Netspar Annual Report 2007 Report Annual Netspar

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 2007

Annual Report 2007 Network for Studies on Pensions, Aging and Retirement

Partners of Netspar

Pension funds and Universities Public sector assett liability companies

Insurance companies and banks

Other organizations

Contents

Preface 5 State of affairs 6 Research 9 Themes 12 Education 22 Knowledge exchange 26 Supplements 51 List of abbreviations 51 Colophon 76

Preface 5

The annual report for 2007 surveys the many activities a macroeconomic area within the European perspec- Netspar is very pleased that all that Netspar– now three years old– has developed in tive. As more countries in the expanded European partners have pledged to con- the year under review. The abundance of these activi- Union place greater emphasis on developing fully tinue their commitment, and ties is due not only to the increasing importance that is funded pension systems, the desire to reduce the vul- is particularly grateful for the being attached internationally to building up pensions nerability of funded systems to macroeconomic shocks strong support from the Dutch and providing social security, but also to the enthusi- will be shared by other countries. For this reason, it is government. Altogether, this asm and energy that characterizes the young Netspar gratifying that Netspar has been chosen by the Euro- support through April 2011 makes organization. pean Science Foundation to map the European research it possible for Netspar to not only priorities relating to ‘pensions, aging and retirement continue existing programs but As agreed, an intensive evaluation was held in 2007 in Europe’. This will provide a good opportunity for also devote more attention to of the first Netspar years. Both the Scientific Council, Netspar to assume an important place in the European international issues and interna- comprised of leading international scientists, and the networks in this field. tional networking. evaluation commission, comprised of representatives of Netspar partners and the Dutch National Science The commitment shown by the partners of Netspar Foundation (NWO), reached very positive conclusions. also implies an important responsibility for Netspar to Most remarkable was the compliment for the speed at address the improvements that were suggested in the which Netspar has got underway. That could happen evaluation. Netspar is implementing various initia- only through a unique combination of high-quality tives for strengthening contacts with partners, such as knowledge and strong organizational talent aimed at clearly indicating what the objectives and the target practical results. groups are for conferences and workshops, form- ing Netspar teams for each partner and improving Netspar is very pleased that all partners have pledged the alignment of research with policy issues that are to continue their commitment, and is particularly important to the sector. grateful for the strong support from the Dutch gov- ernment. Altogether, this support through April 2011 Extending the network also certainly includes connec- makes it possible for Netspar to not only continue tions with Holland Financial Centre. This collaboration existing programs but also devote more attention to offers a unique opportunity for the Netherlands to international issues and international networking. strengthen its position in the financial area. This is an This is in line with the increasing desire of the Dutch opportunity we mustn’t miss. pension and insurance sector to put the challenges it faces in an international perspective. Within the Dick de Beus general issue of developing diversity in Europe, the Netspar Fellow and Chairman of Netspar Evaluation Dutch system, because of its strong accent on fully Commission 2007 funded capital, is vulnerable to what can happen in 6 State of affairs

Successful evaluation and In 2007, Netspar followed up on its commitment to prolonged partner commitment promote strong pension systems in Europe by further Netspar was successfully evaluated in 2007. Following this intensifying international contacts. Stronger capital- result, we could proudly announce that the Dutch gov- funded occupational pension systems in other European ernment and the partners from the pension and insur- countries strengthen the political support for European ance sector jointly raised €14 million to finance Netspar’s regulations that better suit the Dutch pension system plans for the period until April 2011. These plans aim at and lead to important business and investment oppor- developing Netspar as a knowledge network by spread- tunities for Dutch insurers and pension administration ing out its international wings in order to promote strong companies. Netspar aims to export and import knowl- pension systems in Europe. Furthermore, we want to edge on aging and pensions by cooperating with inter- strengthen our partner contacts. The first steps to meet national researchers, by acquiring EU research funding, these goals have already been made this year. and by organizing international conferences.

A special evaluation committee, consisting of repre- The European Science Foundation selected Ageing, sentatives of Netspar partners and the Dutch National Health and Pensions in Europe in 2007 as one of two new Science Foundation (NWO), assessed Netspar’s first three topics in the Forward Looks research program. Netspar years, based on the input provided by the partners and will be actively involved– together with other European the Scientific Council. Another relevant source of infor- research institutes– in defining the European research mation was Netspar’s own self-evaluation report. In May agenda on pensions, ageing and health for the next 2007 the evaluation committee presented its findings. five- to ten years. This agenda will enable funding agen- The overall judgement was very positive. The following cies to plan their resources to meet future needs. The main scores are based on NWO criteria: research topics that will be studied in the Forward Looks Scientific significance: Very good program fall under three broad themes: Societal significance: Good • Labour market issues National significance: Very good • Income security of an aging population Extent of knowledge transfer: Good • Well-being of the elderly

The two main recommendations of the committee were Several initiatives were launched in 2007 in order to to focus on internationalisation and to intensify the expand Netspar’s network on an international level. partner contacts. Following this positive result, all pri- A visitors’ program invites top researchers to apply for vate partners pledged to continue their commitment to a visit ranging from one week up to three months. This Netspar: 5 million Euros in total. The Dutch government program allows international researchers to join forces then funded the development of the research network with the Netspar research group and present their work with a total of 9 million Euros. at one of the pension days or workshops. Furthermore, Netspar invites proposals for research papers that con- tain new and original work. These papers are submitted The new financial injection enables Expanding social innovation on to the Netspar discussion paper series and are presented Netspar to focus on internationali- an international level at Netspar workshops. Finally, more activities have been sation of its research activities and The new financial injection enables Netspar to focus and will continue to be organized in cooperation with on expanding and exporting Dutch on internationalisation of its research activities and on foreign partners. pension knowledge. expanding and exporting Dutch pension knowledge. State of affairs 7

Intensifying the knowledge institutions aimed at making the Netherlands a Netspar intends to enhance links transfer more attractive location for the financial industry. with the Dutch financial sector Another key priority in 2007, in line with the recom- The intended cooperation between Netspar and HFC also by cooperating with Holland mendation of the evaluation committee, was to will focus on building, exporting and importing pen- Financial Centre (HFC), a joint intensify dealings with the non-academic partners. sion expertise. initiative of several Dutch finan- Initiatives were launched to reach more partner cial institutions aimed at making employees, and to intensify the existing contacts. For The sum of all of the above-mentioned initiatives the Netherlands a more attrac- example, Netspar partners discussed NEA (Netspar Eco- contributes to Netspar becoming the intellectual tive location for the financial nomic Advisors) papers and Panel papers on a variety conscience of the pension and insurance sector and industry. of topics during debates and panel meetings. They a preferred supplier at the beginning of the sector’s also provided valuable feedback on the most relevant innovation chain. research questions in the sounding boards, which are linked with the six Netspar themes. Each of these boards is comprised of both partner employees and Netspar researchers. Netspar teams were also formed to promote and discuss Netspar issues in the inter- nal partner organizations. Furthermore, small-scale thematic meetings with specialists were organized, including a pension day on professional asset man- agement, a discussion on the new Dutch Pension Act, brainstorm sessions on the Dutch pension market and the role of new pension institutions, and a conference on life-cycle policies. Master’s students investigated relevant topics during their internship at Netspar part- ner organizations. Young professionals participated in the Master’s program, and both staff members and board members attended the first three modules of international post-academic courses of the Netspar- UMBS Academy.

In addition to intensifying the partner contacts, Netspar aims at expanding its network with new partners. As of May 2007, ORTEC Finance, an independ- ent specialist in measuring and managing financial risks and returns, joined Netspar. The bundling of forces between Netspar and ORTEC will strengthen the synergy between science and practice in the field of risk management. Netspar intends to enhance links with the Dutch finan- cial sector also by cooperating with Holland Financial Centre (HFC), a joint initiative of several Dutch financial

Aging is not the end of the world Research April 2007 - April 2008 9 Recognition of quality be extended in the years to come, along the lines of the From the micro- to the macro level, Netspar’s research self-evaluation report written in 2007. In 2008, funding explores the behavior of individual households in labor for large-scale projects (up to €250,000) will also be avail- and capital markets, the role of pension funds and insur- able for researchers affiliated with foreign universities. ance companies in facilitating risk sharing within and between generations, and the linkages among labor-, Aging is not capital- and commodity markets. The latter research Papers and publications topic includes the relationship between retirement deci- Netspar has again produced a significant number of sions, the flexibility of the labor market and incentives to Discussion Papers and Academic Publications. The 83 dis- the end of the world accumulate human capital. cussion papers that were published cover a wide range of topics, including The choice between an annuity and The quality of Netspar’s research was not only under- a lump-sum, Health and work of the elderly, and scored in the evaluation by the Scientific Council in the Financial literacy and stock market participation. The spring of 2007, but also received further confirmation 84 academic publications appeared in high-quality during the year as a result of several major research academic journals such as Econometrics, American grants that were awarded to Netspar researchers. Anja de Economic Review, Journal of Public Economics, Journal Waegenaere received a prestigious VICI grant (€1.25 mil- of Health Economics, Journal of the American Statistical lon) for a five-year project on the implication of trends Association, and Insurance Mathematics and Economics. and uncertainty in longevity risk for pension provision. These publications also covered a wide variety of topics, Likewise, Frederic Vermeulen received a VIDI grant (€0.6 ranging from retirement behavior and labor supply, million) for his research on the consumption and savings pension contracts, savings and investment behavior, risk behavior of the elderly. Last, but not least, Bas Jacobs management, investments, to longevity risk. received a VIDI grant for his research on how labor-mar- ket institutions and welfare states influence investments Furthermore, the first five Netspar panel papers were in education. also published. Panel papers aim to survey the relevant literature on a specific question and to link the findings International recognition of the quality of Netspar’s in the literature to policy questions. Summaries of the International recognition of the research is also reflected in the decision of the Euro- panel papers are presented elsewhere in this annual quality of Netspar’s research is pean Science Foundation to ask Netspar to explore the report. NEA (Netspar Economic Advisors) papers take also reflected in the decision of research agenda on aging and pensions for the future. a clear policy position. Four out of the six NEA papers the European Science Founda- Input from many international academics will be col- that appeared in 2007 deal with the API, a new hybrid tion to ask Netspar to explore the lected during a series of conferences. This will result in a pension-provision vehicle in line with the European IORP research agenda on aging and document that will set the scene for European research in regulation that is set to be introduced in Dutch law. pensions for the future. the field for the next few years. The other two NEA papers deal with the impact of the uniform pension contribution rules (‘doorsneepremie‘) A novelty in 2007 was the decision to award grants to on intergenerational solidarity, and take a position in international researchers who work on topics included favor of adjustments in the FTK solvency regime that in Netspar’s research programs. Output from the first explicitly take purchasing power into account. Both research projects that were initiated in this way was panel papers and NEA papers are discussed with partner presented in the Pension Workshop in January 2008. representatives during panel meetings and debates, The collaboration with international researchers will respectively. The papers are subsequently published, 10 Research April 2007 – April 2008

The availability of empirical together with a summary of the discussion, and are micro data is crucial to analyze offered to the partners. An overview of the papers is the behavior of individuals and provided in the supplements of this report. households. Thanks to PGGM, for example, Netspar was able to set up a database that contains infor- Valuable collaboration with mation about the pension- and partners on data early retirement rights of pension- Last but not least, a number of exciting new research fund participants. projects have been initiated. Several of them directly analyze data on individual behavior that have become available through collaboration with Netspar partners. The availability of empirical micro data is crucial to ana- lyze the behavior of individuals and households. Thanks to PGGM, for example, Netspar was able to set up a data- base that contains information about the pension- and early retirement rights of pension-fund participants. The anonymous data that PGGM provided are used for the research theme called Pensions, savings and retirement decisions. The theme analyzes the behavior and well being of Dutch elderly workers and retirees in relation to their pensions and social security provi- sions. As a third party involved in this cooperation, CBS (Statistics Netherlands) links the data to files containing supplementary information. In this way, the researchers can obtain information about demographic attributes, labor market position, income and savings of individuals and households. The preliminary results of the analyses made with the new data are expected at the end of 2008. Prize winners in research 2007

Anja De Waegenaere (Tilburg University/Netspar) was awarded an NWO Vici grant of €1,250,000. Anja investi- gates the effects of increasing longevity on pension and health insurance systems.

On October 18, Roger Laeven (Tilburg University/Netspar) received the Christiaan Huygensprijs 2007 of €10,000 for his PhD Thesis Essays on risk measures and stochastic dependence, with applications to insurance and finance, which he wrote at the University of Amsterdam. The Hudig-Langeveldt Prize 2007 was presented to Frederic Vermeulen (Tilburg University/Netspar) and Netspar director Lans Bovenberg (see photo) for his Bas Jacobs (UvA/Netspar) are two of the young, excellent significant work in the field of aging and life cycle. scientists who were granted a Vidi Grant by the NWO. The board of the Hudig-Langeveldt Foundation peri- They received a maximum of €600,000 each, to spend odically presents the prize to scientists whose work on their research over the next five years. Vermeulen will has proven to be of great significance in the field of analyze how family members make joint decisions on financial services. consumption and labor. Jacobs’ research focuses on how labor-market institutions and welfare states influence During the awards ceremony for the Hudig-Lan- investments in education. geveldt Prize, the Foundation also presented the AON Study Prize 2007 to Tim Willems, student in Netspar’s Matthijs Kalmijn, (Tilburg University/Netspar) has been Master’s program, Economics and Finance of Aging, appointed as member of the ‘Koninklijke Nederlandse for his thesis The Scandinavian Model: Not as desir- Akademie van Wetenschappen’ (KNAW). The two hun- able as it seems. dred members of KNAW are renowned scientists in all areas of scientific research. As an acknowledgement for his scientific merits, Lans Bovenberg received an honorary doctorate from Ghent University in Belgium. 12 Themes

The Netspar themes, which all run The first results and associated expenditures. This theme addresses for a period of three years, are In 2007, Netspar added three new themes to the exist- major dilemmas with respect to the sustainability of aimed at generating coherence in ing themes, so that six themes are currently running in current retirement and disability programs, and the the research program, stimulating which six Dutch universities and the CPB are involved. affordability of equitable healthcare systems. entrepreneurship and engendering The Netspar themes, which all run for a period of three commitment of researchers. years, are aimed at generating coherence in the research The following issues identify the four sub-themes of program, stimulating entrepreneurship and engender- the research program: ing commitment of researchers. In addition to pursu- ing their research, theme participants also contribute I. Health effects on labor force participation to the education program by providing lectures to This project focuses on the behavior of aging individuals the master’s program and by supervising the writing and couples who make decisions concerning their actual of theses on Netspar-related subjects. Furthermore, retirement and the effects of their behavior on labor the theme researchers have regular contact with the force participation. partners through so-called ‘sounding boards’, and Research finding: Regarding the relative roles of health organize events to exchange knowledge with the sector. (changes) versus financial incentives in the transition By selecting new themes on a regular basis, Netspar to retirement from the labor force, financial incentives continuously adjusts its portfolio to new developments appear to be far more important than health changes. in the academic world and the changing interests of its non-academic partners. With regard to the health effects of retirement, it is This section provides an overview of the first results often suggested that retirement is bad for one’s health. of the three themes that started in 2006 and the first This suggests that increasing the retirement ages may activities of the ones that started in 2007. have a beneficial effect on later life health and health care costs. Research finding: We found no short-run effects of Themes that started in 2006 retirement on post-retirement health. Extension of the working life thus does not seem to have any effect on Theme 1: Income, health and work later-life health. across the life cycle Coordinator: Maarten Lindeboom (VU Amsterdam) and II. Inequalities in income, health and healthcare Eddy van Doorslaer (EUR) utilization This project focuses on inequalities in health related to While a large and rapidly growing body of literature income, to the use of healthcare and to health itself. has addressed many questions regarding the link- While we know that such inequalities exist, much less is ages between income and health, many gaps in our known about the processes and policies generating the knowledge remain. The research within this theme observed outcomes. examines how the joint distributions of health and income evolve across the life cycle, particularly as indi- The impact of supplementary private insurance cover- viduals move from working age into retirement. Aging, age on inequity in practice is an important issue in this unfortunately, goes hand-in-hand with an increase theme. This topic can be divided into two questions: in the number of years spent in declining health, often a Does the probability of having private insurance accompanied by greatly increased healthcare needs increase with income and with better reported health? Themes 13 b Are higher socioeconomic groups more likely to take Research finding: We found evidence of systematic By selecting new themes on a up supplemental insurance? differences in reporting behavior by level of education. regular basis, Netspar continu- Research finding: Private insurance positively affects Correcting for these tendencies in a number of Euro- ously adjusts its portfolio to new the probability of consulting a medical specialist in pean countries made the measured disparities in health developments in the academic all countries. Although the second question is also larger. world and the changing interests answered affirmatively, a case study for Belgium found of its non-academic partners. that— in contrast to the situation in other countries— higher socioeconomic status does not affect the number Theme 2: Private retirement provision of hospital spells, GP visits, specialist visits and drug Coordinator: Peter Schotman (UM) consumption. In addition to their mandatory pension rights, house- Data from around the world consistently show that holds also build up voluntary rights— savings and those with more economic resources have better health. investments in financial assets, housing and human Are improvements of income then directly related to capital. This places more responsibility on individuals health? to make informed decisions about retirement savings Research finding: No evidence has yet been found for and investments. This theme investigates the char- causal links between income innovations and health. acterization of the optimal contract for individuals or This suggests that most of the causal links come from the households and how people actually choose financial background and early-life factors of unhealthy individ- products. uals, in addition to their lower earnings capacities. Research has concentrated on the three main topics III. Explaining the health distribution at advanced ages within the theme: The literature suggests that long-run effects of early childhood conditions are important for morbidity and I. Optimal contracts mortality later in life. In particular, the effect of educa- Illiquid housing wealth takes a special position in this tion on health behavior is causal and likely to be of research, as future house price risk is important for core importance for later-life health. Does the impact households. Demographic changes can have a large of adverse events differ with respect to socioeconomic effect on housing demand and house prices in differ- status? ent regions. This adds a large element of peculiar risk to Research finding: Lower socioeconomic classes suffer homeowners that is very difficult to hedge in financial disproportionately from economic shocks, which leads markets. Housing capital must also be taken into con- to an increase in socioeconomic inequality in mortality. sideration when looking at optimal contracts for indi- viduals. Also their heterogeneity in human and financial IV. Issues in the measurement of health and inequality capital must be taken into account. With regard to the reporting of health by elderly, certain Research focus: What constitutes the optimal portfolios educational differences have been identified. Higher of individuals or households during the wealth accumu- educated people tend to report better health. But if lation phase of the working life, the demand and valu- people with differing levels of education— at the same ation of guarantee products close to retirement and the true health level— subjectively report health differently, choice of annuities in the post-retirement phase? then estimates of socioeconomic inequalities in health may be biased. 14 Themes

II. Performance of the industry I. Methods to determine the market-consistent price The above-mentioned suggestions for optimal pension of pension and insurance contracts contracts were compared to what is available in the The valuation of non-traded risk is a core issue in the industry. upcoming Solvency-II legislation (on the solvency Research focus: Our research has contributed to the requirements for insurers), as well as in internal risk- debate on the trade-off between low-cost collective management models of pension providers. Longevity contracts and provisions, and the tailor-made solutions risk is one of the prime examples of such a non-traded for a heterogeneous population. Part of this research risk factor. also considers the additional value of intergenerational Research findings: We used an indifference price insurance in (DB elements of) the pension contract. approach to develop a consistent pricing frame- work, and relate it to the pricing rule-of-thumb that III. Individual behavior practitioners use: Best estimate plus a market value Many individuals feel they are financially well pre- margin. The best estimate corresponds to the expected pared for retirement. However, the behavioral finance discounted value of the claims. The market value mar- literature shows that even those individuals who are gin can be interpreted as a safety load, which usually financially more interested and literate make bad depends on the expected risk-aversion coefficient. investment decisions. This research relates to actual Under general assumptions, we developed an approxi- individual behavior. mate pricing framework for life insurance liabilities Research finding: A preliminary analysis of partici- using utility indifference. The resulting pricing rule is pation in the recently introduced Dutch Levensloop clearly linked to the best estimate plus a market value scheme indicates that individuals are responding margin rule-of-thumb. slowly but consistently to the opportunities in this plan. II. Results on optimal regulation and the interaction between insurers and the regulator Theme 3: Valuation and risk This project analyses how to choose regulatory inter- management for insurance companies vention levels in order to control the shortfall prob- and pension funds ability of an insurance company. Whenever the impact Coordinator: Antoon Pelsser (UvA) of regulatory authorities’ rules on the fair value of company’s liabilities and assets is non-negligible, then This theme investigates the area where management a “fixed volatility rule” for the regulatory intervention of financial risks meets the “classical” actuarial risks. levels of the insurance company follows a dynamic The primary application of this theme is risk manage- investment strategy. The project also analyses the ment and asset and liability management by pension interaction between the regulatory rule and the insur- funds as well as insurance companies. The focus is on ance company’s risk management. internal risk management and external supervision Research focus: What happens when the insur- and regulation. ance company is informed of the regulation rules, and trades according to a discrete risk management The main research findings up to date are spread hedging strategy, instead of staying passive until the over the various research lines that are set out in this contract’s maturity? theme: Themes 15

III. Results on option-pricing anomalies The theme also produced another important project Guarantee contracts play a central role in pension that was not directly foreseen in the theme applica- provision. The valuation of such guarantees is closely tion: linked to that of put options. Research findings: This project contributes to the V. The risk and return of private equity funds literature on explaining why such put options are The analysis of risk and return of private equity funds is substantially more expensive than the most stand- usually based on self-reported net asset values, which ard models suggest. Jump- and volatility risk are the will typically imply a bias towards outperformance of important drivers of these deviations. The project the asset class. This project develops a methodology studies international integration of markets for this to estimate abnormal returns and risk exposure that risk. For each market separately, we provide evidence is based on actual cash-flow data of private equity that volatility and jump risk are priced risk factors. funds. We found little evidence of global unconditional Research findings: We found a high market beta for pricing of risk. In investigating the presence of time- venture capital funds and a low beta for buyout firms. variation in the cross-market relationships, we found The risk-adjusted returns of the average private equity evidence that option markets have become increas- fund are reported to be surprisingly low. The paper ingly interrelated. The benefits of diversifying jump- also sheds on previous findings that larger and more and volatility risk internationally are substantial, but experienced funds have higher returns, by showing declining over our sample, in line with the hypothesis that this is mainly caused by higher risk exposures of of increased but imperfect integration of world mar- those funds, and not by abnormal performance. kets for jump- and volatility risk.

IV. The impact of adding housing futures to an inves- tor’s optimal portfolio-choice problem Homeownership is an important component of finan- cial wealth for a large proportion of the elderly. This research project assesses the economic benefits of flexible trading opportunities for real estate through the benefits of access to housing futures for home- owning investors. The project compares the utility gains of housing futures with the economic benefits of two other important housing-related portfolio decisions: (i) incorporating the housing exposure in financial portfolio choice and (ii) mortgage choice. Research finding: The portfolio implications and wel- fare improvements of the housing futures are small. This is mainly due to the large remaining idiosyncratic house price risk, which cannot be hedged using futures written on a city-level house price index. “Pensioenkijker.nl welcomed the oppertunity of cooperating The Law of with Netspar” the Restraining Lead Themes 17

Themes that started in 2007 twice that of individuals with very high income (the top 10% of the income distribution). Theme 4: Pensions, savings and retirement decisions II. Pensions, pension expectations, and savings Coordinators: Rob Alessie (UU) and Arthur van Soest (UvT) Policy uncertainty in social security: Do subjective “Pensioenkijker.nlexpectations relate to savings? Occupational pensions, third-pillar products, and Since an aging population creates policy uncertainty social security benefits are aimed at guaranteeing in old-age social security, forward-looking individuals welcomedsufficient income and financial security the for the elderly. oppertunityare likely to adapt savings. The relationship between Policymakers, pension funds and insurance compa- subjective expectations regarding a policy change and nies want to know whether the financial security they private savings is examined. provide serves the population ofin an optimal cooperating way. This Research findings: People who are pessimistic about theme focuses on the microeconomic aspects of this future policy and think that old-age social security broad question. benefits will fall tend to have larger financial wealth. with Netspar”Those who think that the age at which they are enti- Four subthemes have been distinguished. The main tled to receive these benefits will change to an older research findings of each are summarized below. age tend to have lower financial wealth. The latter relationship is partly mitigated when the expectations I. Trends in income and wealth holdings regarding the general retirement age are taken into Economic well-being and poverty among the elderly: account. This indicates that the Dutch public confuses An analysis based on a collective consumption model the age at which one becomes eligible for benefits with With the aging of the population, the economic well- the mandatory retirement age. being and poverty among the elderly becomes impor- tant. Research in this area focuses on couples as well as III. Financial incentives and retirement behavior widows and widowers. Phased- and partial retirement: Preferences and Research findings: The well-being of women is advan- limitations tageous for the welfare of elderly couples. However, There is a trend in Europe towards working longer. The the drop in economic well-being following the hus- Dutch government is studying the possibilities of par- band’s death is substantial for women. For men, the tial retirement and phased retirement to achieve that picture is reversed. goal. Partial retirement is defined as a change to a less demanding job (usually with fewer hours and a lower Mortality risk and households’ financial situation wage); phased retirement is defined as a reduction in For several reasons it is important to investigate the issue work hours in the same job. The literature on partial of differential mortality: Is there a negative relationship and gradual retirement in the US, Europe and more between mortality risk and a household’s financial situ- specifically, the Netherlands is considered. ation? Most importantly, mortality has implications for Research findings: Gradual retirement is rather low in the degree of income redistribution of the public pension Western countries, due to institutional restrictions, system and for the aggregate saving rate. real or perceived disadvantages on the employ- Research findings: The mortality risk of individuals ers’ side, macroeconomic circumstances and the exit with very low income (to be precise, the group in the routes that are available, such as early retirement. lowest 10% of the income distribution) seems to be Gradual retirement is nonetheless generally seen as 18 Themes

an opportunity to keep older workers longer at work. Theme 5: The macroeconomics of This can be realized by increasing financial incentives, pension reform applying less stringent rules on combining work with Coordinator: Casper van Ewijk (CPB) partial pension receipt and employing tax measures that make gradual retirement more attractive for This research theme focuses on macroeconomic workers and less expensive for employers. aspects of the three-pillar pension system: state pen- sions (1st pillar), mandatory supplementary pensions Early retirement behavior in the Netherlands: (2nd pillar) and private savings (3rd pillar). Evidence from a policy reform In the early 1990s, the Dutch labor unions and Within this theme there are six projects. employer organizations agreed to transform the gen- erous and actuarially unfair early retirement schemes I. Econom ic and demographic risks to pensions in into less generous and fairer schemes that reward an ageing society individuals for postponing retirement. This theme seeks to compare various types of pen- Research findings: After estimating the causal impact sion schemes with regard to a number of aspects. of the policy reform on early retirement behavior, we One important aspect is the vulnerability of a pension determined that policy reform has indeed induced scheme to various types of aggregate risks, both from a workers to postpone retirement. In particular, reduc- demographic and an economic nature. This is espe- ing both implicit taxes (the substitution effect) and cially important for policymakers who attach great early retirement wealth (the wealth effect) positively value to the robustness of the pension scheme with affected the retirement age. respect to major aggregate shocks.

IV. Financial incentives (pension and social security Research focus: We analyze the vulnerability of wealth) and consumption, saving and portfolio pension schemes, taking into account demographic behavior effects, economic effects and budgetary effects. Financial literacy and stock market participation Financial knowledge and skills are becoming more II. Pension system and risk sharing between genera- and more important for households in a world with tions a growing supply of complex financial products and What are the characteristics of an optimal pension governments relying on the individual responsibility scheme? Optimality can be defined in numerous ways, of households. but in the context of pension schemes it has some- Research findings: Our study concerning financial thing to do with intergenerational equality: equal- literacy found that the understanding of households ity between young, working generations and retired with regard to such basic economic concepts as generations, between current- and future generations inflation, interest rate and interest rate compound- and between various working cohorts of different age. ing is far from perfect, but outperforms their limited Research focus: What type of pension contribution knowledge with regard to stocks, bonds and financial and what kind of indexation policies and pension fund markets. investment policies can be considered optimal, subject to the constraint of continuity of the pension scheme? What is the optimal relation between the first- and second pillars in multi-pillared pension schemes? Themes 19

III. Risk sharing in pension schemes in the presence of Research findings: The increased savings cause long- economic and demographic risks: applied stochastic run growth to be higher in a closed economy, provided modelling capital and labor are not strong substitutes. The reverse This project compares different types of pension holds for a small open economy. More funding can schemes numerically. The project focuses on the therefore turn out to be a curse instead of a blessing for behavioural consequences of changing the structure of future generations, unless countries implement their the pension scheme: consumption-saving, portfolio- reforms simultaneously or impose a tax on labor-inten- allocation and labour supply effects. sive services. Research focus: How do collective DC schemes com- pare with pure DB schemes and hybrid schemes that VI. Economic effects of the supervisory framework for combine elements of pure DB and DC schemes? How pension funds do the welfare gains of intergenerational risk sharing This project analyzes some imperfections in current pen- compare with the welfare losses that are due to labour sion contracts and, related to that, supervisory policies. market distortions? In what ways can pension funds absorb investment shocks and what might this imply for risk spreading over generations? IV. International spillovers from monetary, pension and Research focus: In addition to the on-going analysis retirement policies described above, the researchers have also developed This project focuses on various types of important a proposal for a system that spreads risks over genera- macroeconomic interactions between countries. Pension tions, which does not differ a great deal from current reforms should thus ideally be judged from an interna- practice but avoids some of the problems of current tional angle, which will provide insight into the effects contracts. that reforms in our own country may have on the econo- mies of other countries, and vice versa. How do pension reforms in countries with pay-as-you-go (PAYG) schemes Theme 6: Living longer in good affect countries with funded systems? The international health: Prospects, strategies, and spillover effects of aging will also be explored. consequences Research findings: In the long run, a country using a Coordinator: Johan Mackenbach (EUR) funded pension system experiences negative spillovers from the fact that the other country uses a PAYG system. There is an urgent need for developing strategies that The short-run spillovers, however, are opposite to the can help to alleviate the societal consequences of the spillovers in the long run. aging of populations. Many of the studies carried out to address this challenge, unfortunately, perceive the V. Pension reforms, income distribution and the labor ill health that tends to accompany aging as some kind market of ‘independent variable’ that leads to higher rates of What kinds of effects might pension policy reforms have morbidity, work disability, and demand for health- on economic growth? Focusing on the switch to a more and social care services. We aim to find solutions that funded pension scheme, the researchers analyze the postpone morbidity and/or its consequences (func- consequences in an economy that consists of a capital- tional decline, disability, dependence on health- and intensive commodity sector with endogenous growth social care services) until a later moment in the human and a labor-intensive services sector. lifespan. “Pensioenkijker.nl The core ingredients welcomed the oppertunity of an attractive of cooperating pension system with Netspar” Themes 21

Six projects have been initiated: V. Health of aging populations: Impact on costs of Sounding boards pension systems A new initiative was launched in I. Disability, mortality and life expectancy among the Research focus: The project aims to explore the relation- 2007 aimed at intensifying the elderly: Determinants and entry-points for intervention ships between survival patterns, the health status of “cross-fertilization” between Research focus: This project seeks to determine which the elderly, and their decisions to enter early retirement. Netspar’s researchers and part- diseases and “Pensioenkijker.nlrisk factors have a substantial impact on Information gleaned from the study of these relation- ners. Sounding boards, consist- disability, mortality and life expectancy among the eld- ships will help us to quantify the costs and benefits of ing of both partner employees erly in the Netherlands. We have identified several data pension systems. We developed models for longevity risk and Netspar researchers, are The core ingredients welcomedsources that have potential for studying thethe age profile oppertunityin order to quantify the effect that occurs when uncer- linked with the Netspar themes. of disability and mortality among the elderly in the tain future changes in mortality probabilities impose The boards provide feedback to Netherlands (compared to other European countries). risk on pension funds and (life) insurers (referred to as the theme groups. The initia- of an attractive of cooperatingmacro-longevity risk). tive works both ways: partners II. Disability, mortality and life expectancy among the become actively involved in the elderly: The Rotterdam study VI. Incentives for investing in a long and healthy life Netspar research and researchers pension system Research focus: Datawith from the ERGO study will Netspar” be used Research focus: This project studies the incentives for can better focus their research to longitudinally study relations between exposure to investing in future health for three important soci- according to the areas of interest risk factors and the occurrence of disease, disability and etal actors (the government, health insurers and the of the partners. Many partners mortality. We are currently setting detailed priorities for individual). These incentives are used in reimbursement have responded enthusiastically studying disability and mortality in an elderly population decisions and in the evaluation of health interventions to this idea and have delegated using data of the ERGO study. aimed at improving future health. representatives to the six sound- ing boards. III. Compression or expansion of disability: Past trends and scenarios for the future Research focus: This project, which will develop scenarios for the future development of disability and life expect- ancy, will explore under which conditions a compression of disability is most likely to occur. A start has been made with the development of a Multi State Life Table.

IV. Health of aging populations: Impact on healthcare expenditure and informal care costs Research focus: This project will translate changes in morbidity, disability and mortality into changes in healthcare expenditure. We carried out literature studies and sought expert opinion in order to investigate the determinants of healthcare consumption and costs and the role of the final year(s) of life. The next step will be to compare different estimation models for healthcare expenditures and identify the data sources required for further study. 22 Education

For Netspar’s partners, internships Training young talent and Students value the program provide an attractive opportunity professionals How have the students reacted? To gain insight into the to get to know young talent. In The two educational programs launched by Netspar have experiences of students and to trace possibilities for many cases, this acquaintance completed their first full year. The Master of Science pro- improvement, Netspar held evaluations several times was so successful that it resulted gram Economics and Finance of Aging at Tilburg Univer- during the first year. Most of the students were very sat- in the student starting his pro- sity trains young talent to become the new human capital isfied with the program, which they regard as interesting fessional career at the particular of the sector. The Netspar-UMBS Academy, a cooperative and challenging. Students especially value the close link institution. effort of Netspar and the University of Maastricht Busi- between the program and the sector, and they would ness School (UMBS) provides post-academic training for prefer to have even more contact with Netspar’s part- professionals and board members in the pension and ners. More guest lectures have therefore been included insurance sector. Netspar also contributes to the training in the program this year. Moreover, in cooperation with of young talent by offering courses in other programs. student association Efact, Netspar participated in the This year, for example, Netspar subsidized courses on Economics Day at Tilburg University, where some of Net- Health Economics and the Macroeconomics of Aging in spar’s partners introduced themselves to the students. A the research masters of Dutch universities, organized by further change in the program is that students visit two the Netherlands Network of Economics (NAKE). Due to the Netspar partner institutions during the spring semester. overwhelmingly positive response to these endeavors, Netspar plans to extend these programs in 2008. Partner participation In the first year of the MSc, a number of young profes- sionals from Netspar’s partner organizations participated A challenging graduate program in the program. To stimulate participation, Netspar The Master of Science (MSc) program Economics and adjusted the lecture schedule in the fall of 2007, to make Finance of Aging started in September 2006 with 30 stu- it easier for professionals attending the lectures to com- dents, many of whom managed to complete the program bine this with a job. Moreover, the introductory course by already before October 1, 2007, and received their diploma Lans Bovenberg was videotaped and made available via at one of the two graduation days. These students went the Internet. on to seek jobs, continue their careers or pursue sub- sequent education. A considerable number of students Internships found their first job with one of Netspar’s partners via Internships are a unique and important part of the an internship. In order to keep contact with these young Netspar master program. With the help of the partners, talents in the sector, Netspar supports the initiative taken Netspar is able to offer a substantial number of intern- by some of the alumni to form an association, which ships in various institutions in the sector. A student will will organize several activities and will act as ambas- write his or her MSc thesis based on an internship with a sador of Netspar. In spite of a substantially lower inflow Netspar partner institution. A Netspar researcher and a in 2007— 11 new students enrolled for the full program— professional from the relevant partner institution jointly the actual number of students in the classroom is much supervise these projects, resulting in interesting theses larger, as many students from other programs opt for linking theory to practice. Evaluations show that, in gen- courses within the Netspar Master’s program as electives. eral, both students and partner institutions highly value Netspar’s aim for 2008 is to intensify the marketing of its this set-up, which stimulates students to write their Master’s program among Bachelor’s students, both in the thesis on a subject that is relevant for the sector and, in Netherlands and abroad. the meantime, provides them the opportunity to become Education 23 acquainted with working at the particular institution. gen): Intra-household Allocation, Ageing and Education For Netspar’s partner institutions, internships provide in Overlapping Generations Models. An encouraging an attractive opportunity to get to know young talent. prize for the BSc thesis was handed to Kay Mennes In many cases, this acquaintance was so successful (Tilburg University) for his thesis: Valuation of Pension that it resulted in the student starting his professional Entitlements in Heterogeneous Populations career at the particular institution. Mark Schouten did his internship at AEGON, where he Msc Economics and Finance of Aging is now working in the Asset & Liability Management Program (ALM) department. ’Before starting the internship, I had no real idea of the kind of work that I would Semester 1 enjoy most. The internship was a great experience, • Introduction to Economics and Finance of Pensions though, and when AEGON offered me a job, the choice and Aging was easy! The AEGON employees made me feel like a • Microeconomics of Life Cycle Behavior part of the team and engaged in discussions with me • Investment Analysis of Aging and Pensions I about the work I was doing. This made the internship • Empirical Research in Pension and Retirement a nice experience. Of course, working in a “real” job is Economics different because you’re involved in more areas than • Macroeconomics of Pensions and Aging “just” your thesis research. The work I am doing now is challenging, and comparable to the research I carried Semester 2 out during my internship and the Master’s program as Two courses selected from the following: a whole.’ • Psychology of Economic Behavior

• Health Economics and Aging Patricia van Dam-Voets completed the • Investment Analysis of Aging and Pensions II Master’s Program while working at PGGM • Topics in Economics and Finance of Aging ‘When I started Netspar’s Master’s program, I was (Selection of two modules) working in the Actuarial department at PGGM. I had • Master’s Thesis studied econometrics, and the Master’s program pro- vided an excellent extension of my study. The courses Thesis Awards pursued lines of research about the aging of the popu- To encourage a wider interest among student in pen- lation that were similar to those we had been studying sions and aging-related subjects, Netspar presents in our department. That led to a lot of useful overlap three annual thesis awards— €3000 each for the between my studies and my work. Each semester I did best BSc, MSc and MPhil thesis on subjects related to one or two courses, which was fairly easy to combine Netspar’s research topics. The Netspar Editorial Board with my work. By now I’ve had all the coursework and selects the prizewinners among the candidates from have started on my thesis, which I hope to finish this all participating universities. The awards were pre- sented during the workshop on January 31 in Utrecht. summer. My thesis deals with the mortality tables that Mark Schouten (Tilburg University) wrote the best MSc pension funds make. Imagine that we end up living a thesis: Hedging Inflation Risk. The best MPhil thesis lot longer than they estimate… Well, my thesis explores was written by Jochen Mierau (University of Gronin- what the consequences are for the pension funds and 24 Education

how they can cover this risk. If I still worked in the sions, and was entitled Private retirement provision. The Actuarial department, I could have used this knowl- team of lecturers included, among others, Jeffrey Brown edge in my daily work. Because I’ve changed jobs at (University of Champaign at Urbana), Jean-Francois PGGM, though, I’m actually using more the knowledge Boulier (Crédit Agricole Asset Management), Joost Pen- that I gained in the Investment Analysis of Aging and nings and Piet Eichholtz (both University of Maastricht). Pensions course.’ This module got even higher marks from participants than the first one did. The third module (January 2008) was aimed at members of boards of trustees of public Post-academic training for and corporate pension funds. This module, entitled Fair professionals valuation from board perspective, was taught by Keith The Netspar-UMBS Academy, a joint initiative of Netspar Ambachtsheer (Rotman ICPM), Gordon Clack (Oxford and the University of Maastricht Business School, offers University) and Niels Kortleve (PGGM). high-level postgraduate courses for professionals, managers and policymakers of pension funds, banks and The subjects of upcoming modules in 2008 are Respon- insurance companies, the public sector and supervisory sible investing (May 2008) and International pension boards. On average, around 25 people participate in the systems (November 2008). modules, a perfect size for interactive education, which is one of the requisites of the Netspar-UMBS Academy. Modules Netspar-UMBS Academy • Fair valuation and pension management Interactive character (March 2007) Due to the level of the courses Due to the level of the courses and their international • Private retirement provision (November 2007) and their international and and interactive character, the Netspar-UMBS Academy • Fair valuation from board perspective interactive character, is probably unique in the world. Each course addresses (January 2008) the Netspar-UMBS Academy is a specific theme in the field of pensions and insurance. • Responsible investing (May 2008) probably unique in the world. Both the NIVRA and the Actuarieel Instituut grant Con- • Aging and pensions in Europe Each course addresses a specific tinuing Professional Education credits to participants in (November 2008) theme in the field of pensions the modules of the Academy. and insurance. The program for the academy is designed in conjunction Jeroen Bogers (ABN AMRO) about the module Fair valu- with a sounding board, consisting of representatives of ation and pension management: ‘The set-up of the the partners and the affiliated universities. course is exactly what is needed for professionals in

Understanding pension and insurance issues the pension and insurance sector: To the point, rel- The official launch of the Academy in March 2007 was evant, touching academic issues without losing sight immediately followed by the first moduleFair valua- of practice. The Netspar-UMBS Academy is already from tion and pension management, including presentations the start the most relevant source of knowledge for by Keith Ambachtsheer (Rotman ICPM), Alexander Dyck professionals in this sector.’ (Rotman School of Management), Theo Nijman (Netspar) and Niels Kortleve (PGGM). The participants evaluated this module very positively. While this first module was primarily focused on occupational pensions, the second module in November 2007 addressed third-pillar pen- The emerging customer 26 Knowledge exchange

Most of our partner institutions Intensifying the partner partner representatives who actively take part in have installed Netspar teams relations the theme activities. In 2007, five themes organized within their organizations— teams In order to build a strong network of academic such a pension day. Members of the sounding boards of professionals, usually headed by researchers, financial institutions and govern- will be invited to attend future pension days of their the representative of the partner ment agencies in the Netherlands, Netspar initiated theme. council, that are actively involved a number of new instruments in 2007 to further in Netspar. These teams meet on develop the relationship with the partners. Several a regular basis with representa- new events were also launched to foster exchange Panels and Debates tives from Netspar and academic of knowledge and encourage discussion on relevant Netspar commissions research papers on a variety of researchers. topics. topics. Partners are invited to comment on and dis- cuss these papers with scientists at special meetings. During the Debate meeting in April 2007 the first NEA Sounding boards papers were presented. NEA papers contain strong Since many academic researchers are linked to one statements of individual researchers or authors from or another of Netspar’s research themes, and since the pension and insurance sector. Both the papers these themes result in the core research output of and the discussion are in Dutch. Netspar, steps were taken in 2007 to link professionals Panel papers, on the other hand, outline the implica- from Netspar’s partner organizations to the themes tions of new developments in the academic literature as well. Sounding boards were thus installed in 2007 for policy questions faced by our partners. Several for each research theme. During summer, the partner panel papers were discussed during Panel meetings institutions were invited to nominate representatives in April and October 2007. Both NEA and Panel papers from their own organizations to take part in these are published on the website and in a compact book boards. This led to the set-up of sounding boards series and distributed amongst our partners. for all themes, with about ten to fifteen members each. The sounding board members met with their respective research coordinators for the first time in Taskforces November/ December 2007. During these first meet- Another initiative that links Netspar more closely ings, the coordinators presented their theme and to the partner institutions relates to the role Net- discussed their research plans and initial results with spar wants to play in the Dutch pension debate. An the partner representatives. These first meetings will important instrument in stimulating the pension be evaluated early 2008, and each theme will have debate is the NEA paper. A number of NEA papers will at least two additional meetings with its sounding be guided by a taskforce consisting of representatives board in 2008. from partner institutions. The taskforce discusses the issues of the NEA paper with the author(s) during a number of meetings. As a try-out, the first taskforce Theme Pension Days was installed near the end of 2007, and focuses on the In addition to the regular scientific pension days, pros and cons of customized pension schemes in The Netspar introduced theme-related pension days. Netherlands . The authors of the NEA paper are Theo Theme-related pension days are linked to the Netspar Nijman (Netspar) and Alwin Oerlemans (Cordares). The research themes. Theme researchers discuss the resulting NEA paper will not represent the ‘average’ progress of their group and exchange knowledge with opinion of the task force, 1 2 1 Piet Hein Donner (Minister of Social Affairs and Employment); one of the keynote speakers at the Pension Workshop, January 29-31, 2008

2 Tête-à-tête with Aart Jan de Geus, left, (OECD), Bert de Vries (former Dutch politician and Netspar fellow) and Theo Nyman (Netspar and UvT) at the Pension Workshop, January 29-31, 2008 3 4 3 Bas Jacobs (EUR) and Mei Li Vos (Member of Parliament) at the Netspar Debate, April 26, 2007

4 Niels Kortleve (PGGM), Dirk Broeders (DNB) and Casper van Ewijk (CPB) discussing at the Netspar Panel, April 26, 2007

5 Lans Bovenberg (Netspar and UvT) and Guus Wouters (Achmea/ 5 6 Interpolis) at the Netspar Debate, April 26, 2007

5 Schenly Jonis (Cordares) at the Task Force meeting, January 27, 2008

7 Lively discussion on life-cycle policies, November 30, 2007

8 Jochen Mierau (r), Mark Schouten and Kay Mennes (both l) are the winners of the three theses 7 8 awards that were presented to students of affiliated universi- ties who wrote their thesis on a pensions and aging related issue. The awards were presented dur- ing the workshop on January 31, 2008 in Utrecht. 28 Knowledge exchange

but will reflect the opinion of the authors. The goal of the taskforce is to help the authors in creating a complete set of arguments and to sharpen the debate. When such a NEA paper is presented at one of the Netspar events, members of the taskforce will be asked to serve as discussant.

Netspar teams Most of our partner institutions Most of our partner institutions have installed Netspar have installed Netspar teams teams within their organizations— teams of profes- within their organizations— teams sionals, usually headed by the representative of the of professionals, usually headed by partner council, that are actively involved in Netspar. the representative of the partner These teams meet on a regular basis with representa- council, that are actively involved tives from Netspar and academic researchers. This in Netspar. These teams meet on increases their communication with, and knowl- a regular basis with representa- edge about, Netspar, which facilitates information tives from Netspar and academic exchange concerning internships, upcoming events researchers. and new research. The teams also provide an oppor- tunity for Netspar to develop a more targeted and tailor-made exchange of knowledge.

Informal meetings A number of closed informal meetings have proven to be very useful. Out of the limelight, partners and other participants feel free to discuss issues more openly. This makes it much easier to understand the real arguments. For example, Netspar organized several meetings that addressed the API (Algemene Pensioeninstelling), the Dutch answer to the European IORP directive. 1 2 1 Piece of cake! In 2007 Netspar was successfully evaluated by it’s partners and NWO

2 Alexander Rinnooy Kan (SER), Lans Bovenberg (Netspar and UvT) and Onno Steenbeek, (EUR and ABP) evaluating the new Pension Act, June 12, 2007

3 Panel discussion in The Hague: Analysing life-cycle policies, November 30, 2007 From l to r: 3 4 Joop Hartog (UvA), Koen Cami- nada (Leiden Un.), Alexander Rinnooy Kan (SER), and Lans Bovenberg (Netspar and UvT)

4 Theo Nijman (Netspar and UvT), left, and Carel Hooghiemstra (ABN AMRO) at the Task Force Meeting, January 27, 2008

5 Lans Bovenberg (Netspar and 5 6 UvT) received an honorary doctorate from Gent University, Belgium. Marc 21, 2008

6 he authors of the bundle Frontiers in Pension Finance, l to r, Aerdt Houben (IOPS), Drik Broeders (DNB) and Sylvester Eijffinger (Tilburg University) Collaboration and concentrations in the Dutch pension sector Pension awareness: the sooner the better...

Introducing the Van der Weele Family

The Netspar 2007 annual report features photos and vignettes of a family from the Dutch province of Zeeland. This family serves as a model for the diversity that characterizes our current society, while each of the four generations has a member who can serve as an example of an individual who is striving for a long, happy and healthy life.

Elderly people— who can live in their own surroundings, enjoying good health to a high age. The view of the sea works wonders.

The pre-retirement crowd - with a wealth of life experience, who recali- brate themselves time and again in order to remain true to themselves.

Younger generations— who, full of energetic ambition, make their dreams come true; they start their own cafe, work on a sustainable society and social cohesion, combining career and care for the elderly.

The newborn generation – as yet doesn’t make any distinction between the security of sleep and the stormy discovery of the world. Babies simply grow and enjoy.

Seven arbitrary family members from four generations were portrayed. Each with a picture that symbolizes the stage of life in which they find themselves, and the choices they have made— choices that might or might not have been financially sound. One family member has feathered his nest; the other thinks he is much too young to bother about that.

Warmth and appreciation, care and solidarity characterize the family rela- tionships, even though sometimes the physical distance between them is great.

May we present to you: the Van der Weele Family.

Gerdien Wolthaus Paauw - photographer

48 The people behind the pictures

Steven van der Weele Eva Zweedijk Mitzy van der Weele Born 1922 in Wolphaartsdijk Born 1971 in Hoek Born 1987 in Terheijden Place of residence Vlissingen Daughter of Dinie van der Weele and Daughter of Daan van der Weele and Judith Schiks Married to Lien (60th anniversary on 23 October Rinus Zweedijk Present place of residence Tilburg 2007) Place of residence Voorhout Living with parents Occupation retired District Manager Agricultural Living with her partner and her son Occupation student Social Educational Assis- Union - Vulcaan (part of DSM Hollandse Staatsmi- Occupation secretary at CROS (Commission tance. Internship at Spel aan huis (Game at jnen) Regional Consultation Schiphol Airport) home) - weekly supporting a Turkish family in Life’s motto ‘Liberty - Equality and Fraternity’ Life’s motto ‘Finding the balance between being preschool education Pension provision employer and supplementary a mother and a job’ Life’s motto ‘Make your dreams come true’ through private investments (is still a stock Pension provision employers and supplemental Pension provision ‘I consider myself too young to adept) annuity insurance give it much thought’

Lien van der Weele - Hirdes Vitas Parinussa Merijn Moelker Born 1928 in Kloetinge Born 1980 in Goes Born 2006 in Leiden Place of residence Vlissingen Son of Addie van der Weele and Jan Parinussa Son of Eva Zweedijk and Dignus-Jan Moelker Married to Steven Place of residence Goes Place of residence Voorhout Occupation retired housewife and mother Single Living with his parents Life motto ‘Health and contentment’ Occupation independent hotel and catering Life’s motto ‘To enjoy a 101%!!’ Pension provision with employer husband industry entrepreneur, owner Cafe Lambiek Pension provision finances arranged by last will Life’s motto ‘A day without laughter is a day and savings account parents wasted’ Annemieke van der Weele Pension provision ‘I don’t know yet’ Born 1956 in Kloetinge Place of residence Leiderdorp Daughter of Steven and Lien van der Weele Mother of two grown-up children Occupation receptionist/telephonist at the Child Care Association, Alphen a/d Rijn. Life’s motto ‘Live straight from the heart and accept life as it comes’ Pension provision employer and ex-husband

Family tree 49

Eva Zweedijk - Moelker May 12, 1971

Merijn Moelker Dinie van der Weele - Zweedijk May 7, 2006 July 26, 1948 Dignis-Jan Moelker April 13, 1970

Rinus Zweedijk November 15, 1945

Eelco Zweedijk February 19, 1973

Addy van der Weele - Parinussa Vitas Parinussa September 3, 1949 August 20, 1980

Steven van der Weele Jan Parinussa Tomas Parinussa October 23, 1922 April 15, 1950 April 21, 1985

Lien van der Weele - Hirdes March 17, 1928 Daan van der Weele Mitzy van der Weele May 23, 1954 October 27, 1987

Judith Schiks Simon van der Weele September 14, 1956 January 2, 1991

Annemiek van der Weele Dimitri Huffnagel April 28, 1956 March 8, 1986

Rogier Huffnagel Irene Huffnagel August 3, 1958 December 13, 1988

Supplements

52 Netspar Organization

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 Netspar Organization 53 Advisory Board Partner Council Research coordinators Hans Bosselaar, Stichting Instituut GAK Jan Marc Berk, DNB Ben Heijdra, RuG Dick den Hertog, UvT Merel van Bevervoorde, ING Frank de Jong, UvA- and UvT Erik van Houwelingen, AEGON Hans Bosselaar, Stichting Instituut Gak Theo Langejan, SZW Maarten Camps, SZW Theme coordinators Franz Palm, UM Carel Hooghiemstra ABN AMRO Maarten Lindeboom, VU Amsterdam and Ruud Hagendijk, Cordares Niels Kortleve, PGGM Eddy van Doorslaer, EUR Dick Sluimers, APG Erik van Houwelingen, AEGON Peter Schotman, UM Roeland van Vledder, Fortis Joost Nijtmans, Interpolis Antoon Pelsser, UvA- Fons van de Vijver, UvT Robert Olieman, SVB Rob Alessie, UU and Arthur van Soest, UvT Tom Wansbeek, RuG Stan Steeghs, MN Services Johan Mackenbach, EUR Hens Steehouwer ORTEC Casper van Ewijk, UvA/CPB Scientific Council Tom Steenkamp, APG David Blake, City University London Willem van der Vorm, Fortis ASR MSc Program Director Richard Blundell, University College London Guus Wouters, Achmea Bertrand Melenberg, UvT Zvi Bodie, Boston University Adri van der Wurff, Cordares Tito Boeri, University of Bocconi Netspar-UMBS Academy Director Paul Embrechts, ETH Zürich Editorial Board Rob Bauer, UM Christian Gollier, University of Toulouse Maarten Camps SZW Olivia Mitchell, University of Pennsylvania Henk Don, EUR (Chairman) Director Partner Contacts Luis M. Viceira, Harvard University Peter Kooreman, UvT Frans de Roon, UvT David Wise, Harvard University Joost Nijtmans, Interpolis Rick van der Ploeg, EUI Managing Director Scientific Directors Tom Steenkamp, APG Mylène Zwaans, UvT Lans Bovenberg, UvT Marno Verbeek, EUR Lex Meijdam, UvT Support Staff Theo Nijman, UvT Sounding Board Netspar-UMBS Sylvia van Drogenbroek Arthur van Soest, UvT Academy Martijn van Gruijthuijsen Else Bos, PGGM Sylvia Geurdes-Hanhart Scientific advisors Gordon Clark, Oxford University Fred Hoogeland Coen Teulings, CPB Sven Hougaard Jensen, Copenhagen Business School Marie-Louise Kemperman Arie Kapteyn, RAND Corporation Klaas Knot, DNB Lenie Laurijssen-Leenheer Theo Langejan, SZW Wilma Banyal-Paffen Fellows Maarten Lindeboom, VU Amsterdam Ilse Souhail-van der Pol Dick de Beus (formerly of PGGM) Jan Overmeer, Netspar fellow (Chairman) Margreet Punt-van der Beek Jean Frijns (formerly of ABP and currently Antoon Pelsser, UvA Gerardo Soto Y Koelemeijer VU Amsterdam) Peter Schotman, UM Danielle van der Velde Jan Nijssen (formerly of ING) Jan Overmeer (formerly of AEGON) Bert de Vries (former minister of Social Affairs)

54 Netspar Organization Researchers Valuation and risk management Pensions, savings and retirement for insurance companies and decisions Theme projects pension funds Rob Alessie (theme coordinator), USE Peter Boswijk, UvA Gerard van den Berg, VU Amsterdam Income health and work across Pieter Bouwknegt, Nationale Nederlanden Hans Bloemen, VU Amsterdam the life cycle Jing Cao, UvA Rob Euwals, CPB Gerard van den Berg, VU Amsterdam An Chen, UvA Stefan Hochguertel, VU Amsterdam Han Bleichrodt, EUR Joost Driessen, UvA Tobias Klein, UvT Jonneke Bolhaar, VU Amsterdam Marc Goovaerts, UvA Marike Knoef, UvT Eddy van Doorslaer (theme coordinator), EUR Alexander van Haastrecht, UvA Marloes Lammers, VU Amsterdam Esen Erdogan – Ciftci, EUR Michiel Janssen, UvA Maarten Lindeboom, VU Amsterdam Hans-Martin von Gaudecker, VU Amsterdam Agnes Joseph, UVA Giacomo Pasini, USE Hans van Kippersluis, EUR Rob Kaas, UvA Arthur van Soest (theme coordinator), UvT Bas van der Klaauw, VU Amsterdam Antoon Pelsser (theme coordinator), UvA Frederic Vermeulen, UvT Maarten Lindeboom (theme coordinator), Richard Plat, UvA Hanna Vonkova, UvT VU Amsterdam Coen Teulings, CPB and UvA Angel Lopez, Pompeu Fabra Living longer in good health Nils-Petter Lundborg, VU Amsterdam The macroeconomics of pension Werner Brouwer, EUR Tessa Marreiros Bago d’Uva, EUR reform Eddy van Doorslaer, EUR Owen O’Donnell, EUR Yvonne Adema, UvT Job van Exel, EUR Tom van Ourti , EUR Roel Beetsma, UvA Albert Hofman, EUR Federica Teppa , EUR Jan Bonenkamp, CPB Maarten Janssen, EUR Peter Broer, CPB Bart Klijs, EUR Private retirement provision Nick Draper, CPB Marc Koopmanschap, EUR Rob Bauer, UM Frank van Erp, CPB Anton Kunst, EUR Bart Diris , UM Casper van Ewijk, (theme coordinator), CPB Johan Mackenbach (theme coordinator), EUR Piet Eichholz, UM Igor Fedotenkov, UvT Istvan Matyas Majer, EUR Rick Frehen, UM Thijs Knaap, CPB and USE Claudine de Meijer, EUR Arvid Hoffmann, UM Lex Meijdam, UvT Bertrand Melenberg, UvT) Frank de Jong, UvT Ward Romp, UvA Guus van Montfort, Interpolis/Achmea Frank Lutgens, UM Coen Teulings, CPB and UvA Wilma Nusselder , EUR Roel Mehlkopf, UvT Harrie Verbon, UvT Suzanne Polinder, EUR Kathrin Nies, UM Siert Jan Vos, UvA David Rappange, EUR Peter Schotman (theme coordinator), UM Ed Westerhout, CPB Ralph Stevens, UvT Paul Sengmuller, UvT Henning Tiemeier, EUR Bas Werker, UvT Marc Turlings, Interpolis/Achmea Anja de Waegenaere, UvT Stefan Walter, EUR Netspar Organization 55

Individual projects Anja de Waegenaere, UvT Oliver Weidenmuller, EUR Lieven Baele, UvT Karen van der Wiel, UvT Johannes Binswanger, UvT Sweder van Wijnbergen, UvA Peter Broer, CPB and UvT Katie Carman, UvT For full names of affiliations please refer to list of Norma Coe, UvT abbreviations. Renxiang Dai, UvT Rick Frehen, Maastricht University Willem Heeringa, DNB Ben Heijdra, RUG Paul de Hek, CPB Kène Henkens, NIDI David Hollanders, TI Joachim Inkmann, UvT Egbert Jongen, CPB Matthijs Kalmijn, UvT Thijs Knaap, CPB and USE Marike Knoef, UvT Peter Kooreman, UvT Niels Kortleve, PGGM Roger Laeven, UvT Ronald Mahieu, EUR Mauro Mastrogiacomo, CPB Bertrand Melenberg, UvT Christiaan Monden, UvT Ruud de Mooij, CPB Enrico Perotti, UvA Eduard Ponds, ABP and UvT Jan Potters, UvT Henriëtte Prast, UvT Fred van Raaij, UvT Maarten van Rooij, DNB Jan Rouwendal, VU Amsterdam Hans Schumacher, UvT Zhen Shi, UvT Marno Verbeek, EUR Frederic Vermeulen, UvT Peter Vlaar, DNB David Vonka, UvT Jannes de Vries, UvT

income and expenses 56 2004-2011

Budget Total (including contributions in kind) all amounts in €

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

Income Tilburg University 168 852 774 1.134 2.927 1.375 1.201 1.176 280 4.032 6.959 Other universities 0 316 527 882 1.725 1.770 1.426 899 110 4.205 5.930 NWO Spinoza 53 125 250 250 678 250 250 250 72 822 1.500 GAK Institute Foundation 0 250 250 250 750 250 250 250 0 750 1.500 Government funding 0 1.970 1.940 1.000 4.910 3.250 3.000 3.000 750 10.000 14.910 Private partners 300 1.250 1.300 1.450 4.300 1.600 1.600 1.600 50 4.850 9.150 Public institutions 0 329 340 340 1.008 280 319 280 50 928 1.936 Other 45 94 441 672 1.252 358 425 295 216 1.293 2.545 Total income 566 5.185 5.821 5.978 17.550 9.132 8.471 7.749 1.528 26.880 44.430

Expenses Themes 0 0 857 2.468 3.325 5.367 4.457 3.372 286 13.482 16.807 Scientific directors & coordinators 135 381 481 624 1.621 789 798 812 391 2.790 4.411 Senior faculty 102 1.266 1.281 881 3.530 889 646 494 123 2.153 5.683 Junior faculty 0 147 302 394 842 333 310 386 326 1.356 2.198 PhD & MPhil students 0 23 177 315 515 433 496 377 397 1.704 2.219 Education 0 21 66 235 322 470 445 435 327 1.677 1.999 International visitors & grants 0 0 5 25 30 200 200 200 50 650 680 Data 0 30 26 132 188 100 100 100 0 300 488 NEA & Panel papers 0 0 42 140 182 177 177 177 31 561 742 Conferences & workshops 0 74 191 155 420 160 445 445 155 1.205 1.625 Operation costs & miscellaneous 117 547 691 901 2.256 1.063 998 926 412 3.399 5.655 Unforeseen 0 0 0 0 0 540 495 495 393 1.923 1.923 Reservation personnel fund 0 250 -250 0 0 0 0 0 0 0 0 Total expenses 354 2.739 3.869 6.270 13.231 10.521 9.567 8.219 2.891 31.199 44.430

* Year-end audit of financial statements 2007 is to be conducted. 57

58 Output

Published and Bago d’Uva, T., Doorslaer, E. van, Lindeboom, M. & Jones, A.M., Koolman, X. & Doorslaer, E. van forthcoming papers O’Donnell, O. The impact of supplementary private health insurance april 2007 – april 2008 Does reporting heterogeneity bias health inequality on the use of specialists in selected European coun- measurement? Publication in Health Economics., 17(3), tries, Annales d’Economie et de Statistique, 83-84, Retirement behavior and labor pp. 351-375. pp. 251-275. supply Bovenberg, A.L. Banks, J., Kapteyn, A., Smith, J.P. & Soest, A. van, Kalmijn, M. & Gelissen, J.P.T.M. Comments on capital deepening and wage differen- Work disability is a pain in the ****, especially in The impact of recohabitation on fertility: Evidence tials, Journal of Economic Policy, vol. 49, pp. 104-108. England, the Netherlands, and the United States. from life history data in the Netherlands. Journal of Forthcoming in Health in Older Ages: The Causes and Comparative Family Studies, 38(4), pp. 555-573. Bovenberg, A.L. Consequences of Declining Disability Among the Comments on the effects of competition on equal Elderly, D. Cutler and D. Wise (eds). Kapteyn, A., Smith, J.P. & Soest, A. van treatment laws on gender wage differentials, Vignettes and self-reports of work disability in the Economic Policy, vol. 50, pp. 274-278. Bleichrodt, H. & Doorslaer, E. van US and the Netherlands, American Economic Review, A welfare economics foundation for health inequality 97(1), pp. 461-473. Bovenberg, A.L., Hansen, M.I. & Sørensen, P.B. measurement, Journal of Health Economics 25 (2006), Individual savings accounts for social insurance: pp. 945-957. Kapteyn, A., Smith, J.P. & Soest, A. van rationale and alternative designs. Forthcoming in Dynamics of work disability and pain. Forthcoming in International Tax and Public Finance. Bolin, K., Lindgren, B. & Lundborg, P. Journal of Health Economics. Your next of kin or your own career? Caring and work- Kalwij, A.S. & Alessie, R. ing among the 50+ of Europe. Forthcoming in Journal Kooreman, P. Permanent and transitory wages of British men, of Health Economics. Meten en Weten in de Gezondheidseconomie (2007, 1975-2001: year, age and cohort effects, Journal of November 23). Tilburg: Tilburg University Press. Applied Econometrics, vol. 22, no. 6, pp. 1063-1092 Bolin, K., Lindgren, B. & Lundborg, P., Informal and formal care among the elderly of Europe. Forthcoming Lundborg, P., Lindgren, B., Höjgård, S. & Bolin, K. Schors, A. van der, Alessie, R. & Mastrogiacomo, M. in Journal of Health Economics. Obesity and occupational attainment among the Home and mortgage ownership of the Dutch elderly: 50+ of Europe, Bolin, K., Cawley, J.(eds.). Advances in explaining cohort, time and age effects, De Economist, Bolin, K., Höjgård, S., Lindgren, B., Lindkvist, R. & health economics and health services research, vol. 17: vol. 155, no. 1, pp. 99-121. Lundborg, P. The economics of obesity. New York: Elsevier. Utilisation of physician services in 10 European coun- Soest, A., Bellemare, C. & Kroger, S. tries? The relative importance of individual versus Lundborg, P. Measuring inequity aversion in a heterogeneous institutional factors, forthcoming in International Smoking, information sources, and risk perceptions. population using experimental decisions and subjec- Journal of Health Care Finance and Economics. New evidence on Swedish data, Journal of Risk and tive probabilities. Forthcoming in Econometrica. Uncertainty 34, pp. 217-240. Brown, J.R., Coe, N.B. & Finkelstein, A. Health and aging Medicaid crowd-out of private long-term care Michaud, P.-C., Soest, A. van & Andreyeva, T. Andreyeva, T., Michaud, P.-C. & Soest, A. van insurance demand: Evidence from the health and Cross-country variation in obesity patterns among Obesity and health in Europeans ages 50 and above, retirement survey. In J. Poterba (ed.), Tax Policy and older Americans and Europeans, Frontiers of Health Journal of Public Health, 121, pp. 497-509. the Economy, 21 (pp. 1-34). Cambridge, MA: NBER and Economics and Policy, 10(2), pp. 1-30. MIT Press. Output 59

Monden, C.W.S. Hoffmann, A., Jager, W. & Eije, H. von Bütler, M. & Teppa, F. Partners in health? Exploring resemblance in health Social simulation of stock markets: taking it to the The choice between an annuity and a lump sum: Results between partners in married and cohabiting couples. next level, Journal of Artificial societies and Social from Swiss pension funds, Journal of Public Economics Journal of Sociology of Health & Illness, 29(3), Simulation. Volume 91, Issue 10, November 2007, Pages 1944-1966 pp. 321-480. Potters, J.J.M., Sefton, M. & Vesterlund, L. Driessen, J. & Maenhout, P. Savings and investment behavior Leading-by-example and signaling in voluntary An empirical portfolio perspective on option pricing Alessie, R., Hochguertel, S. & Soest, A. van contribution games: An experimental study. Journal of anomalies, Review of Finance, pp. 561-603 (11). Non-take-up of tax-favored savings plans: evidence Economic Theory, 33(1), pp. 169-182. from Dutch employees, Journal of Economic Psychol- Eichholtz, P.M.A. & Kok, N. ogy, 27, pp. 483-501. Raaij, W.F. van & Groot, M. de Ouderenhuisvesting: Ervaringen uit de VS, Economisch Nadelige gevolgen van te veel keuze. Economisch Statis- Statistische Berichten, 92 (4623). Binswanger, J. tische Berichten, pp. 4-9. Risk management of pensions from the perspective of Eichholtz, P.M.A., Kok, N. & Wolnicki, B. loss aversion, Journal of Public Economics, 91(3-4), Rooij, M.C.J. van, Kool, C.J.M. & Prast, H.M. Who should own senior housing? Journal of Real Estate pp. 641-667. Risk-return preferences in the pension domain: are Portfolio Management, 13, pp. 205-218. people able to choose? Forthcoming in Journal of Bovenberg, A.L. & Conneman, P.J. Public Economics. Frehen, R., Hoevenaars, R., Palm, F. & Schotman, P.C. Naar één fiscale regeling voor inkomensderving, Regret aversion and annuity risk in defined contribu- Weekblad voor Fiscaal Recht, vol.136, No. 6726, Soest, A. van & Hurd, M. tion plans. Forthcoming in Insurance: Mathematics pp. 711-719, July 19, 2007. A Test for Anchoring and Yea-Saying in Experimental and Economics. Consumption Data. Forthcoming in Journal of the Cherchye, L., De Rock, B. & Vermeulen, F., The collec- American Statistical Association. Kalmijn, M. tive model of household consumption: a nonparamet- De invloed van scheiding en verweduwing op inter- ric characterization. Forthcoming in Econometrica. Pension Contracts generationale relaties: Vaders en moeders vergeleken. Bonenkamp, J.P.M., Herverdeling in het ouderdom- In T. van der Lippe (ed.), De Maakbaarheid van de Dorn, D., Huberman, G. & Sengmueller, P. spensioen. Economische Statistische Berichten, Levensloop (pp. 59-74). Assen: Van Gorcum. Correlated trading and returns. Forthcoming in Journal pp. 356-359. of Finance. Kalmijn, M. Bovenberg, L., Koijen, R., Nijman, Th.E. & Teulings, T. Gender differences in the effects of divorce, widow- Goriaev, A., Nijman, Th.E. & Werker, B. Saving and investing over the life cycle and the role of hood, and remarriage on intergenerational support: Performance information dissemination in the mutual collective pension funds. De Economist, pp. 347-415. Does marriage protect fathers? Social Forces, 85(3), fund industry. Forthcoming in Journal of Financial pp. 1079-1104. Markets. Bovenberg, A.L. & Maatman, R.M. Vernieuwing van pension fund governance. Forth- Kalmijn, M. & Kraaykamp, G. Hoffmann, A.O.I. coming in Economisch Statistische Berichten. Social stratification and attitudes: A compara- Individual investors’ needs and the investment pro- tive analysis of the effects of class and education in fessional: lessons from marketing, Journal of Invest- Bovenberg, A.L. Europe. British Journal of Sociology, 58(4), ment Consulting, 8, pp. 82- 93. Risk sharing and stand-alone pension schemes, The pp. 547-576. Geneva Papers on Risk and Insurance - Issues and Practice, vol. 32, no. 4.

60 Output

Shkolnikov, V., Scholz, R., Jdanov, D., Stegmann, M. & Roorda, B. & Schumacher, J.M. Broer, D.P. Gaudecker, H.M. von Time consistency conditions for acceptability measures Computable general equilibrium models in policy Length of life and the pensions of five million retired with application to tail value at risk. Insurance: Math- analysis: future directions. Forthcoming in J.M. Alho, German men, forthcoming in European Journal of ematics & Economics, 40(2), pp. 209-230. J. Lassila, and S.E.H. Jensen (eds), Uncertain Public Health. Demographics and Fiscal Sustainability. Cambridge: Macroeconomic effects on Cambridge University Press. Westerhout, E.W.M.T. pensions Régimes de retraite et vieillissement: le cas des Adema, Y., Meijdam, L. & Verbon, H.A.A. Groezen, B. van, Meijdam, A.C. & Verbon H.A.A. Pays-Bas. Les Retraites - Libres opinions d’experts Beggar thy thrifty neighbor: the international spillover Increased pension savings: blessing or curse? Social européens, F. Legros (ed.), Economica, pp. 108-116. effects of pensions under population ageing. Forth- security reform in a two-sector growth model, coming in Journal of Population Economics. Economica, pp. 736-755. Risk Management Chen, A. & Mahayni, A.B. Adema, Y., Meijdam, L. & Verbon, H.A.A. Groezen, B. van, Meijdam, A.C., & Verbon H.A.A. Endowment assurance products— effectiveness of The international spillover effects of pension reform. The case for pay-as-you-go pensions in a service risk-minimizing strategies under model risk. Forth- Forthcoming in International Tax and Public Finance. economy. Scottish Journal of Political Economy, pp. coming in Asia-Pacific Journal of Risk. 151-165. Beetsma, R. & A.L. Bovenberg Chen, A. Pensions and intergenerational risk sharing in general Groezen, B. van & Meijdam, A.C. Loss analysis of a life insurance company applying equilibrium. Forthcoming in Economica. Growing old and staying young: Population ageing in a discrete-time risk-minimizing hedging strategies. closed economy. Forthcoming in Journal of Population Forthcoming in Mathematics and Economics. Bonenkamp, J.P.M. Economics. Macro-economische gevolgen van de doorsnee premie. Hest, T. & De Waegenaere, A.M.B. Pensioen Magazine, pp. 24-28. Groezen, B. van & Meijdam, A.C. Optimal robust and consistent active implementation A blessing in disguise, Investment & Pensions Europe of a pensions fund’s benchmark investment strategy. Bonenkamp, J.P.M., Ven, M.E.A.J. van de & Wester- Magazine, January 17, 2008. Journal of Asset Management, 8, pp. 176-187. hout, E.W.M.T. Macroeconomic aspects of intergenerational solidar- Meijdam, A.C. & Verbon, H. Hoevenaars, R., Molenaar, R., Schotman, P.C. & ity. Costs and Benefits of Collective Pension Systems, Too many migrants, too few services: a model of Steenkamp, T. O.W. Steenbeek and S.G. van der Lecq (eds.), Springer, decision making on immigration and integration with Strategic asset allocation with liabilities: beyond pp. 205-226. cultural distance. Forthcoming in Journal of Popula- stocks and bonds. Forthcoming in Journal of Economic tion Economics. Dynamics and Control. Bovenberg, A.L. & Boone, J. The simple economics of bunching: optimal taxa- Investments Jong, F. de tion with quasi-linear preferences, Journal of Public Ambachtsheer, K. & Bauer, R.M.M.J. Pension fund investments and the valuation of liabili- Economic Theory, vol. 9, no. 1, pp. 89-105. Losing ground: do Canadian mutual funds provide ties under conditional Indexation. Forthcoming in fair value for their customers? Canadian Investment Insurance: Mathematics & Economics. Bovenberg, A.L. & Knaap, T. Review, Spring, pp. 8-14. Ageing, funded pensions and the Dutch economy. Nijman, Th.E. & Swinkels, L. Forthcoming in R. Fenge, G. De Menil and P. Pestieau Baele, L., Pungulescu, C. & Ter Horst, J. Strategic and tactical allocation to commodities for (eds.), Pension Strategies in Europe and the United Model uncertainty, financial market integration, and retirement savings schemes. Forthcoming in Handbook States, MIT Press, Cambridge. the home bias puzzle, Forthcoming in Journal of Inter- of Commodity Investments, F. Fabozzi, R. Fuess and national Money and Finance. D. Kaiser (eds.), Wiley Publishers, with L.A.P. Swinkels. Output 61

Baele, l., Jonghe, O. de & Vennet, R. van der Longevity Risk debate meetings. Panel papers outline the impli- Does the stock market value bank diversification? Andersson, H. & Lundborg, P. cations of new developments in the academic lit- Forthcoming in Journal of Banking and Finance. Risk of own death and the death of others: an analysis erature for policy questions faced by our partners. of road-traffic and baseline mortality risk,Journal of They are discussed during Panel meetings in April Bauer, R.M.M.J, Cosemans, M., Eichholtz, P.M.A. & Risk and Uncertainty 34, pp. 67-84. and October. Both NEA and Panel papers are pub- Goldfinger, M. lished in a compact book series and distributed De prestaties van particuliere beleggers, Economische Gaudecker H.M. von & Scholz, R. amongst our partners. The NEA and Panel papers Statistische Berichten, 92, pp. 228-231. Differential mortality by lifetime earnings in Germany, are displayed in the overview below. Demographic Research, vol. 17, issue 4, pp. 83-108. Brounen, D., Eichholtz, P. & Ling, D.C. Discussion papers Trading intensity and real estate performance, Hari, N., De Waegenaere, A., Melenberg, B. & Nijman, Forthcoming in Journal of Real Estate Finance and Th.E. Retirement behavior and labor Economics. Longevity risk in portfolios of pension annuities. Forth- supply coming in Insurance: Mathematics and Economics. Bloemen, H.G. Driessen, J. & Laeven, L. The impact of wealth on job exit rates of elderly work- International portfolio diversification benefits: cross- Hari, N., De Waegenaere, A., Melenberg, B. & Nijman, ers. DP 2007-047 country evidence, Journal of Banking and Finance, 31 Th.E. (6), pp. 1693-1712. Estimating the term structure of mortality. Forthcoming Bloemen, H.G. in Insurance: Mathematics and Economics. Private wealth and job exit at older age: a random Eichholtz, P. & Kok, N. effects model. DP 2007-031 How does the market for corporate control work for Shkolnikov, V.M., Scholz, R., Jdanov, D.A., Stegmann, property companies? Forthcoming in Journal of Real M., Gaudecker, H.M. von Cherchye, L., De Rock, B., Vermeulen, F. Estate Finance and Economics. Length of life and the pensions of five million retired The revealed preference approach to collective German men, European Journal of Public Health, consumption behavior: testing, recovery and welfare Horst, J.R. ter & Verbeek, M. November 2007, pp 1-6. analysis. DP 2007-012 Fund liquidation, self-selection and look-ahead bias in the hedge fund industry. Forthcoming in Review of Euwals, R., Vuuren, D. van, Wolthoff, R. Finance. Discussion, NEA Early retirement behavior in the Netherlands. and Panel papers DP 2007-013 Huij, J. & Verbeek, M. Cross-sectional learning and short-run persistence in Netspar commissions research papers on a variety Euwals, R., Knoef, M., Vuuren, D. mutual fund performance. Forthcoming in Journal of of subjects. Discussion papers are produced by The trend in female labour force participation: What Banking and Finance. all Netspar researchers and Ph.D. students that can be expected for the future? DP 2007-030 are involved in one or more Netspar research Nijman, Th.E., Goriaev, A. & Werker, B.J.M. programs or themes. It is usually output of a Kapteyn, A., Smith, J.P., Soest, A., Banks, J. The dynamics of the impact of past performance on research proposal funded by Netspar. A DP aims at Labor market status and transitions during the pre- mutual funds, 2004, forthcoming in Journal of Financial publication in high standard scientific journals. retirement years, labor & population. DP 2007-033 Markets. NEA papers contain strong statements of indi- vidual researchers or authors from the pension Lindeboom, M., Kerkhofs, M. and insurance sector. These papers are written Health and work of the elderly. DP 2007-003 in Dutch and discussed with the sector during

62 Output

Wiel, K. van der, Better protected, better paid: Evi- Lindeboom, M., Llena Nozal, A. Klaauw, B. van der, Rooij, M. van, Lusardi A., Alessie, R. dence on how employment protection affects wages. Parental education and child health: Evidence from a Financial literacy and stock market participation. DP 2008-006 schooling reform. DP 2006-032 DP 2007-010

Health and aging Michaud, P.C., Soest, A. van Teppa, F., Bütler, M. Adda, J., Banks, J., Gaudecker, H.M. von Health and wealth of elderly couples: Causality tests The choice between an annuity and a lump-sum: The impact of income shocks on health: Evidence from using dynamic panel data models. DP 2007-006 results from Swiss pension funds. DP 2007-009 cohort data. DP 2007-027 Schokkaert, E., Ourti, T. van, Graeve, D. de, Lecluyse, Dorny, D., Sengmueller, P. Banks, J., Kapteyn, A., Smith, J.P., Soest, A. van A., Voorde, C. van de Trading as entertainment. DP 2007-052 Work disability is a pain in the ****, especially in Supplemental health insurance and equality of access England, the Netherlands, and the United States. DP in Belgium. DP 2007-028 Pension contracts 2007-005 Bonenkamp, J.P.M. Soest, A. van, Andreyeva, T., Kapteyn, A., Smith, J.P. Measuring lifetime redistribution in Dutch occupa- Berg, G.J. van den, Lindeboom, M. Self reported disability and reference groups. tional pensions. DP 2007-036 Birth is the messenger of death – but policy may help DP 2007-002 to postpone the bad news: New evidence on the Brounen, D., Eichholtz, P.M.A., Theebe, M. importance of conditions early in life for health and Soest, A. van, Michaud, P-C., Andreyeva T. The inflation protection from home ownership; Long- mortality at advanced ages. DP 2007-004 Cross-country variation in obesity patterns among run evidence: 1814-2004. DP 2007-037 older Americans and Europeans. DP 2007-016 Doorslaer, E. van, O’Donnell, O., Bago d’Uva, T. Cui, J., Jong, F. de, Ponds, E. Differential health reporting by education level and Soest, A. van, Michaud, P-C., Intergenerational risk sharing within funded pension its impact on the measurement of health inequalities How did the elimination of the earnings test above the schemes. DP 2006-016 among older Europeans. DP 2007-025 normal retirement age affect retirement expectations? DP 2007-007 Eichholtz, P.M.A., Koedijk, C.G., Roon, F. de Doorslaer, E., Jones, A.M., Bago d’Uva, T. The portfolio implications of home ownership. Measurement of horizontal inequity in health care Savings and investment behavior DP 2007-038 utilization using European panel data. DP 2007-029 Bauer, R.M.M.J., Cosemans, M., Eichholtz, P.M.A. The performance and persistence of individual inves- Fugazza, C., Giofre, M., Nicodano, G. Jong, Ph. de, Lindeboom, M., Klaauw, B. van der, tors: Rational agents or tulip maniacs? DP 2007-034 International diversification and labor income risk. Screening disability insurance applications. DP 2008-002 DP 2006-009 Bilias, Y., Georgarakos, D., Haliassos, M. Equity culture and the distribution of wealth. Heeringa, W. Kippersluis, H. van, Ourti, T. van, O’Donnell, O., DP 2008-0010 Optimal life cycle investment with Doorslaer, E. van pay-as-you-go pension schemes: A portfolio Health and income across the life cycle and genera- Rohwedder, S., van Soest, A. The impact of misper- approach. DP 2008-005 tions in Europe. DP 2008-003 ceptions about social security on saving and well- being. DP 2007-035 Jong, F. de, Driessen, J., Hemert, O. van Lindeboom, M. Llena Nozal, A., Klaauw, B. Hedging house price risk: Portfolio choice with hous- Health shocks, disability and work. DP 2007-026 Hochguertel S., Ohlsson H. ing futures. DP 2007-022 Compensatory inter vivos gifts. DP 2007-014 Output 63

Koijen, R.S.J., Nijman, Th.E., Werker, B.J.M. Chen, A. Longevity Risk When can life-cycle investors benefit from time-vary- Loss analysis of a life insurance company applying dis- Cui, J. ing bond risk premia? DP 2006-017 crete time risk-minimizing hedging strategies. Longevity risk pricing. DP 2008-001 DP 2007-041 Koijen, R.S.J., Nijman, Th.E., Werker, B.J.M. Berg, G.J. van den, Lindeboom, M., Lopez, M. Optimal annuity risk management. DP 2007-054 Inkmann, J., Blake, D. Long-run effects on longevity of a nutritional shock in Pension liability valuation and asset allocation in the early life: the Dutch potato famine of 1846-1847. Rouwendal, J. presence of funding risk. DP 2007-008 DP 2007-015 Vergrijzing, eigen woningbezit en vervroegde uittred- ing. DP 2006-033 Jong, F. de Inkmann, J., Lopes, P., Michaelides, A. Valuation of pension fund liabilities in incomplete How deep is the annuity market participation puzzle? Rouwendal, J. markets. DP 2005-024 DP 2007-011 Ageing, homeownership and mortgage choice in the Netherlands. DP 2007-049 Laeven, R., Pelsser, A. Investments Optimal dividends and ALM under unhedgeable risk. Baele, L., Inghelbrecht, K. Rouwendal, J. DP 2007-024 Time-varying integration and international diversifi- Mortgage interest deductibility and homeownership in cation strategies. DP 2007-042 the Netherlands. DP 2007-050 Lutgens, F., Schotman, P.C. Predictability-robust dynamic portfolio choice. Baquero, G., Verbeek, M. Risk management DP 2007-054 A portrait of hedge fund investors: Flows, performance Bernard, C., Chen, A. and smart money. DP 2005-016 On the regulator-insurer interaction in a structural Pelsser, A., Plat, R. model. DP 2007-020 Analytical approximations for prices of swap rate Bauer, R.M.M.J., Eichholtz, P.M.A., Kok, N. dependent embedded options in insurance products. Corporate governance and performance: The REIT- Cao, J., Iseger, P. den, Pelsser, A. DP 2008-008 effect. DP 2007-043 Pricing hybrid options by an efficient Monte Carlo approach. DP 2007-0019 Rooij, M. van, Siegmann, A., Vlaar, P. Cremers, M., Driessen, J., Maenhout, P., Weinbaum, D. Market valuation, pension fund policy and contribu- The role of directors in the mutual fund industry. Chen, A., Mahayni, A. tion volatility. DP 2007-017 DP 2007-044 Endowment assurance products-effectiveness of risk- minimizing strategies under model risk. DP 2007-021 Vlaar, P. Driessen, J., Lin, T-C., Phalippou, L. Term structure modeling for pension funds: What to do Estimating the performance and risk exposure of pri- Chen, A., Pelsser, A., Vellekoop, M.C. in practice? DP 2007-001 vate equity funds: A new methology. DP 2007-023 Approximation solutions for indifference pricing under general utility functions. DP 2007-018 Macroeconomic effects on Frehen, R.G.P., Bauer, R.M.M.J., Lum, H. pensions The performance of US pension funds. DP 2007-045 Chen, A., Wong, T. Heijdra, B. Liquidation of insolvent insurers under incomplete Keeping up with the ageing Joneses. Life course issues information and auditing costs. DP 2007-039 DP 2008-007 Bovenberg, A.L. Grey new world: Europe on the road to geron- tocracy? DP 2007-048

64 Output

Bovenberg, A.L. Vos, M.L., Pikaart, M. Rouwendal, J. The life-course perspective and social policies: Jongeren met pensioen. Intergenerationele Housing wealth and household portfolios in an An overview of the issues. DP 2007-055 solidariteit anno 21e eeuw. NEA 4 ageing society. PP 3

Organization Boone, J., Damme, E. van Kantarci, T., Soest, A. van Bovenberg, A.L. Marktwerking in de pensioensector? NEA 5 Phased and partial retirement: Preferences and Frontiers in pension finance and reform: Institu- limitations. PP 4 tional innovation in the Netherlands. DP 2007-056 Boot, A.W.A., Modernisering van het uitvoeringsmodel voor Berg, G. van den, Lindeboom, M. Bauer, R.M.M.J., Braun, R., Clark, G.L. pensioenregelingen en marktwerking. NEA 6 Birth is the messenger of death – but policy may The emerging market for European corporate gov- help to postpone the bad news. PP 5 ernance: The relationship between governance Munsters, R., Molenaar, R., Ponds, E. and capital expenditures, 1997-2005. DP 2007-051 Differentiatie naar jong en oud in collectieve pensioenen: een verkenning. NEA 7 Theses Consumption Schors, A. van der, Alessie, R.J.M., Mastrogi- Nijman, Th.E., Oerlemans, A. Students that are enrolled in the master Eco- acomo, M. Maatwerk in Nederlandse pensioencontracten. nomics and Finance of Aging, as well as several Home and mortgage ownership of the Dutch NEA 8 students in educational programs offered by elderly, explaining cohort, time and age effects. universities that participate in Netspar, have DP 2007-046 Spoor, L. written their thesis on topics related to the Net- Je huis of je leven? Eigen betalingen voor woon- spar research program. These theses may either Vermeulen, F., Cherchye, L., Rock, B. de en welzijnsvoorzieningen voor ouderen en be based on academic literature or be writ- Economic well-being and poverty among the eld- optimalisatie van de pensioenportfolio. NEA 9 ten during an internship with one of Netspar’s erly: An analysis based on a collective consump- partners. We present an overview of the theses tion model. DP 2008-004 Snippe, J., Prast, H. written during the academic year 2006-2007. De ratio en het optimale ontwerp van individu- ele pensioenregelingen. NEA 10 Theses MSc Economics and Finance NEA Papers of Aging

Bovenberg, L. Panel papers Veronique Achmad (internship at PGGM) Maatman, R., Een ‘10’ voor governance. NEA 1 The trade-off between price and uncertainty in Bovenberg, L., Koijen, R., Nijman, Th.E., Teul- the second-pillar domain Koedijk, K., Slager, A., Dalen, H. van ings, C. Blinde vlekken van de denkers en doeners in de Saving and investing over the life cycle and the Xander van den Biggelaar (internship at pensioensector. NEA 2 role of collective pension funds. PP 1 Watson Wyatt) Which alternative asset classes contribute to real Ewijk, C. van, Teulings, C. Kooreman, P., Prast, H. matching for Dutch pension funds? Efficiëntie en continuïteit in pensioenen: het FTK What does behavioral economics mean for nader bezien. NEA 3 policy? Challenges to savings and health policies Bence Bodo (internship at Ministry of Social in the Netherlands. PP 2 Affairs and Employment) Fiscal impact of immigration from the new EU member states Output 65

Jiayu Cheng (internship at SVB) Rubi Rogel Guzman (internship at Watson Tristan Lacle (UvT) How do Dutch pension funds choose the fran- Wyatt) The timing of annuitization chise in a DB plan? Conditional indexation of pension benefits Kay Mennens (UvT) Tenar de Cock (internship at Ministry of Social Ghulame Rubbaniy Valuation of pension entitlements in heteroge- Affairs and Employment) Modeling the term structure of mortality rates neous populations The effects of IFRS on the Dutch pension system: Are collective DC pension schemes a desirable Mark Schouten (internship at Aegon) MSc reaction? Hedging inflation risk Martin Bakker (UvA) Risicoverschuiving tussen generaties in pen- Maurits Dalm (internship at Cordares) Theo Smid (internship at Ministry of Finance) sioenregelingen Longevity risk measurement and management Aging and financial markets innovations for pension funds Chantal de Groot (UvT) Siert Jan Vos (internship at SVB) Pension schemes from a young person’s per- Nergiz Ercan The new Dutch pension law; an analysis of the spective Introducing NDC as a solution to the informal effect of fair valuation of liabilities on pension economy in Turkey premiums Gerda Polman (UvT) The effect of different indexation policies on the Ronald Gomez-Suarez Jody Wagelmans (internship at CBS) wellbeing of pension fund participants Cream-skimming and risk adjustment in the Incomplete pension rights: the effects of migra- Colombian health insurance system: The public tion on the AOW Martin Lenselink (VU) insurer case Job-, individual-, and situational characteristics Tim Willems (internship at CDA) predicting the motivation to learn: A cross- Jasper de Jong (internship at Ministry of The Scandinavian model sectional study Finance) Increasing labor force participation of the eld- Lin Zheng (internship at Cordares) Maria J. Rivas ((UvA) erly: Who cares? Interest rate sensitivity of real estate invest- A telescope malfunction: Economic myopia in ments and its implication for pension funds decision making Fei Luan Do intended bequest motives play a role in asset Xiaojun Zheng (internship at Ministry of Social MPhil allocation? An examination of stock investment Affairs and Employment) Roel Mehlkopf (UvT) The effects of IFRS on the Dutch pension scheme Dynamic portfolio choice with an endogenous Johan Maessen (internship at Cap Gemini) – Are collective DC pension schemes a desirable retirement date Aging and technology in the Dutch healthcare reaction? market Jochen Mierau (RUG) Selection of relevant theses from Intra-household allocation, ageing, and educa- Eugene Marschall other educational programs tion in overlapping generations models The experience of the pension system in Uruguay BSc and lessons for European PAYG systems Javier A.L. da Costa Gomez (EUR) Ralph Stevens (UvT) Liability-driven strategic asset allocation for The impact of longevity risk on the cost and Xiaoyan Qi European pension funds: A surplus benefits of old age Second-pillar pension system in China

66 Events

Pension Workshops Peter Broer, CPB and Netspar Stefan Hochguertel, VU Amsterdam and Netspar Social security risk in general equilibrium Pension behaviour of Danish self-employed During bi-annual (January and June) workshops, foreign academic specialists share the results of their Dirk-Jan Omtzigt, Exeter College Melissa Porras Prado, EUR ( joint paper with Dirk research, and prominent Dutch policy makers present Aging and the interaction between education, retire- Brounen, EUR and Marno Verbeek, EUR and Netspar) their perspectives on policy issues. They gather for ment and the working life Real estate allocation in an ALM framework both formal discussions and informal networking. Rob Alessie, USE and Netspar Matthijs Streutker, RuG ( joint paper with Willem Klein Pension Workshop Planning, financial literacy and household wealth: Haneveld and Maarten van der Vlerk, RuG) June 7 - 8, 2007 Evidence from the US and the Netherlands ALM modelling for Dutch pension funds: Indexation The SOM Research School of the University of Groningen and new regulatory rules (RuG) and Netspar jointly organized this workshop, Karen van der Wiel, UvT and Netspar which had a scientific character. Keynote speakers Policy uncertainty in social security: Do subjective Viola Angelini, University of Padua were well-known public economics experts Eytan expectations relate to savings? Consumption and habit formation when time horizon Sheshinski (Hebrew University, Jerusalem) and John Karl is finite Scholz (University of Wisconsin, Madison). Sheshinski’s Giovanni Mastrobuoni, Collegio Carlo Alberto (joint lecture on the economics of annuities was based on a paper with Matthew Weinberg, University Jan Bonenkamp, CPB forthcoming monograph on this topic to be published of Georgia) Insurance and transfers in Dutch occupational by Princeton University Press. Scholz addressed issues Heterogeneity in intra-monthly consumption pat- pensions such as saving for retirement and the effect of children terns, self-control and savings at retirement on household wealth. During the second day of the Karl Scholz, University of Wisconsin-Madison (joint workshop, national and international participants Jiajia Cui, UvT paper with Meta Brown and Ananth Seshadri, Univer- presented their research findings. Longevity risk pricing sity of Wisconsin-Madison) A new test of educational borrowing constraints June 7 Carolina Fugazza, CeRP ( joint paper with Maela Giofré, Eytan Sheshinski (Hebrew University of Jerusalem) CeRP) Michael Ransom, Brigham Young University (joint paper Annuities, longevity and aggregate savings Hedging labor income risk: A normative approach in with David Card, University of California, Berkeley) an international framework Pension plan characteristics and employee savings: Karl Scholz (University of Wisconsin-Madison) Does labeling matter? Are Americans saving ‘optimally’ for retirement? Yvonne Adema, UvT (joint paper with Lex Meijdam, UvT and Netspar and Harrie Verbon, UvT and Netspar) Arthur van Soest, RAND, UvT and Netspar ( joint paper Eytan Shishinski, Hebrew University of Jerusalem Pensions, risks and portfolio choice with Pierre-Carl Michaud, RAND) Innovations in annuities How did the elimination of the earnings test above the Jukka Lassila, ETLA (joint paper with Tarmo Valkonen, normal retirement age affect retirement expectations? Karl Scholz, University of Wisconsin-Madison ETLA) Children and household wealth Putting a Swedish brake on pension benefits Stephen Treanor, Spears School of Business, Oklahoma State University (joint paper with Joel Harper, Spears June 8 Eytan Sheshinski, Hebrew University of Jerusalem School of Business) Ward Romp, RuG ( joint paper with Ben Heijdra, RuG The desirability of limiting choice Implicit contract modification or wealth expropria- and Netspar) tion: Evidence from pension terminations and cash Retirement, pensions and ageing Daniel Hallberg, IFS balance conversions Economic fluctuations and retirement of older employees Events 67

Frank de Jong, UvT and Netspar Bruno Biais, University of Toulouse Dimitris Christellis, University of Salerno Valuation of Pension Liabilities Hindsight bias and investment performance Expected bequests and current wealth of older house- holds Aging Insured Miguel Angel Carpio, University of Pompeu Fabra January 29 - 31, 2008 Does pension saving crowd out voluntary saving? Viola Angelini, University of Padua Elderly people are facing more old-age risks in the Evidence from social security privatization in Peru The strategic bequest motive: evidence from SHARE future. Social and financial innovation is necessary to protect people more effectively against these risks Erik Glans, Uppsala University Joost Driessen, UvA and Netspar and at the same time to stimulate the maintenance Partial retirement and the responsiveness of labor Does skin in the game matter? Director incentives and of human capital. Leading economists and promi- supply to changes in the replacement rate governance in the mutual fund nent speakers from the insurance sector and politics discussed this topic on the final day of this pension Giacomo Pasini, Venice University Patrick Herbst, Goethe University Frankfurt workshop, jointly organized by Netspar and the Dutch Social interaction effects in an inter-generational Measuring mutual fund herding – a structural Association of Insurers. The first two days of the work- model of informal care giving approach shop focused on related issues in a scientific setting. Several international economists presented the latest Vimal Thakoor, University of Birmingham Hans Fehr, University of Wurzburg research findings to an audience that consisted of Optimal redistribution with heterogeneous agents: Private retirement savings: the structure of tax incen- researchers, professionals from the insurance and pen- is there a role for pensions? tives and annuitization sion sectors and students. Ward Romp, UvA and Netspar Christian Keuschnigg, University of St. Gallen January 29 Optimal pensions in a two-country aging problem Pension reform, retirement and life-cycle unemploy- Arie Kapteyn, RAND and Netspar ment International differences in labor market status and Paul Smith, Federal Reserve Board of Governors transitions during the pre-retirement Years The trajectory of wealth in retirement Arie Kapteyn, RAND and Netspar Self reported disability and reference groups Orazio Attanasio, UCL Michael Haliassos, University of Frankfurt Explaining changes in female labor supply in a life- Equity culture and the distribution of wealth Orazio Attanasio, UCL cycle model Solving life cycle models: alternative explanations for Konstantinos Tatsiramos, IZA the consumption booms in the UK Arie Kapteyn, RAND and Netspar Effect of job displacement on the transitions to Dynamics of work disability and pain employment and early retirement January 31 Morning Program Orazio Attanasio, UCL Pedro Martins, University of London Jacob Bikker and Janko Gorter, DNB Risk sharing in private information models with asset Increasing the legal retirement age: the impact on Performance of the Dutch non-life insurance industry: accumulation: Explaining the excess smoothness of wages, hours, worker flows and firm performance competition, efficiency and focus consumption Helvi Kinnunen, Bank of Finland Robert Olieman, SVB January 30 Population ageing in a small open economy Development in 50 years of AOW Astrid Hopfensitz, University of Toulouse, and Tanja Wranik, University of Geneva Johannes Holler, University of Vienna Maarten van Rooij, DNB and Netspar Psychological and environmental determinants of Pension systems and their influence on fertility and Choice or no choice: What explains the attractiveness myopic loss aversion growth of default options?

68 Events

Peter Schotman and Kathrin Nies, UM and Netspar Pension Days Jan Rouwendal (VU Amsterdam and Netspar) Individual choice behavior in the Dutch life-course Housing and mortgage choices of elderly households savings arrangement Two Pension Days were held in 2007: March 8 and October 15. Netspar’s researchers presented and Bertrand Melenberg and Anja de Waegenaere (UvT Niels Kortleve, PGGM and Netspar discussed the latest papers related to their research and Netspar) Towards a sustainable pension deal: What PGGM projects. Although non-academic partners are also Longevity risk in portfolios of old age and spouse learned from Netspar invited to Netspar’s Pension Days, these regular pensions meetings have a scientific character. Special pension Guus Boender, ORTEC days and theme-related pension days are aimed at Lieven Baele (UvT) (Un)-conditional indexation or (un)-conditional real discussing the policy implications of Netspar research The determinants of stock and bond return comove- pensions? projects. ments

Fred Treur, CVS Regular Pension Days Jan Boone (UvT and Netspar) Employee opinions on life-cycle opinions Annual vs lifecycle taxation March 8 Peter Kooreman, Henriette Prast and Nathanael Hans Schumacher (UvT and Netspar) Clemens Kool (UU and Netspar) Vellekoop, UvT and Netspar Pension fund investing: a kinked utility perspective Foreign wealth and valuation effects: the case of the Defaults, labeling and the Dutch life course scheme Netherlands Ronald Mahieu (EUR and Netspar) Afternoon program Pension fund investment management: an analysis Jannes de Vries (UvT and Netspar) Ludo Wijngaarden, Verbond of the funding ratio Life-course changes in economic well-being: evidence De verzekeraar als partner en participatie from register and tax data in the Netherlands Harry Huizinga (UvT and Netspar) Coen Teulings, CPB and Netspar Capital structure and international debt shifting Gema Zamarro (UvT and Netspar) How to share our risks efficiently? Principles for opti- Family labor participation and childcare decisions: mal social insurance and pension provision Sylvester Eijffinger (UvT and Netspar) the role of grannies EU pension fund regulation: why, where and how to Piet Hein Donner, Minister of Social Affairs and continue Paul de Hek (CPB and Netspar) Employment Policy analysis of retirement decisions Vergrijzing: wat is echt, wat is gemaakt? Jan Potters (UvT and Netspar) Myopia, loss aversion and time preference Hans Bloemen (VU Amsterdam and Netspar) Aart Jan de Geus, OECD Private wealth and job exit at older age: a random Injectie van menselijk kapitaal Peter Kooreman (UvT and Netspar) effects model Defaults, labelling and the Dutch life course scheme Ton Heerts, Member of Parliament for the Dutch Labour October 15 Party Zhen Shi (UvT and Netspar) Arthur van Soest (RAND, UvT and Netspar) Visie op de toekomst van de sociale zekerheid How large are the costs of short-term regulation on Validating the use of vignettes for subjective threshold pension funds’ portfolio scales

Ward Romp (RuG and Netspar) Hans van Kippersluis (EUR and Netspar) Macro, mortality and morbidity Age period and cohort effects in health and income Events 69

Renxiang Dai (UvT and Netspar) Matthijs Cosemans (UM) Arnoud Boot (Professor of Economics at UvA and Pension fund investment under dual objective and The performance and persistence of individual inves- author of the report “Modernisering van het uitvoer- conditional indexation tors: rational agents or tulip maniacs ingsmodel voor pensioenregelingen”, Jan Koeman (Head Pension Policy, Ministry of Social Affairs), Jos An Chen (UvA and Netspar) Specialized Pension Days Heuvelman (Director Supervision Policy, DNB), and How ambiguity affects regulators’ decisions Integrated Risk Modeling Fieke van der Lecq (Nederlandse Mededingingsau- April 11, 2007 toriteit/NMa). Nils-Petter Lundborg (VU Amsterdam and Netspar) This pension day was jointly organized with Tilburg The effects of bereavement on morbidity and mortality University. Alexander Rinnooy Kan, Chairman SER

Frank Lutgens (UM and Netspar) Richard Verrall (City University London) Dick Sluimers, Chairman ABP Predictability –robust dynamic portfolio choice Mortality assumptions used in the calculations of Pension Act: Past and future views of ABP company pensions liabilities in the EU: a review with Courtney van Houtven (UvT and Netspar) recommendations for disclosure Jan Koeman, Ministry of Social Affairs and Employment Informal care and hospice use Pension Act: Past and future views of Ministry SZW Annamaria Olivieri (University of Parma) and Ermanno Johannes Binswanger (UvT and Netspar) Pitacco (University of Trieste) Jos Heuvelman, DNB A bounded-rationality life-cycle model with feasibility Assessing the cost of capital for longevity risk Introduction Financial assessment framework (FTK): goals Past and future views of DNB Michel Denuit (Université Catholique de Louvain): Frank de Jong (UvT and Netspar) Life insurance mathematics with random life tables Jan van Miltenburg, AFM Hedging house price risk: portfolio choice with Introduction Financial assessment framework (FTK): housing futures Andrew Cairns (Maxwell Institute for Mathemati- Past and future views of AFM cal Sciences, Edinburgh and Heriot-Watt University, Antoon Pelsser (UvA and Netspar) Edinburgh) Fieke van der Lecq, NMa Utility-based pricing of insurance contracts: beyond Models for stochastic mortality with parameter Pension sector in movement: Past and future views exponential utility uncertainty of NMa

Marike Knoef (UvT and Netspar) Steven Haberman (City University London): Arnoud Boot, UvA The trend in female labour force participation Extensions to the Lee-Carter model for mortality Perspective on the future of the pension sector trends and projection Peter Broer (CPB, UvT and Netspar) Laurens Swinkels, EUR / Robeco Social security risk in general equilibrium The new Dutch Pension Act FTK and investment policy June 12, 2007 Joachim Inkmann (UvT and Netspar) Renowned speakers evaluated the Dutch Pension Jelle Beenen, PGGM Pension liability valuation and asset allocation in the Act that became effective in January 2007. Erasmus Alternative investmens.: diversification and risk presence of funding risk University (ECFR) and Netspar jointly organized this pension day to talk about the recent experiences with Ronald Huisman, RSM Erasmus University and Risk Tec Maarten van Rooij (DNB and Netspar) this act and the questions as yet unanswered. Strategic and tactical valuation policy Choice or no choice: what explains the attractiveness The keynote speakers were Alexander Rinnooy Kan of default options? (Chairman SER), Dick Sluimers (Chairman Board ABP), Wim Borgdorff, Alpinvest Private Equity

70 Events

Stochastic general equilibrium Theme Pension Days Paul Dyer (New Zealand Superannuation), Theresa models and pension policies These pension days are linked to the Netspar themes. Whitmarsh (Washington State Investment Board, June 16, 2007 The theme researchers discuss the progress of their USA), Rene Maatman (Radboud Universiteit, Nijmegen, The pension day assessed the scope and relevance of research and exchange knowledge with partner Netherlands), Paul Haggis (OMERS, Canada) stochastic computable general equilibrium (CGE) mod- representatives, who actively take part in the theme Building pension delivery organizations for tomorrow els to the economic consequences of aging. Further- activities— for example, via sounding boards. In 2007, more, it served as a platform to exchange ideas about the following theme pension days were organized: Peter Schotman (UM and Netspar) the solution of theoretical and practical problems in Life-cycle financial decisions: The choices people make handling these models. Papers were presented on the October 30 – 31 broad theme of macroeconomic risk and pension Theme coordinator: Peter Schotman (UM and Netspar) Matthijs Cosemans (UM) policies in an aging society. Private Retirement Provision The Dutch as individual investors: Rational agents or Location: Maastricht tulip maniacs? Alexander Ludwig (University of Mannheim) On the consequences of demographic change for rates Rob Bauer (UM and Netspar) Paul Sengmuller (UvT and Netspar) of returns to capital and the distribution of wealth Keith Ambachtsheer (Rotman ICPM) Trading as entertainment: a sample of German inter- and welfare net brokers Wilson Sy (Australian Prudential Authority) Michael Reiter (University of Pompeu Fabra) Joel Harper (Oklahoma State University) Kees Koedijk (UvT) and Alfred Slager (PGGM and Rot- Sharing demographic risk. Who is afraid of the baby New research findings on pension fund governance terdam School of Management) bust? Investment beliefs that matter Jean Frijns (Netspar) Wouter den Haan (UvA) A Dutch mega fund model Piet Eichholtz (UM and Netspar) Solving heterogeneous-agent models with param- Demographic change and the demand for housing eterized cross-sectional distributions Jeroen Tielman (Cordares and Netspar) A Dutch multi-client model Mariassunta Giannetti (Stockholm School of Economics) Julián Díaz-Saavedra (University of Granada) Pension reform, ownership structure, and corporate Delaying retirement in Spain Virginia Holmes (University of Melbourne) governance: evidence from Sweden A UK industry model Dirk Krueger (University of Pennsylvania) Giovanna Nicodano (CeRP, University of Torino) Taxing capital? Not a bad idea after all! Claude Lamoureux (Cifar,Canada) Investment policy and human capital A Canadian high performance model Christian Habermann (University of Würzburg) November 15 Social security with rational and hyperbolic consumers Scott Evans (Harvard School of Public Health) Theme coordinator: Johan Mackenbach A US mega fund/annuity model (EUR and Netspar) Peter Broer (CPB and Netspar) Living longer in good health Social security risk in general equilibrium Tony Lally (Sunsuper,Australia) Location: Rotterdam An Australian multi-client super model Johan Mackenbach (EUR and Netspar) Theme 1: Future life expectancy and compression of morbidity Events 71

James Fries (Stanford University School of Medicine) Panel: December 12 Compression of morbidity: How can it be achieved? Henning Bohn (University of California, Santa Barbara), Theme coordinator: Antoon Pelsser (UvA and Netspar) Sweder van Wijnbergen (UvA and Netspar), Bernard Valuation and risk management for insurance compa- Jean-Marie Robine (University of Montpelier) ter Haar (Ministry of Finance), Lans Bovenberg (UvT nies and pension funds Compression of morbidity: has it been achieved? and Netspar Location: Amsterdam

Stefan Felder (Otto-von-Guericke University, November 29 Tom Wilson (ING Group) Magdeburg) Theme coordinator: Arthur van Soest (RAND, UvT and Internal models at ING Population aging and the costs of health care Netspar) and Rob Alessie (UU and Netspar) Pensions, Savings and Retirement Decisions Jiajia Cui (UvT and Netspar) Other contributions by: Location: Tilburg Pricing of longevity risk Bart Klijs, Istvan Majer, Claudine de Meijer, Ralph Stevens, David Rappange Guglielmo Weber (University of Padova) Tom Grondin (AEGON) The retirement consumption puzzle: evidence from Internal models at AEGON November 22 a regression discontinuity approach Theme coordinator: Casper van Ewijk (CPB and Netspar) Maarten Gelderman (DNB) The macroeconomics of pension reforms Adriaan Kalwij (UU and Netspar) A regulator’s perspective on internal models Location: The Hague Mortality risk and Household Financial situation An Chen (UvA) Henning Bohn (University of California, Santa Barbara) Frederic Vermeulen (UvT and Netspar) On the regulator-insurer-interaction in a structural Pension funds and intergenerational risk sharing Economic well-being and poverty among the elderly: model An analysis based on a collective consumption model Ed Westerhout (CPB and Netspar) Damir Filipovic (Vienna Institute of Finance) Demographic uncertainty and public finances in Michele Belloni (CeRP, University of Turin) Some aspects of aggregation and diversification the Netherlands Retirement choice in Italy

Peter Broer (CPB, UvT and Netspar) Maarten Lindeboom (VU Amsterdam and Netspar) Social security, macroeconomic risk and general Health shocks, disability and work equilibrium Arthur van Soest (UvT and Netspar) Roel Beetsma and Ward Romp (UvA and Netspar) Pension expectations and satisfaction with pensions Pensions and risk sharing between generations and in the Netherlands countries in general equilibrium Stefan Hochguertel (VU Amsterdam and Netspar) Yvonne Adema and Lex Meijdam (UvT and Netspar) Early retirement incentives, self-employment and Ageing, debt and inflation in a monetary union voluntary unemployment Insurance: Evidence from administrative data

72 Events Panel meetings Debate on NEA Papers Anniversary Meeting April 26, 2007 March 27, 2008 Panel Papers outline the implications of new develop- Netspar commissions research papers on a variety of On the occasion of Netspar’s third anniversary, a spe- ments in the academic literature for policy questions topics. Partners are invited to comment on and discuss cial meeting was organized. Key players in the Dutch faced by Netspar’s partners. These papers are dis- NEA (Netspar Economic Advisors) papers with scientists pension and insurance sector convened to discuss cussed twice a year (in the spring and the fall) during during debates. In contrast to the Panel Papers, these innovations in pension contracts. Both the papers and panel meetings. Discussants include representatives NEA papers contain strong statements of individual the discussion were in Dutch. from the academic and non-academic partners of researchers or authors from the pension and insurance Netspar, as well as renowned international academics. sector. During these debates, which are moderated by Roderick Munsters (ABP), Roderick Molenaar (ABP), The papers are published in a special papers series. a discussion leader, NEA papers are presented by the and Eduard Ponds (ABP, UvT and Netspar) authors and discussed with the audience. Both the Differentiatie naar jong en oud in collectieve pen- April 26, 2007 papers and the discussion are in Dutch. The papers are sioenen: een verkenning Lans Bovenberg, Theo Nijman (UvT and Netspar) Coen published in the NEA papers series. Teulings (CPB and Netspar) and Ralph Koijen (UvT) Theo Nijman (UvT and Netspar) and Alwin Oerlemans Saving and investment over the life cycle: The role of The first of these debates took place on April 26, 2007, (Cordares) individual and collective pensions with the following papers presented. Maatwerk in Nederlandse pensioencontracten

Peter Kooreman (UvT and Netspar) & Henriëtte Prast Mei Li Vos and Martin Pikaart (AVV) Lou Spoor (Eureko-Achmea) (UvT and Netspar) Jongeren met pensioen. En nu echt intergenerationele Je huis of je leven? Eigen betalingen voor woon- en What does behavioral economics mean for policy? solidariteit welzijnsvoorzieningen voor ouderen en optimalisatie Challenges to savings and health policies in the van de pensioenportfolio Netherlands Casper van Ewijk and Coen Teulings (CPB) Doorsneepremie en indexatiebeleid van pensioen- Jan Snippe (Philips Corporate Pensions) and Henriëtte October 18, 2007 fondsen onder randvoorwaarde van continuïteit Prast (UvT and Netspar) Arthur van Soest (RAND, UvT and Netspar) De ratio en het optimale ontwerp van individuele Phased and partial retirement: Preferences and Arnoud Boot (UvA and Netspar) pensioenregelingen limitations Marktwerking en pensioenen You can find these papers on our website: Jan Rouwendal (VU and Netspar) Kees Koedijk (EUR and Netspar) www.netspar.nl/nea Housing wealth and household portfolios in an aging Blinde vlekken van de denkers en doeners in de society pensioensector

Gerard van den Berg and Maarten Lindeboom (VU and Netspar’s second debate will take place in May 2008 Netspar) Later life health and mortality: The role of conditions early in life Events 73

Conferences Paula Lopes (LSE and FMG) and Joachim Inkmann (UvT, Frederic Vermeulen (UvT and Netspar) CentER and Netspar) and Alexander Michaelides (LSE, Poverty among widow(er)s Netspar/CEPR Conference CEPR and FMG) Transforming European Pension How deep is the annuity market participation puzzle? Bas Jacobs (EUR and Netspar) Systems Life long learning in a comprehensive setting Zurich, October 5-6, 2007 Peter Schotman (UM, Netspar and CEPR) As a follow-up to its first conference held in 2006, the On the determinants of subjective financial well-being Janneke Plantenga (UU) Centre for Economic Policy Research (CEPR) and Netspar at retirement Life course policy in the Netherlands jointly organized a second conference on transforming European pension systems. For this second conference Michael Haliassos (Goethe University Frankfurt, Panel discussion chaired by Peter Kooiman (CPB) papers were presented that use SHARE or other survey CFS, MEA), and Dimitris Christelis (CSEF, University of data, or focus on pension risk and longevity risk in Salerno) and Dimitris Georgarakos (Goethe University Panel members: European pension systems. Frankfurt and CFS) Alexander Rinnooy-Kan (Chairman Social and Economic integration and mature portfolios Economic Council (SER)) October 5 Joop Hartog (UvA) Justina A.V. Fischer (University St. Gallen) Jason S. Scott, John G. Watson and Wei-Yin Hu (all Lans Bovenberg (UvT and Netspar) The institutional determinants of early retirement in Financial Engines, Inc.) Koen Caminada (LU) Europe Efficient annuitization: Optimal strategies for hedging mortality risk Sarah Smith (University of Bristol and IFS) What do defined contribution pensions mean for Netspar / CPB Conference retirement? Evidence from the UK Analysing Life-Cycle Policies November 30, 2007 Eduard H.M. Ponds (ABP and Netspar) and Bart van Netspar and CPB brought together a group of leading Riel (SER and LU) economists and policymakers to discuss the design of Sharing risk: The Netherlands’ new approach to welfare-state institutions from a life-cycle perspec- pensions tive. This perspective has gained popularity in recent policy debates on reforming the Dutch welfare state. Hans-Jürgen Wolter (Chief Risk Officer of Swiss Life) Risk management of insurers Hamish Low (Cambridge University) Optimal unemployment insurance Vera Kupper (Deputy CEO, Pension Fund of the City of Zürich) Jan van Ours (UvT) The Swiss pension system Implicit contracts, wage profiles and employment protection October 6 Maarten van Rooij (DNB and Netspar) and Federica Paul de Hek (CPB and Netspar) Teppa (EUR and Netspar) Early retirement Choice or no choice: what explains the attractiveness of default options?

74 List of abbreviations

ABP Algemeen Burgerlijk Pensioenfonds MEA Mannheim Institute on the Economics SHARE Survey of Health, Aging and Retirement (Dutch civil service pension fund) of Aging in Europe CBS Centraal Bureau voor de Statistiek MIT Massachusetts Institute of Technology SVB Sociale Verzekeringsbank (Social Insur- (Statistics Netherlands) MPhil Master of Philosophy ance Bank) CentER Center for Economic Research (at MSc Master of Science SZW Ministerie van Sociale Zaken en Tilburg University) MTI Maatschappelijk Topinstituut (Societal Werkgelegenheid (Ministry of Social CEPR Centre for Economic Policy Research Top Institute) Affairs and Employment) CeRP Center for Research on Pensions and NEA Netspar Economic Advisors T T Tenure Tracker Welfare Policies NIDI Nederlands Interdisciplinair UCL University College London CPB Centraal Plan Bureau (CPB Netherlands Demografisch Instituut (Netherlands UM Universiteit Maastricht (Maastricht Bureau for Economic Policy Analysis) Interdisciplinary Demographic Insti- University) CFS Centre for Financial Studies tute) UMBS Universiteit Maastricht Business School CVS Centrum voor Verzekeringsstatistiek NIVRE Koninklijk Nederlands Instituut voor (University of Maastricht Business (Centre for Insurance Statistics) Register Accountants (Organization of School) DB Defined Benefit Dutch Register Accountants) USE Utrecht School of Economics DC Defined Contribution NVAO Nederlands-Vlaamse Accreditatieor- UU Universiteit Utrecht (Utrecht University) DNB De Nederlandsche Bank (the Central ganisatie (Dutch Accreditation Author- UvA Universiteit van Amsterdam (UvA-Uni- Dutch Bank) ity) versity of Amsterdam) DP Discussion Paper NWO Nederlandse Organisatie voor Weten- UVB Unie van Beroepspensioenfondsen ETLA Elinkeinoelämän Tutkimuslaitos schappelijk Onderzoek (Netherlands (Association of Occupational Pension (Reseach Insitute of the Finnish Organisation for Scientific Research) Funds) Economy) OCenW Ministerie van Onderwijs, Cultuur en UvT Universiteit van Tilburg (Tilburg Univer- EUI European University Institute Wetenschap (Ministry of Education, sity) EUR Erasmus Universiteit Rotterdam Culture and Science) VB Verbond van Verzekeraars (Association (Erasmus University Rotterdam) OPF Stichting voor ondernemingspen- of Industry-wide Pension Funds) FEB Faculty of Economics and Business sioenfondsen (Foundation of Company VSNU Vereniging van Universiteiten (Union of Administration Pension Funds) Universities) ICPM International Centre for Pension PAYG Pay-As-You-Go (referring to pension VU A Vrije Universiteit Amsterdam Management (at the Rotman School of system) (Free University Amsterdam) Management, University of Toronto) PhD Doctor of Philosophy VvV Verbond van Verzekeraars (Dutch Asso- IFS International Foundation for Science PvdA Partij van de Arbeid (Dutch Labor Party) ciation of Insurers) IZA Institute for the Study of Labor PGGM Pensioenfonds voor de Gezondheid, FMG Financial Markets Group (at London Geestelijke en Maatschappelijke belan- School of Economics) gen (Dutch pension fund) FTK Financieel Toestingskader (Dutch sol- OECD Organisation for Economic Co-opera- vency rules) tion and Development LSE London School of Economics RuG Rijksuniversiteit Groningen (University LU Universiteit Leiden (Leiden University) of Groningen) MaGW Maatschappij- en Gedragsweten- SER Sociaal Economische Raad (Social Eco- schappen, NWO (Social Sciences, Dutch nomic Council) Research Council) 75

76 Colophon

Netspar Annual Report 2007 April 2007 – April 2008

Production Netspar

Editing Clemens van Diek, Tilburg University Etc. Editorial Services, Breda Margreet Punt, Netspar

Translation Derksen Vertaaldiensten, ’s Hertogenbosch

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

Photography Photoconcept & Photography Gerdien Wolthaus Paauw, Tilburg

Portraits Else Bos - Peter Hilz via Hollandse Hoogte Elco Brinkman - via Bouwend Nederland Piet Hein Donner - Ivar Pel Fotografie, Utrecht Jean Frijns - Ton Toemen Photography, Tilburg Christian Gollier - University of Toulouse Fieke van der Lecq - via VB

Events and thumbs pages 27 and 29 Erik van der Burgt, Verbeeld!, Tilburg Dolph Cantrijn, Tilburg Ton Toemen Photography, Tilburg

Printing Drukkerij Lecturis, Eindhoven

May 2008

Netspar Annual Report 2007 Report Annual Netspar

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 2007