prospects for low-wage workers, DP 11/2008-060 Hoevenaars, Roy, Theo Kocken and Eduard Ponds Chen, An, and Xia Su Pricing risk in corporate pension plans: Under- Knightian uncertainty and insurance regulation Gaudecker, Hans-Martin von, Arthur van Soest standing the real pension deal, DP 02/2009-009 decision, DP 04/2008-012 and Erik Wengström Risk preferences in the small for a large population, Hoffmann, Arvid, and Thijs Broekhuizen Clarke, Philip, and Tom Van Ourti DP 04/2008-011 Susceptibility to interpersonal influence in an Correcting the bias in the concentration index investment context, DP 04/2008-054 when income is grouped, DP 01/2009-004 Gaudecker, Hans-Martin von, Arthur van Soest and Erik Wengström Hollanders, David Coe, Norma, and Maarten Lindeboom Selection and mode effects in risk preference The political economy of intergenerational risk Does retirement kill you? Evidence from early elicitation experiments, DP 10/2008-042 sharing, DP 01/2009-011 retirement widows, DP 10/2008-038 48

DP DP 05/2008-016 on and flows worker wages, firm performance, Increasing the legal retirement age: The impact Pedro, Martins, Novo Alvaro and Pedro Portugal programs literacy, information, and financial education Household saving behavior: The role of financial Lusardi, Annamaria consumer choice? PublishedFinancial literacy: An essential tool for informed Lusardi, Annamaria twins? from learn The health returns to schooling— What can we Petter Lundborg, DP 09/2008-029 Predictive regressions: A present-value approach, Koijen, Ralph, and Jules van Binsbergen Life satisfaction Arie, Kapteyn, James Smith and van Arthur Soest fertility in Western Europe The impact of family policy expenditure on Kalwij, Adriaan unemployment Pension reform, retirement and life-cycle Keuschnigg Jaag, Keuschnigg Christian, and Christian Mirela aversion loss myopic of Psychological and environmental determinants and Astrid, TanjaHopfensitz, Wranik and , DP 02/2008-009 , DP 06/2008-018 DP , , DP 01/2009-008 DP 06/2008-017 DP DP 12/2008-040 DP , DP 04/2008-013 DP ,

Forthcoming, DP 01/2009-007

Papers On the cost of regulation under solvency II,On the under of solvency cost regulation Pelsser, An Antoon, Chen and Bernard Carole 10/2008-041 DP corrections, first-order Revisiting The bias of due tothe Gini grouping: coefficient Ourti, Tom Van, and Philip Clarke DP 08/2008-030 ments: Assessing the ex post economic value Time and risk diversification in real estate invest Carolina Fugazza Nicodano, Giovanna, Massimo Guidolin and Portrait, France, Portrait, Rob and Alessie Dorly Deeg erational accounting, Public investment funds and value-based gen Molenaar Ponds, Eduard, Roy Hoevenaars and Roderick DP 09/2008-043 quantification ofbasis mortality risk, Stochastic portfolio specific mortality and the Plat, Richard funding, DP 10/2008-049 pension of origin political The Enrico, Perotti, and Armin Schwienbacher DP 05/2008-031 tions explain health at older ages? An application application An ages? to functional limitations of Dutch older individuals, older at health explain tions macro-condi Do life early and contemporaneous ness of default options, default attractive of the ness explains What choice: no or Choice Rooij, van, Maarten and Federica Teppa DP 05/2008-015 DP 01/2009-003 DP 11/2008-032 DP

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DP DP 10/2008-047 Risk aversion for nonsmooth utility functions, Würth, and Andreas, Hans Schumacher ance products, CVaR pricing and hedging in Unit-Linked insur Würth, and Andreas, Hans Schumacher DP 07/2008-025 expectations and pension scheme participation, Preparing for policy changes: Social security Wiel, Karen van der DP 01/2009-006 Time consistency of nonconvex risk measures, Roorda, Berend, and Hans Schumacher Being locked up hurts, up locked Being Roon, Frans de, Jinqiang Guo and Jenke ter Horst DP 10/2008-048 DP DP 08/2008-058 DP

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NEA Papers Boender, Guus, Jitske van Londen and Panel Papers 49 Sacha van Hoogdalem Molenaar, Roderick, Roderick Munsters and Reëel pensioenmanagement, NEA 15 Kapteyn, Arie, and Tatiana Andreyeva Eduard Ponds Retirement patterns in Europe and the US, PP 6 Differentiatie naar jong en oud in collectieve Ewijk, Casper van, Pascal Janssen, Niels Kortleve pensioenen: Een verkenning, NEA 7 and Ed Westerhout Mackenbach, Johan, Wilma Nusselder, Optimale pensioenen en FTK, NEA 16 Suzanne Polinder, and Anton Kunst Nijman, Theo, and Alwin Oerlemans Compression of morbidity: A promising approach Maatwerk in Nederlandse pensioenproducten, to alleviate the societal consequences of popula- NEA 8 tion aging? PP 7

Spoor, Lou Jong, Frank de, Peter Schotman and Bas Werker Je huis of je leven? Eigen betalingen voor woon- Strategic asset allocation, PP 8 en welzijnsvoorzieningen voor ouderen en opti- malisatie van de pensioenportfolio, NEA 9 Beetsma, Roel, and Heikki Oksanen Pension Systems, ageing and the stability and Bodie, Zvi, Henriëtte Prast and Jan Snippe growth pact (PP 9, revised version) Individuele pensioenoplossingen: Doel, vormgev- ing en een illustratie, NEA 10 Kalmijn, Matthijs, and Rob Alessie Life Course changes in income in the Netherlands, Teulings, Coen PP 10 Hoe kunnen we onze risico’s efficient delen? Principes voor optimale sociale zekerheid en Pelsser, Antoon, and Peter Vlaar pensioenvoorziening, NEA 11 Market-consistent valuation and risk manage- ment for pension fund, PP 11 Molenkamp, Jan Bertus Fiduciair management: Panacee voor pensioen- Doorslaer, Eddy van, Hans van Kippersluis, fondsen?, NEA 12 Owen O’Donnell and Tom Van Ourti Socioeconomic differences in the lifecycle evolu- Gortzak, Peter tion of health: Do the poor age more quickly? PP 12 Naar een solide en solidair stelsel, NEA 13

Verheij, Gerard Het Nederlandse pensioenstelsel: Weerbaar en wendbaar, NEA 14 50 Theses Laros, Ruben (internship at Cordares) Timmermans, Sjoerd (UvT)

Papers Pension awareness and the role of information: Intergenerational risk sharing Students enrolled in the master program Econom- Forewarned is forearmed ics and Finance of Aging and in other educational Verboort, Gerda (UvT) programs offered by universities that participate Leeijen, Mark (internship at Aegon) Pension at risk in Netspar have written their thesis on topics Pension ALM from a corporate view related to the Netspar research program. These MSc Theses theses are often based on an internship with one Mahieu, René (internship at SVB) Baeten, Steef (EUR) of Netspar’s partners. We present an overview of The changing role of premiums in the Dutch Country comparison of health inequalities the theses. first-pillar pension, AOW Heijer, Gerben den (UvT) Theses MSc Economics and Nijland, Jeroen (internship at SVB) Evaluation of the performance of the Lee-Carter Finance of Aging Legislation based on reality model in the Baltic states

Custers, Bart (internship at PGGM) Salah, Lemer (internship at Cordares) Hooghwerff, Steven (UvT) The added value of age differentiation in pension Reverse mortgages An individual-claim copula model for the volatil- deals ity of non-life insurance loss reserves Voets – van Dam, Patricia (internship at PGGM) Du, Caicai (internship at APG) Quantifying longevity risk in Pensioenfonds Kok, Renske (EUR) Welfare loss for different age cohorts in Dutch DB Zorg en Welzijn Health care system process utility compared;

pension funds Forthcoming Using a hierarchical ordered probit regression Wang, Senmiao analysis Duman, Umit (internship at APG) Testing the price limit in the Shanghai stock The role of investment in the debt overhang exchange Oosthuizen, Jessica (UvT) hypothesis: A structural factor-augmented vector A stochastic discount factor valuation approach autoregressive approach to VAR models Published and Published Theses from affiliated economic Feng, Ke (internship at Ortec) programs Qu, Lin (UvT) Pension risk analysis from a corporate perspective Local volatility model and its application to unit- BSc Theses linked insurance product pricing Haan, Jurre de (internship at Cordares) Bakker, Joost de (UvT) The price of a guarantee in a defined-contribution Evaluating decumulation strategies Smit, Maarten (UM) scheme A carefree pension life: A retirement without care Hamers, Bas (UvT) or without troubles Janssen, Johan (Internship at NZA) Modeling solidarities in partner pension From a PAYG-system to a partially funded system Stam, Peter (UvT) in the AWBZ: Are medical saving accounts an Krahé, Lukas (UvT) A market-consistent value of mortality profit- option for the Netherlands? How does retirement age differ in different pen- sharing contracts sion systems? Vreeswijk, F.J.A. (UvT) Cui, Jiajia (UvT) 51 Pooling pension funds in the European Union Essays on pension scheme design and risk management Wouterse, Bram (EUR) Solidarity in the Dutch healthcare system: A life- Hoevenaars, Roy (UM) cycle approach Strategic asset allocation and asset liability management Xiao, Jianbin (UvT) Commodity strategies and term spreads Koijen, Ralph (UvT) Essays on asset pricing MPhil Theses Bissonnette, Luc (UvT) Kok, Nils (UM) Empirical study on the effect of beliefs concerning Corporate governance and sustainability in global the pension system on saving property markets

Fedotenkov, Igor (UvT) Rooij, Maarten van (UU) The spillover effects of ageing and pension reform Financial literacy, retirement provisions, and in the world with perfect labour and capital household portfolio behavior mobility

Geen, Alexandra van (UvT) Risk aversion and asset integration

Lammers, Marloes (VU A) The effects of savings on reservation wages and search effort

Wang, Yu (EUR) Unexpected inflation and the cross section of expected stock returns

PhD Theses Adema, Yvonne (UvT) The international spillover effects of ageing and pensions

52 Netspar (co-)organized 18 events between April 1, papers are discussed twice a year (in the spring 2008 and April 1, 2009 on a wide variety of topics. and the fall) during panel meetings. Discussants Some events are primarily of an academic nature, include representatives from the academic and while others focus on timely issues in the Dutch non-academic partners of Netspar, as well as policy debate. renowned international academics. The papers of this spring session are published in the panel April 11, 2008 in Tilburg: papers series as PP 6, 7, 8 and 9. Netspar – ABP Seminar Economie van Collectieve Strategic Asset Allocation Pensioenen Peter Schotman (UM and Netspar), Frank de Jong This seminar on pension policy was organized prior and Bas Werker (UvT and Netspar). to the inaugural lecture of Eduard Ponds. In his Discussants: lecture, Ponds suggests integration of optimal life- Hens Steehouwer (ORTEC) cycle planning in collective pension agreements. Niels Kortleve (PGGM and Netspar) Jaap van Dam (PGGM). Optietheorie en Waardering van de Claims van de Stakeholders Retirement Patterns in Europe and the US Theo Kocken (Cardano) Arie Kapteyn (RAND and Netspar) Discussant: Olaf Sleijpen (APG and UM) Discussants: Rob Euwals (CPB and Netspar) Optimale Verhouding tussen Toezicht en Pen- Adrie Moons (SZW) sioensector Klaas Knot (DNB and RUG) Pension Systems, Ageing and the Stability and Discussant: Willem Boeschoten (Shell Asset Growth Pact Management Company) Roel Beetsma (UvA and Netspar) and Heikki Oksanen (European Commission) Pension Fund Governance / eigendomsrechten Discussants: Netspar Events Netspar Jean Frijns (VU A and Netspar Fellow) Ed Westerhout (CPB and Netspar) Discussant: Arnoud Boot (UvA) Clemens Kool (USE)

Naar Meer Jong en Oud in Collectieve Pensioenen Compression of Morbidity Inaugural lecture Eduard Ponds (APG, UvT and Johan Mackenbach (EUR and Netspar) Netspar) Discussants: Hans-Martin von Gaudecker (VU A and Netspar) April 23, 2008 in Tilburg: Tom Van Ourti (EUR and Netspar) Netspar Panel Panel Papers outline the implications of new developments in the academic literature for policy questions faced by Netspar’s partners. These

May 29, 2008 in Utrecht: Je Huis of je Leven? Theme 2: Uitvoering van Pensioenvoorzieningen / 53 Netspar Debate Lou Spoor (Achmea) Schaalvergroting Netspar commissions research papers on a variety Discussants: Discussants: of topics. Partners are invited to comment on Jan Rouwendal (VU A and Netspar) Guus Wouters (Syntrus Achmea) and discuss NEA (Netspar Economic Advisors) Johannes Hers (MinFin) Hans van der Windt (Metalektro) papers with scientists during debates. In contrast to the Panel Papers, these NEA papers contain June 10, 2008 in Tilburg: Theme 3: ZZP’ers strong statements of individual researchers or Junior Pension Day Discussants: authors from the pension and insurance sector. After an introduction by Lambrecht van Eekelen Pieter Omtzigt (Tweede Kamer) During these debates, which are moderated by (SVB), ten students presented the plan for their Alwin Oerlemans (Cordares) a discussion leader, NEA papers are presented by MSc thesis to an audience of fellow students, the authors and discussed with the audience. company supervisors and Netspar researchers. A Theme 4: Pensioencommunicatie Both the papers and the discussion are in Dutch. Netspar researcher subsequently discussed each Discussants: The papers presented on May 29 are published in plan; this was followed by a general discussion. Francine Giskes (Stichting Pensioenregister) the NEA papers series as NEA 8, 9, 11 and 12. This set-up provided the students with a lot of Henriëtte Prast (WRR and UvT) useful feedback to further improve their thesis Hoe Kunnen Sociale Risico’s het Beste Worden and gave a nice overview of the variety of subjects June 25 & 26, 2008 in The Verdeeld? covered by the students’ internships in the sector. Hague: Pension Workshop Coen Teulings (CPB and Netspar) The Pension Workshop has a scientific character. Discussants: June 18, 2008 in Rotterdam: This workshop started with a training day, where Guus Boender (ORTEC) VNO-NCW – FNV – Netspar two keynote speakers gave an up-to-date review Jean Frijns (Netspar Fellow) Seminar of current pension research. Keynote speakers In this meeting, co-organized with VNO-NCW and were Brigitte Madrian (Harvard Kennedy School of Maatwerk in Nederlandse Pensioenproducten FNV, two NEA papers were theme-wise discussed. Government) and Jonathan Skinner (Department Theo Nijman (UvT and Netspar) and The NEA papers were: of Economics, Dartmouth College). The second Alwin Oerlemans (Cordares) day of the workshop was an academic conference Discussants: Naar een Solide en Solidair Stelsel with contributed papers. Henriëtte Prast (WRR, UvT and Netspar) Peter Gortzak (FNV) Fieke van der Lecq (EUR) and Plenary Sessions Het Nederlands Pensioenstelsel: Weerbaar en Fiduciair Management: Panacee voor Pensioen- Wendbaar The importance of default options for retirement fondsen? Gerard Verheij (VNO-NCW) saving outcomes: Evidence from the United States Jan Bertus Molenkamp (Kempen & Co and UvA) and Discussants: The discussion themes were: Information and Investor Outcomes Willem Boeschoten (Shell Pensioenfonds) Theme 1: Verdeling van Risico’s in het Pensioenstel- and Robin Fransman (HFC) sel over Werkgevers, Werknemers en Generaties, Mental Accounting in Portfolio Choice: Evidence en Met Name de Rol van Werkgevers Daarin From a Flypaper Effect (paper with James Choi and Discussants: David Laibson) Jan Snippe (Philips Corporate Pensions) Brigitte Madrian (Harvard Kennedy School of Niels Kortleve (PGGM) Government) 54 Are You Sure you’re Saving Enough for Variations in labor market participation of 50+ Parallel sessions Macro Retirement? Dutch women and 65+ Dutch men, 1996-2006 and Christiaan Monden (UvT and Netspar) An analysis of individual accounts for the Out-of-Pocket Medical Expenses and Discussant: Rob Euwals (CPB and Netspar) unemployment risk in the Netherlands retirement security Egbert Jongen (CPB and Netspar) and Poverty and the living arrangements of Discussant: Joachim Inkmann (UvT and Netspar) Comparing the US and European health care unmarried mothers: A dynamic perspective systems using tax data from the Netherlands Keeping up with the ageing Joneses Jonathan Skinner (Department of Matthijs Kalmijn (UvT and Netspar) Ben Heijdra (RUG and Netspar) Economics, Dartmouth College) Discussant: Ed Westerhout (CPB and Netspar) Discussant: Roel Mehlkopf (UvT and Netspar)

Parallel Sessions Micro Dealing with older workers in Europe: A compara- Tax-favored retirement accounts; are they effi- tive survey of employers’ attitudes and actions cient in increasing savings and growth? Financial Literacy, Retirement Planning, and Kene Henkens (NIDI and Netspar) Hans Fehr (University of Wuerzburg, Germany) Household Wealth Discussant: Arthur Giesberts (CBS) Discussant: Lex Meijdam (UvT and Netspar) Maarten van Rooij (DNB and Netspar) Discussant: Peter Schotman (UM and Netspar) Change and stability in intergenerational contact Ageing, debt and inflation in am onetary union in six western countries Yvonne Adema (UvT and Netspar) Financial literacy of consumers Jannes de Vries (UvT and Netspar) Discussant: Ward Romp (UvA and Netspar) Fred van Raaij (UvT and Netspar) Discussant: Rob Alessie (UU and Netspar) Discussant: Peter Kooreman (UvT and Netspar) Parallel sessions Health What is an adequate standard of living during Public pension programmes and the retirement of retirement? Health, health insurance and their effect on married couples in Denmark Johannes Binswanger (UvT and Netspar) retirement behaviour Paul Bingley (Danish National Centre for Social Discussant: Eduard Ponds (APG and Netspar) Jonneke Bolhaar (VU A and Netspar) Research, Denmark) Discussant: David Vonka (UvT and Netspar) Discussant: Tobias Klein (UvT and Netspar) Mental accounting effects of income tax shifting Netspar Events Netspar Naomi Feldman (Ben-Gurion University of the Can subjective survival expectations explain Pension plans and pension outcomes. Who gets Negev, Israel) retirement behaviour? it right? Discussant: Federica Teppa (DNB and Netspar) Owen O’Donnell (University of Macedonia and Mauro Mastrogiacomo (CPB, VU A and Netspar) Netspar) Discussant: Zvi Bodie (Boston University and An artefactual field experiment on risk taking, Discussant: Giacomo Pasini (UU and Netspar) Netspar) risk aggregation, and time preference Jan Potters (UvT and Netspar) Health, work and wealth effects for caring for Changes in the income distribution of the Dutch Discussant: Karen van der Wiel (UvT and Netspar) elderly parents elderly: 1989 - 2005 Courtney van Houtven (UvT and Netspar) Marike Knoef (UvT, CentERdata and Netspar) Discussant: Tom Van Ourti (EUR and Netspar) Discussant: Hans-Martin von Gaudecker (VU A and Netspar) The effects of health insurance and self-insurance A Bayesian panel data approach to explaining Jan van Rijckevorsel (Centrum voor Verzekerings- 55 on retirement behavior market beta dynamics statistiek) discussed with Fieke van der Lecq (EUR) John Jones (University at Albany, State University Rik Frehen (UM and Netspar) Jan Maarten van Sonsbeek (SZW) discussed with of New York) Discussant: Ralph Stevens (UvT and Netspar) Arthur Giesberts (Speerpunt Vergrijzing) Discussant: Owen O’Donnell (EUR and Netspar) The impact of individual investment behavior Arthur van Soest (UvT and Netspar) discussed with Health, financial incentives and retirement for retirement welfare: Evidence from the United Fieke van der Lecq (EUR) decisions in Spain States and Germany Esen Erdogan-Ciftci (EUR and Netspar) Thomas Post (Humboldt University of Berlin) Closing Discussant: Courtney van Houtven (UvT and Netspar) Discussant: Paul Sengmueller (UvT and Netspar) Heino van Essen (PGGM) and Bert Kroese (CBS)

Institutions, health shocks and labour outcomes Pension fund finance and sponsoring companies: September 25 and 26, 2008 in across Europe Empirical evidence on theoretical hypotheses Naarden: The 4th International Pilar Garcia Gomez (University of Pompeu Fabra, Sybille Grob (DNB and Netspar) Longevity Risk and Capital Spain) Discussant: Ronald Mahieu (EUR and Netspar) Markets Solutions Conference Discussant: Arthur van Soest (UvT and Netspar) Netspar co-organized this international event June 27, 2008 in the Hague: with Pensions Institute, HFC and PensionSummit. Flu shots, mammograms and the value of a Seminar CBS – Netspar: During this two-day event, leading international statistical life Rekenen op pensioenen industry and academic minds met and discussed Katherine Carman (UvT and Netspar) This seminar was co-organized with CBS and not only the assessment of longevity risk, but also Discussant: Eddy van Doorslaer (EUR and Netspar) focused on administrative data (e.g. from Dutch the type of instruments needed by pension funds pension funds and insurance companies) and their and insurance companies to hedge this risk. Parallel sessions Finance use for scientific and policy purposes. Plenary Session Annuitization and retirement timing decisions Welcome Zhen Shi (UvT and Netspar) Gosse van der Veen (CBS), George Moller (HFC, Longevity risk and capital markets solutions: An Discussant: Rik Frehen (UM and Netspar) Robeco), Michiel Vergeer (CBS) update David Blake (Pensions Institute) Performance persistence of Dutch pension plans Panel discussion Ronald Mahieu (EUR and Netspar) Longevity risk and regulation of pension funds Discussant: Jenke ter Horst (UvT) Chaired by Heino van Essen (PGGM) with Joanne Kellermann (DNB) Marjolein Quené (SVB), Peter Gortzak, (FNV), Early retirement and homeownership Harold Herbert (VvV) and Marleen Verbruggen (CBS) Epidemiological perspectives on life expectancy Jan Rouwendal (VU A and Netspar) Anton Kunst (Netspar and Erasmus MC) Discussant: Frans de Roon (UvT and Netspar) Parallel sessions Longevity: A Developing Asset Class Gilles Dellaert (Goldman Sachs’ Longevity Markets Francine Giskes (Stichting Pensioenregister i.o.) Group) discussed with Arthur Giesberts (Speerpunt Vergrijzing) 56 Mark Warshawsky Mark Warshawsky Health Expenses Uncertain of Impact The Retirement: in Optimizing the Equity-Bond-Annuity Portfolio Edward Whitehouse Burden? Risk and Who the Pensions: Bears Life-Expectancy Business) of School (Australian Michael Sherris Longevity Risk Securitization, Structuring and Pricing of Marcos Flores Players, Size, and Structures Pricing Market: Longevity UK Overview Bart Oldenkamp Pension DB for Risk Longevity Hedging Workshops Longevity Problems and Investment Solutions Investments) (APG Ronald Wuijster Investment and Problems Longevity Søren Fiig Jarner Small- Börse) Mario (Deutsche Michael Schultz Risk Longevity Evaluation and - Risk Transfer Indices Xpect and Data Xpect Russ Securities Jochen Longevity-Linked of Pricing the On Nicholas Verwilghen Multi-manager Rates, by Learnt a Lessons Interest and Inflation Longevity— Trade-off: Risks Big Three The r egion egion (LMU Munich) (LMU (Credit Suisse) m ortality ortality (Cardano) (ATP) (Watson (Watson Wyatt Worldwide) (OECD) (EIM) m odeling

Netspar Events (Boston College) Buy Anthony (Boston Webb Actually Might - People Annuity Annuity An Deferred Life Advanced the Evaluating University) Hua (Temple Chen Pricing Approach Cubic Value Risk and Extreme Premium, Risk Longevity Min-Hung Tsay University) (National Central and Jumps Default Risk Mortality with Swaps Survivor Pricing Composition Anja De Waegenaere Portfolio and Design Product of The Effect Risk in Portfolios: Annuity Longevity Erik Tornij (ING) Solutions Backtesting Stochastic Mortality Models: Models: Mortality Stochastic Backtesting Laurens Swinkels Liability in Driven Investing Generation Next The Hedge: Longevity Hal Pedersen Securitization Risk Mortality Modeling: Applications to Insurance Group) Investments Guy Coughlan Longevity of the and Hedges Attractiveness Longevity of Effectiveness The Modeling and Pricing Longevity Risk in the Dutch Dutch the in Risk Insurance Market: Challenging Topics Longevity Pricing and Modeling School) Kevin Dowd Density Forecasts An Ex-Post Evaluation of Multi-Period-Ahead (Nottingham University Business Business University (Nottingham (University of Manitoba) (University (JP Morgan’s Pension Solutions Solutions Pension Morgan’s (JP (Robeco) (UvT) & Practical Practical

Taiwan Mortality Rates by Marriage Status Jack C. Yue Marriage by Rates Mortality Taiwan Age-Period-Cohort Model and its Application to University) Risk, Non- Liabilty Allocation under Systematic Mortality Study Sharon Yang Empirical An Risk: Longevity Modeling Hong-Chih Huang (National Chengchi University) Longevity Plans Pension Risk in Contribution Defined Incorporating Allocation Asset Optimal Lex Lex Hoogduin Theo Kocken Blake David Henk van Broekhoven Tom Boardman Kogure Atsuyuki Comparison, Measuring and Pricing A Bayesian Evaluation of Longevity Risk: Model Enrico Biffis Securitizing and Tranching Exposures Longevity Jean de Pinquet Paris (Université X Nanterre) Insurance Purchase and Portfolio Economic Analysis of the Timing of Long-Term of Care: a Risk Description Spanish Paul Hance Aggregate Value-at-Risk Bonds to an Reduce Economy’s Using Survivorship Jennifer Wang Panel Panel Uncertainty d iscussion iscussion with p (National (National Chengchi University) (AEGON) arallel arallel Shift, and Parameter (Pensions Institute) (Imperial College) (Imperial (Cardano Group) (National Central University) (National Central (Robeco) (National Chengchi University) (Prudential plc) (Prudential , Yoshiyuki Yoshiyuki Kurachi (ING) v oting on oting (Keio s tatements:

Gavin Jones (Swiss Re) November 5 & 6, 2008 in Complexity in Retail Financial Markets 57 Guy Coughlan (JP Morgan’s Pension Solution Tilburg: Theme Conference The Bruce Carlin (UCLA Anderson School of Management) Group) Private Provisions of Pensions Onno Steenbeek (APG) Research findings on this theme of both Netspar Long-Term Strategic Asset Allocation: An Out- research fellows and other researchers, national of-Sample Evaluation October 16, 2008 in Tilburg: and international, were presented and discussed. Bart Diris, Franz Palm, and Peter Schotman (UM) Netspar Panel Theme coordinator is Peter Schotman (UM). Panel Papers outline the implications of new Time and Risk Diversion in Real Estate Invest- developments in the academic literature for policy Susceptibility to Interpersonal Influence in an ments: Assessing the Ex Post Economic Value questions faced by Netspar’s partners. These Investment Context Carolina Fugazza (CeRP-CCA), Massimo Guidolin papers are discussed twice a year (in the spring Arvid Hoffmann (UM), Thijs Broekhuizen (RUG) (Manchester Business School), and and the fall) during panel meetings. Discussants Giovanna Nicodano (Netspar) include representatives from the academic and Rational Pension Products for Irrational People non-academic partners of Netspar, as well as Henriëtte Prast (UvT), Zvi Bodie (Boston Conclusion renowned international academics. The papers of University) David Laibson (Harvard University) and Paolo this fall session are published in the panel papers Sodini (Stockholm University). series as PP 10, 11 and 12. DC Pension Plan Defaults and Individual Welfare Jiajia Cui (UvT) November 18, 2008 in Tilburg: Life course changes in income in the Netherlands Seminar Optimale Pensioenen Matthijs Kalmijn (UvT and Netspar) and Minimum Funding Ratios for Defined-Benefit P Similar to the Netspar Debates, NEA 7, 15 and 16 Rob Alessie (RUG and Netspar) ension Funds were discussed at this event. FTK, inflation and Discussants: Jan van Ours (UvT), Arjen Siegmann (VU A) age differentiation are the themes of this seminar. Arthur van Soest (UvT and Netspar) Faculty Seminar (organized jointly with CentER) Reëel pensioenmanagement Market-consistent valuation and risk management David Laibson (Harvard University) Guus Boender, Jitske van Londen and Sascha van for pension funds Hoogdalem (ORTEC) Antoon Pelsser (UvA and Netspar) and Peter Vlaar Can Governments Boost Voluntary Retirement Discussant: Cees Dert (ABN AMRO) (APG) Savings via Tax Incentives and Subsidies? Discussants: Dirk Broeders (DNB), Giacomo Corneo (Free University of Berlin), Optimale Pensioenen en FTK Gaston Siegelaer (Towers Perrin) Matthias Keese (Ruhr Graduate School in Casper van Ewijk (CPB and Netspar), Pascal Economics / University of Duisburg-Essen), and Janssen (PGGM), Niels Kortleve (PGGM and Socioeconomic Differences in the Lifecycle Carsten Schröder (Christian-Albrechts University Netspar) and Ed Westerhout (CPB and Netspar) Evolution of Health: Do the Poor Age More Quickly? of Kiel) Discussant: Dirk Broeders (DNB) Eddy van Doorslaer, Hans van Kippersluis, Owen O’Donnell and Tom Van Ourti (all EUR and The Role of the Annuity’s Value of the Decision (not) Differentiatie naar jong en oud in collectieve Netspar) to Annuitize pensioenen: Een verkenning Discussants: Federica Teppa (DNB), Monika Bütler (University of St. Gallen), Roderick Molenaar (APG), Roderick Munsters (APG) Anton Kunst (Erasmus Medical Centre) Stefan Staubli (University of St. Gallen), and and Eduard Ponds (APG, UvT and Netspar) Maria Grazia Zito (University of St. Gallen) Discussant: Frank de Jong (UvT and Netspar) 58 Johan Johan Mackenbach Discussion Discussion and Job Job van Exel Subjective Subjective Peter Kooreman probabilities Subjective Subjective Werner Brouwer r Theme coordinator is Theme coordinator national and were discussed. and presented international, researchers, other and fellows research onfindings Research this themeof bothNetspar Valuation and Risk Management Amsterdam: Theme Conference December 12, 2008 in is Theme coordinator national and were discussed. and presented international, researchers, other and fellows research onfindings Research this themeof bothNetspar Theme Conference Living December 4, 2008 in Rotterdam: in Mathieu Mathieu Filippo Implementing QIS4 Jong de Cees II - Solvency Still Flu James Hammitt Subjective elevance g s hots and hots the ood e h e xpectations about xpectations; xpectations; ealth (Open University and UvA - ACIS) - UvA and University (Open (EUR) h ealth c (UvT and Netspar) and (UvT losing losing (Harvard School of School Public (Harvard Health) (Eureko and VvV) and (Eureko (EUR) f e ar ar to e licitation of licitation xpectations and xpectations (EUR) Antoon Pelsser Johan Mackenbach g r o... emarks i ntroduction and ntroduction h s ubjective ubjective ealth and ealth l (UvA). ifestyle l (EUR). onger

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Netsparurvival Events and and Childhood Childhood Alessie Rob Phil Vermeulen II: the Solvency Securing Pieter Bouwknegt A II Can Solvency James Smith James Lindeboom Lindeboom Theme coordinators are respectively are respectively Theme coordinators national and were discussed. and presented international, researchers, other and Netspar fellows both of research decisions) retirement and Pensions, savings, and cycle life the across work and onfindingstwo themesResearch (Income, health Health and Retirement Rotterdam: Theme Conference December 18, 2008 in Antoon Pelsser Problems with Diversification Calculations André van Vliet II of Impact on Solvency ALM-policy Netspar) and Theo (UvT Nijman Solvency Franka Liedorp QIS4: The p ractitioner’s ractitioner’s l abor abor s w upervision for upervision s h ay 4ward Arthur (UvT). Arthur van Soest and (UU) upply (VU A) (VU and ealth (UvA and Netspar) and (UvA i Paul Paul de & Beus Dennis Dennis & van Welie mprove mprove v (Ortec) iew e (NationaleNederlanden) ffects on ffects Eddy Eddy van Doorslaer p r b ension isk isk enefits l m ater ater anagement? anagement? (Ernst & Young) & (Ernst f unds unds and i ncome, ncome, (DNB) Maarten Maarten w (EUR), (EUR), i nsurers

ealth How How Workers Nearing Workers Retirement c Ex- True: Come Not do Dreams When Discussant: Carman Katherine Discussant: Wiel der van Karen Information of in Real-Life Role Expectations Formation The News? the Heard You Have Discussant: Adriaan Kalwij Households’ Financial Situation and Discussant: Rob Euwals Pilar Garcia Gomez UK the in Health Richard Disney A Cross-Country Analysis Disability Claims over the Business Cycle: Discussant: Being Tobias Klein Well Subjective and Retirement Discussant: Raymond Montizaan Maarten Lindeboom b The hanges in Retirement System on Mental Health of of Health Mental on System Retirement in hanges ehavior c ase ase of r eal eal e ffects on and Labour Exist Market ffects p eople eople r Ralph Stevens Angel Lopez Stefan Stefan Hochguertel Bernard van Praag Norma Coe Eric Bonsang Eric and etirement , Rob Alessie Rob m and and ake ake , Andrew Andrew Jones , and Andries de and Grip l Johannes Binswanger Johannes p ong- reparation and reparation Marike Knoef Marike Knoef and t erm erm

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January 28, 29 and 30, 2009 in Social security systems, human capital, and In sickness and in health: How does marriage 59 Amsterdam: Pension Workshop growth in a Small Open Economy affect survival in the chronically iII? The Pension Workshop has a scientific character. Michael Kaganovich (Indiana University) Emilia Simeonova (IIES Stockholm University) Keynote speakers were Deborah Lucas (North- Discussant: Jochen Mierau Discussant: Maarten Lindeboom western University) and Dirk Krueger (University of Pennsylvania). At this workshop the prizes for Growth and the ageing Joneses Optimal decision making, rules of thumb and age the Netspar Thesis Awards were granted. Walter Fisher (Institute for Advanced Studies) Tibor Besedes, (Georgia Institute of Technology) Discussant: David Hollanders Discussant: Jan Potters Plenary sessions Pension funding and Individual Accounts in Preferences for goods and time and the retire- Issues in DB Pension Plan Valuation and Asset economies with life-cyclers and myopes ment decision Allocation (Part I) Fabian Kindermann (University of Wuerzburg) Mette Gortz (AKF - Danish Institute of Govern- and Discussant: Monika Buetler mental Research) Issues in DB Pension Plan Valuation and Asset Discussant: Frederic Vermeulen Allocation (Part II) Political intergenerational risk sharing and Vincenzo Galasso (Bocconi University) Pensions and household wealth accumulation Properly Accounting for DB Pension Liabilities and Discussant: Roel Beetsma Gary Engelhardt (Syracuse University) Why It Matters Discussant: Rob Alessie Deborah Lucas (Northwestern University) Will the Norwegian pension reform reach its goals? Life cycle time allocation and saving in an imper- Sharing of Idiosyncratic and Aggregate Risk Across Erling Holmoy (Statistics Norway) fect capital market households Discussant: Peter Broer Ray Rees (CES University of Munich) and Discussant: Mauro Mastrogiacomo Optimal progressive labor and capital income Dynamic globalization and its Potentially taxation Alarming Prospects for Low-Wage Workers Do Danes and Italians rate life satisfaction in the and Sabine Jokisch (Ulm University) same way? How do households respond to income shocks? Discussant: Ed Westerhout Viola Angelini (University of Padua) Dirk Krueger (University of Pennsylvania) Discussant: Arthur van Soest Parallel Sessions Micro Parallel Sessions Macro Parallel Sessions Finance Labour Supply Response and Fiscal Impact of an Grossman’s health threshold and retirement Earnings Test Reform Pension regulation and the market value of pen- Titus Galama (RAND) Erik Hernaes (Frisch Centre) sion liabilities: A contingent claims analysis using Discussant: Peter Kooreman Parisian options Financial and Redistributive Impact of Reforming Dirk Broeders (DNB) and An Chen (UvA and Netspar) Longevity and aggregate savings the Old-Age Pension System in Belgium Discussant: Frank de Jong Eytan Sheshinski (Hebrew University of Jerusalem) Marjan Maes (UC Louvain - HU Brussel) Discussant: Ward Romp Discussant: Rob Euwals 60 Discussant: Joachim Inkmann Surplus the in Consumption Ratio Policies Portfolio Parametric Discussant: Antoine Bommier Portfolio Portfolio Discussant: Economics) Fangyi Jin Realistic a Retirement with Age Distribution Choice Portfolio Life-Cycle Discussant: University) (York Moshe It? Milevsky About Worry Hedge Just or Retirees Inflation Should Minimization: Ruin Lifetime Discussant: Roel Mehlkopf Effects Welfare and Fund Labor Pension Supply Distortions Policies: Do Discussant: of Joshua Chicago) Rauh (University p The Discussant: Jiajia Cui Discussant: Iain Clacher Capital and Expenditure DC DC romises romises p d i ension efined efined ntergenerational ntergenerational (UTwente, APG and Netspar) and APG (UTwente, c hoice hoice under (Central University of Finance and University (Central p b Jiajia Cui Arjen Siegman Bertrand Melenberg Ralph Ralph Stevens Nick Draper Joachim Inkmann Eduard Ponds Maarten van Rooij (Leeds University Business School) Business (Leeds University lan lan enefit enefit (UvT and Netspar) and (UvT d efaults and efaults (University of Toulouse) of (University (UvT and Netspar) and (UvT p ension t u ransfer of ransfer ncertain ncertain p rofitability? C ontributions ontributions Reduce i ndividual ndividual l p ifetime ublic ublic p w ension ension

elfare Netspar Events Discussant: Lans Bovenberg by Induced the Credit Crisis Questions and Lessons Go? to Where Discussant: and MnServices) Roel Beetsma Premiums in Pension Plans The Macroeconomic Consequences of Recovery Discussant: Solinge (NIDI) Kene Henkens Pension Planning The Parallel Discussant: Group) Sky Lex (Blue van Vorselen A sociological perspective in and Dutch Pensions: Justice Solidarity Discussant: Netspar) and Theo (UvT Nijman Plans Recovery of Design Optimal Discussant: Niels Kortleve Risk Discussant: Steffan Ball Returns Market Stock Expected Household Consumption, Choice Portfolio and i Sharing Using Age Dependent Indexation Rules mpact of Subjective Life Expectancies on on Expectancies Life Subjective of mpact s ession ession Current Dutch Gerard Riemen Casper van Ewijk Margriet Adema Lans Lans Bovenberg Onno Steenbeek Theo Kocken Paul Paul Sengmueller (Federal Reserve Board) (Federal Reserve and Hanna Hanna van and Netspar) and (NIDI (PGGM and Netspar) and (PGGM (UvT and Netspar) and (UvT Ward Romp Ward

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coordinator is coordinator CPB with and Co-organized MinFin. Theme national and were discussed. and presented international, researchers, other and fellows research onfindings Research this themeof bothNetspar r m Theme Conference The February 5, 2008 in the Hague: Netspar) Discussant: David Hollanders Sharing The Political Economy of Intergenerational Risk Discussant: Jan Bonenkamp Sharing and Labour Supply Funded Pension Schemes, Intergenerational Risk Discussant: Netspar) and Thijs (CPB Knaap and First- the in Second Pillar Sharing Risk Intergenerational Netspar) Discussant: Kent Smetters Produce Gains? Efficiency Privatization Security Social Does Netspar) and UvA Casper van (CPB, Ewijk Introduction Netspar). eform acroeconomics of (CPB, UvA and and UvA Casper van (CPB, Ewijk Netspar) and Theo (UvT Nijman Joana Pereira and Sweder (UvA van Wijnbergen (Wharton) Casper Casper van Ewijk (CPB and Netspar) and (CPB (UvT) (EUR) p (CPB, UvA and and UvA (CPB, ension

Pensions, International and Intergenerational March 25, 2009 in Tilburg: 61 Risk Sharing in General Equilibrium Netspar Anniversary Meeting Ward Romp (UvA and Netspar) On the occasion of Netspar’s fourth anniversary, Discussant: Ed Westerhout (CPB and Netspar) a special meeting was organized, opened by Jan Nijssen (Netspar). Key players in the Dutch pension Social Security, Self-Control Problems and and insurance sector convened to discuss innova- Unknown Preference Parameters tions in pension contracts. Both the papers and Alessandro Bucciol (UvA and Netspar) the discussion were in Dutch. Discussant: Ben Heijdra (RUG and Netspar) Zelfstandige Zonder Pensioen February 26, 2008 in the Hague: Fieke van der Lecq (EUR) and Alwin Oerlemans Seminar Indexleningen (Cordares and Netspar) This private event discussed index-linked bonds. Paul Tang, member of the Dutch House of Sparen en Beleggen over de Levenscyclus, mede in Representatives for CDA, opened this day. het licht van ZZP’ers Frank de Jong (UvT and Netspar) Introduction Roderick Munsters (APG) and Erik Wilders Invoering API is een no-brainer (Agentschap) Jacqueline Lommen (Hewitt)

Inflatierisicopremie Wat is de Risicovrije Rente voor het Verdisconteren Geert Bekaert (Columbia University) van Verplichtingen? Discussant: Guus Boender (Ortec) Antoon Pelsser (UvA and Netspar)

Begrotingsregels en EMU-saldo Kredietcrisis en Pensioenen: Structurele Lessen en Casper van Ewijk (CPB and UvA) Korte Termijn Beleid Discussant: Roel Beetsma (UvA), followed by Lans Bovenberg (UvT and Netspar) and plenary discussion Theo Nijman (UvT and Netspar)

Missing Markets Kredietcrisis en pensioenen: Modellen Zvi Bodie (Boston University) Guus Boender (Ortec) Discussant: Niels Kortleve (PGGM), followed by plenary discussion

List of of List 62 AOW Algemene Ouderdoms Wet (Dutch MPhil Master of Philosophy National Old Age Pensions Act) MSc Master of Science BSc Bachelor of Science MTI Maatschappelijk Topinstituut (Soci- CBS Centraal Bureau voor de Statistiek etal Top Institute) (Statistics Netherlands) NEA Netspar Economic Advisors CDA Christian Democrats (Dutch political NIDI Nederlands Interdisciplinair party) Demografisch Instituut (Nether- CentER Center for Economic Research lands Interdisciplinary Demographic (at Tilburg University) Institute) CPB Centraal Plan Bureau (CPB Nether- NIVRA Koninklijk Nederlands Instituut voor lands Bureau for Economic Policy Register Accountants (Organization Analysis) of Dutch Register Accountants) COMPARE Toolbox for Improving the Compara- NN Nationale Nederlanden (Dutch bility of Cross-National Survey Data insurance company) with Applications to SHARE NVAO Nederlands-Vlaamse Accreditatie- DB Defined Benefit organisatie (Dutch Accreditation DC Defined Contribution Authority) DNB De Nederlandsche Bank (the Central NWO Nederlandse Organisatie voor Dutch Bank) Wetenschappelijk Onderzoek (Neth- DP Discussion Paper erlands Organisation for Scientific ECCE European Centre for Corporate Research) Engagement OCenW Ministerie van Onderwijs, Cultuur en EFA Economics and Finance of Aging Wetenschap (Ministry of Education,

Abbreviations (MSc program at Tilburg University) Culture and Science) EUR Erasmus Universiteit Rotterdam OECD Organisation for Economic Co-oper- (Erasmus University Rotterdam) ation and Development EZ Ministerie van Economische Zaken PhD Doctor of Philosophy (Ministry of Economic Affairs) RUG Rijksuniversiteit Groningen (Univer- FNV Dutch employees association sity of Groningen) GP Huisarts (General Practitioner) SHARE Survey of Health, Ageing and Retire- IZA Institute for the Study of Labor ment in Europe FTK Financieel Toestingskader (Dutch SVB Sociale Verzekeringsbank (Social solvency rules) Insurance Bank) HFC Holland Financial Centre SZW Ministerie van Sociale Zaken en MaGW Maatschappij- en Gedragsweten- Werkgelegenheid (Ministry of Social schappen, NWO (Social Sciences, Affairs and Employment) Dutch Research Council) UM Universiteit Maastricht (Maastricht MinFin Ministerie van Financiën (Dutch University) Ministry of Finance)

UMBS Universiteit Maastricht Business 63 School (Maastricht University Business School) USE Utrecht School of Economics UU Universiteit Utrecht (Utrecht University) UvA Universiteit van Amsterdam (University of Amsterdam) UVB Unie van Beroepspensioenfondsen (Association of Occupational Pension Funds) UvT Universiteit van Tilburg (Tilburg University) VB Verbond van Verzekeraars (Association of Industry-wide Pension Funds) VBA Beroepsvereniging van Beleggings- professionals (Association of Financial Professionals VNO-NCW Dutch employers association VU A Vrije Universiteit Amsterdam (Free University Amsterdam) VvV Verbond van Verzekeraars (Dutch Association of Insurers)

64 Netspar Annual Report 2008 April 2008 – April 2009

Production Netspar

Editing Etc. Editing, Breda Leen Preesman, Swift Journalism Heiloo Rik Oerlemans, Breda

Colophon Gaby Versmissen, Netspar

Design Esther van Eeuwijk, Joost Beelenkamp, Beelenkamp Ontwerpers, Tilburg

Photography Bart van Vlijmen Photography

Printing Drukkerij Lecturis, Eindhoven

May 2009

Netspar Annual Report 2008 Report Annual Netspar 2008

Visiting address Faculty of Economics and Business Administration Tilburg University Warandelaan 2 5037 AB Tilburg

Postal address P.O. Box 90153 5000 LE Tilburg The Netherlands Phone +31 13 466 2109 E-mail: [email protected] www.netspar.nl Annual Report Annual Report