Annual Report 2005 April 2005 - April 2006

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Annual report 2005 April 2005 - April 2006

Contents

7 Preface

11 Proﬁ le Netspar’s mission

15 Review 2005: A year of new beginnings Research: Report on macro, meso and micro Education: MSc Economics and Finance of Aging Dissemination: Dialogue with the partners

37 Looking Ahead Beyond April 2006 Themes: entrepreneurship, commitment and coherence

49 Supplements Output 2005 About Netspar Workshops and conferences 2005 6 Preface 7

Netspar’s fi rst year of existence has been exciting. Knowledge exchange The inaugural event, on 30 March 2005, was a One of Netspar’s primary roles is to facilitate the conference attended by economists and pension exchange of information between the academic com- experts from throughout the country. The conference munity and our non-academic partners. During our featured a stellar line-up including Jim Poterba, from fi rst year, this was accomplished in a variety of ways, the Massachusetts Institute of Technology (MIT), and including workshops, pension days and conferences— the Dutch Prime Minister and chairman of the Dutch some of which were organized in cooperation with or Innovation Platform, Jan Peter Balkenende, who hosted by Netspar’s corporate partners. These events delivered the keynote address. Netspar thus hit the brought together some of the leading researchers and ground running, and has established itself as the practitioners in the fi eld of pensions and aging. right initiative at the right time, now that the Dutch pension and insurance sectors face several important Public recognition challenges. Among its accolades, Netspar was recognized in 2005 by the Innovation Platform as an important catalyst Three pillars for innovation (in the ‘emerging key area’ of pensions In its fi rst year Netspar organized a range of activities and social insurance) and by the Minister of Educa- that combined the organization’s three basic tenets tion, Culture and Science as a Societal Top Institute (pillars): fundamental research, education and the (Maatschappelijk Topinstituut, MTI, in Dutch). exchange of knowledge between academic and non- academic partners. Moving forward As we go forward, Netspar will confront increasing Fundamental research challenges. Large focused-research projects will be Netspar has established three research programs initiated in April 2006, and the new master’s program aimed at examining the micro-, meso- and macro will begin in September 2006. aspects of pensions and the aging of society. Three teams of core researchers were created. In total, This annual report provides a wealth of information some sixty senior and junior researchers have been on Netspar’s activities upto April 2006 as well as involved in research projects ranging from the plans for the future. I hope that you enjoy reading determinants of early retirement to analyses of the this report as much as I have enjoyed participating in solvency rules imposed by the new framework for the Netspar’s fi rst year of activities. supervision of pension funds (FTK), and from optimal asset allocation and risk sharing over the life cycle to Theo Nijman intergenerational solidarity. Researchers presented Chairman, Board of Scientifi c Directors their research plans and fi rst research results at tri- weekly Pension Days in Tilburg.

In addition, Netspar has been instrumental in establishing cooperation between the Statistics Nether- lands (CBS) and Netspar partners to improve the data infrastructure that is required for analyzing individual behavior in relation to retirement and retirement provisions.

Education Human capital occupies center stage in Netspar’s education program, which comprises its second basic pillar. In particular, Netspar accumulates human capital by educating young students in a new master’s (MSc) program on the economics and ﬁ nance of aging. An important landmark was the NVAO (Nether- Photo left page: scientiﬁ c lands-Flanders Accreditation Organization) accredita- directors Theo Nijman (left), tion of the MSc program in November 2005. Lans Bovenberg (right) and Arie Kapteyn (front) 8

Name Guus Wouters Position Managing Director Pensions, Interpolis Netsparlink Member Advisory Board

Most inspiring country regarding pensions ‘I’m much inspired by several countries in Eastern Europe; they’ve yet to develop their pension system – which is practically non-existent in Poland, the Czech Republic, Slovakia and Romania. They can still choose between systems that rely on taxing the young (similar to the system in Germany and France) or those (like our Dutch system) that rely on raised capital funds, which are much more durable and less dependent on the economic situation. So, for me the Eastern European countries provide a host of opportunities to make our solutions to pensions a lot more common throughout Europe, thereby strengthening the position of our system.’

Netspar ‘… provides our organization with the most needed results of fundamental scientiﬁ c research. There’s no other institution that has devoted itself solely to explore the world of “ Only a true free- pensions.’ market economy Partners ‘… should use Netspar’s advice to increase can raise enough their own expertise on pensions. Since Netspar’s knowledge on pensions is second income to create to none, it would be a bit awkward not to and sustain a make use of it.’ Solidarity and a free market for pensions: healthy pension in equilibrium? ‘A truly free market can be driven by ambiti- system ous folks, but even they need a resting point ” somewhere down the line and will seek to secure a base that will stay there no matter what: their pension. On the other hand, only a true free-market economy can raise enough income to create and sustain a healthy pension system.’

When I can no longer look after myself, I will ‘… install myself on a pensionada beach in Florida, with the assistance of my children (they ‘re free to spend their holidays there if they wish).’

Proﬁ le 11

Netspar’s mission

Netspar serves as a bridge between social sciences rious participants to network with each other and to and the fi nancial services sector… discuss longer-term strategic issues, Netspar aims to One of Netspar’s goals is to stimulate social inno- strengthen mutual trust, open channels of communi- vation in the Netherlands. Whereas the innovation cation, and build common visions. Netspar also helps debate often focuses on technological innovation to strengthen the presence of the Dutch pension and and the need for closer networking between industry insurance sector in European debates on pension and the technical sciences, Netspar links the social reforms. sciences to the service sector — the fi nancial sector and the public sector, in this case. Indeed, innovation Facilitating innovation is no mere technical matter, and should be seen in a Netspar plays a key role in stimulating innovation. broader social context. Various developments, such The Dutch Minister of Education recognized this in as aging, the feminization of work and the spread of June 2005 with a €5 million grant to the National information technology, call for changes in the way Science Foundation (NWO) to support Netspar. In this societies are organized. This social innovation aims at way, the government matched the fi nancial sup- maintaining durable social protection for the elderly, port of the pension and insurance industry, which while at the same time protecting and enhancing the at an earlier stage had decided to supplement the talents of people and sharing risks effi ciently. seed money of the NWO Spinoza premium of Lans Bovenberg. The Minister also designated Netspar as Pensions, aging and retirement are of considerable one of three ‘Societal Top Institutes’ (Maatschappe- societal and business interest, and also offer exciting lijk Topinstituut, MTI, in Dutch). In addition, in 2005 research opportunities. In these areas, a strong net- the Innovation Platform selected pensions and social work between the government, the fi nancial services insurance as an ‘emerging key area’ (een opkomend sector, and universities and other knowledge institu- sleutelgebied, in Dutch) for innovation in the Nether- tes can therefore add value. lands.

…between universities and disciplines… Netspar builds bridges not only between academia and the fi nancial services sector, but also within academia. It brings together researchers from disparate areas to share their expertise. Fundamental research is an international affair in which ever-increasing competition calls for specialization and focus. Netspar encourages researchers from various disciplines to Netspar’s core values work together in a single subject area in order to From inaugural speech of Lans Bovenberg, Netspar founder, on March 30, 2005 improve quality and generate excitement about their research. These disciplines include economics and ”Netspar, born on March 30, 2005, is (National Science Foundation) con- econometrics as well as sociology and psychology. a healthy, prosperous girl with three ceived her. Netspar realizes that she Indeed, economists increasingly recognize that their main character traits. First of all, she is can maintain her independence only if traditional model of rational and self-interested independent. Although she adores her her analyses are supported by scientifi c individuals needs amendments from sociology and parents, she is not afraid to question evidence that can be reproduced and psychology. Moreover, social norms play a key role in their arguments. As a female, she has tested by her scholarly family. determining intergenerational solidarity and retire- a somewhat different perspective on Her fi nal main character trait is soci- ment- and savings decisions. the life cycle than her brothers within ability and, related to that, a willing- her male-dominated pension family. ness to listen to the arguments of …and within the fi nancial services- and pension Rather than taking strong positions others. Netspar likes to bring people sectors herself, she always likes to bring ba- together so that they can learn from All three ‘pillars’ of the Dutch pension system — the lance into the debate by putting for- each other’s knowledge, experiences government providing the basic pension, pension ward the key trade-offs: sketching the and perspectives. She is also quite funds providing occupational pensions and insurance playing fi eld, and leaving it to others open-minded, in that she is not companies selling individual products — participate to take policy positions on that fi eld. committed to one particular world- in Netspar. As a public-private partnership, Netspar Her independence is closely related to view. She loves economics, but she is thus uniquely positioned to build links within the her intellectual interests. This should also has a keen interest in sociology pension and insurance sectors. By enabling the va- not come as a surprise, since the NWO and psychology.” 12

Name Aart Jan de Geus Position Minister of Social Affairs and Employment Age 50

Most inspiring country regarding pensions ‘The Netherlands. In the Dutch pension system social partners carry full responsibility for the substance of the pension schemes. In recent years they have proven to be highly adaptive to change. With recent reforms of Dutch pension schemes, social partners reacted very adequately to ﬁ nancial and economic developments. I’m conﬁ dent that they will continue to do that in the future.’

Netspar ‘… helps to strengthen the bridge between researchers, pension funds and the policymakers of my ministry. It is good that Net- spar brings all of these groups together. In my opinion, the mere fact of being involved in a high-ranked research institute “A system where a in the fi eld of old age and pensions should group of people can be benefi cial to all partners.’ Solidarity and a free market for pensions: choose voluntarily to in equilibrium? ‘In their most pure manifestation, solidarity and a free-market system for pensions organize solidarity are diffi cult to reconcile, and the benefi ts of neither of them will be optimized. between themselves… However, a system where a group of people can choose voluntarily to organize would come close solidarity between themselves, to get this self-chosen solidarity supported by legal to an equilibrium measures, and where administration and investment are in general contracted out between solidarity on the free market, would come close to an equilibrium between solidarity and a free-market system. This happens to be and a free-market the Dutch pension system.’

system When I can no longer look after myself, ” I will ‘…go to a retirement home.‘

Review 15

2005: A year of new beginnings

Netspar’s primary activities educating young students in a new master’s (MSc) Just as the Dutch pension system, Netspar rests on program on the economics and fi nance of aging. By three ‘pillars’ or tenets: fundamental research, edu- attracting foreign students, Netspar not only benefi ts cation, and knowledge exchange between academic from the infusion of new academic talent, but also and non-academic partners in the private and public helps other countries to build robust pension systems sectors. in the process. This MSc program was initiated in 2005, when the accreditation process was started Research and some courses were offered as electives. Netspar Netspar has initiated three research programs that achieved an important milestone in November 2005, examine the micro-, meso- and macro aspects of when the Netherlands-Flanders Accreditation pensions and aging. On a micro level, we explore Organization (NVAO) granted accreditation to the the behavior of individual households in labor and new MSc program. capital markets within a life-cycle context. On a meso level, we investigate the role of pension funds and Knowledge exchange insurance companies in facilitating risk sharing within During its fi rst year, Netspar employed a variety of and between generations. On a macroeconomic level, means to disseminate knowledge between academia we analyze linkages between labor-, capital- and and our non-academic partners. Representatives commodity markets— including the relationship from our non-academic partners participate in the between retirement decisions, the fl exibility of the Pension Days, which enables them to play an active labor market and incentives to accumulate human role in the research program. During two semi- capital. annual two-day workshops, foreign academic specialists shared the results of their research, and In order to ensure that we meet the needs of our prominent Dutch policymakers presented their partners, Netspar has instituted an open bidding perspectives on policy issues. In addition, Netspar process to determine the distribution of Netspar’s researchers have presented their views at numerous research funding. Program coordinators select events organized by Netspar partners, and have research projects on the basis of scientifi c quality and initiated several projects in collaboration with the relevance of the proposals to Netspar’s research practitioners in the pension sector. goals. As a result of this competitive process, Netspar formed three teams of core researchers in 2005: To celebrate Netspar’s fi rst anniversary, a meeting a senior team consisting of about 50 experienced was held with key players in the Dutch pension and researchers; a junior team comprised of ten assistant insurance sectors to discuss the future of the Dutch professors who recently obtained their PhDs; and a pension system and the future role of Netspar. third team of seven PhD candidates. In addition, 20 Additional information on these events is presented prominent foreign scientists whose work focuses on elsewhere in this report. pensions and aging are associated with Netspar as international fellows. In the future, the number of Other activities junior researchers and PhD candidates is expected to One of Netspar’s stated goals is to facilitate the avai- increase. lability of data for empirical research on aging and pensions. In this connection, Statistics Netherlands Various Netspar researchers presented their fi rst (the Dutch statistical bureau; CBS) and Netspar have research plans and results at tri-weekly Pension Days agreed to collaborate on improving the availability in Tilburg. In February and March 2006, they pre- of micro data on pension rights. At the same time, sented the results of their research during the fi rst a pilot program was started to allow researchers to year. These researchers were given the opportunity access administrative data from their workplaces. to apply for one-year funding extensions. Also other The collaboration between Statistics Netherlands researchers were invited to apply for funding. Further and Netspar should facilitate linking survey infor- information on the research projects funded in 2005 mation to administrative data, which may help to is available elsewhere in this report. achieve the dual objectives of providing better data to improve understanding about how public policy, in Education general, and pension policy, in particular, affects in- Human capital is central to Netspar’s education dividual behavior, and decreasing the administrative program. Netspar accumulates human capital by costs associated with gathering these data. 16 review

International activities Netspar, a Dutch Societal Top Institute Prior to its offi cial launch, Netspar was involved in a conference at Tilburg University in January 2005 to examine the importance of social science research in Netspar has been appointed as one the research program of the European Commission. of the Dutch Societal Top Institutes Key European researchers joined representatives from (MTI: Maatschappelijk Top instituut, the European Parliament, the European Commission, in Dutch). A Societal Top Institute the European pension and insurance industry, and combines excellent scientifi c research the US National Institute of Aging (NIA). Participants with active involvement in the most signed the ‘Declaration of Tilburg’, which stres- important questions facing society. sed that Europe, which has the oldest population in the world as well as rich institutional and cultural Maria van der Hoeven, the Dutch diversity, should take the lead in research on aging. Minister of Education, Culture and Sci- Not long after this, the SHARE project, which gathers ence, about her motivation to create panel data on individuals aged 50 years and above in and fi nance the Societal Top Institutes: several European countries, was funded for 12 Million Euros by the EU. Netspar’s micro research benefi ts substantially from the participation in SHARE.

Netspar researchers also participated in other inter- “ A Societal Top Institute is all national research and policy activities, including a about promoting science aimed conference in Brussels organized by the European Commission on Confronting Demographic Change: A at addressing important societal New Solidarity Between the Generations. In addition, problems. In the Netherlands, Lans Bovenberg served as one of four experts helping we have the tendency to view the European Commission to follow up on the call by European leaders at the Hampton Court Summit of innovation in a limited way— December 2005 to formulate a European response to as if it were a technological demographic change. prerogative. Yet, we need also societal innovation. In fact, they actually need each other: innovation involves both technological and social factors. In its approach, Netspar empha- sizes respect for enduring values such as solidarity and respect between generations and trust among individuals. What I ﬁ nd most interesting is that Netspar resists the tendency to exclude these issues from the strict bounds of science. Source: Netspar News ” Research report 17

Macro International implications of pensions The international implications of pension systems Intergenerational risk sharing are another important theme in the macro program. A major research area in the macro group involves the Yvonne Adema, Lex Meijdam and Harrie Verbon macroeconomic implications of intergenerational risk showed that the international spillovers from moving sharing. Coen Teulings examined how pension funds from a pay-as-you-go system to a funded system can facilitate intergenerational risk sharing. Roel might differ between the short- and the long run. Beetsma, Peter Broer and Lans Bovenberg started to Whereas such a move may hurt other countries in the build models that show how various pension deals short run, it tends to benefi t them in the long run. can contribute to intergenerational risk sharing, and In a similar vein, the international spillovers from how these risk-sharing arrangements may affect the various demographic shocks were also explored. In macro economy in general equilibrium through their the future, they plan to introduce monetary policy impact on various prices, including the price of risk. and public debt in the analysis so that international In this connection, Roel Beetsma and Lans Bovenberg spillovers can also arise through changes in infl ation are beginning to explore the potential role of mone- rates. Sweder van Wijnbergen assessed the experience tary policy and nominal pension contracts in facilita- with pension reform around the world. More on his ting intergenerational risk sharing. This sets the stage research can be found in the profi le on Sweder van for considering potential confl icts between countries Wijnbergen elsewhere in this report. with different pension systems about monetary policy The signifi cance of the degree of international within a monetary union. Willem Heeringa is explo- tradability of commodities for the macroeconomic ring how pay-as-you-go systems and wage-indexed implications of pension reform and aging was explo- bonds can help individuals to better diversify risks. red in two separate studies (by Thijs Knaap and also Eduard Ponds developed the tool of value-based by Harrie Verbon and Lex Meijdam). These analyses generational accounting in order to investigate which show that the lack of tradability of commodities generations gain and lose in economic value from makes capital funding less effective in protecting various risk-sharing arrangements. Enrico Perotti the old against the macroeconomic effects of aging. investigated pension contracts as the outcome of an Moreover, it tends to benefi t younger generations explicit political decision-making process. through wage pressure at the time the old-age dependency ratio is the highest. Clemens Kool and Aging and the macro economy Harry Huizinga explored the role of international An important part of the macro program concerns the capital markets in facilitating international consump- impact of demographic shocks on the macro economy. tion smoothing and diversifi cation of risk. Ben Heijdra incorporated the Gompertz-Makeham Sylvester Eijffi nger explored how the lessons of bank law of mortality in overlapping-generations models supervision could be applied to the supervision of of small open economies. Using this framework, he insurance companies and pension funds. He also started to explore how increasing longevity impacts investigated whether the increased integration of the macro economy through its effect on educa- fi nancial markets in Europe calls for more coordina- tion and retirement decisions. In the near future, he tion between national supervisors. Both Roel Beetsma intends to investigate endogenous fertility decisions, and Sylvester Eijffi nger explored how the Stability and thereby exploring the relationships between human Growth Pact should account for pension liabilities and capital formation (achieved both by rearing kids and pension reforms. by investing in oneself), longevity and retirement. Fertility decisions are the main theme of the work of Optimal redistribution Bas van Groezen and Lex Meijdam. They analyzed the Ruud de Mooij and Egbert Jongen considered the externalities from raising children in economies with role of the welfare state in redistributing between pay-as-you-go pension systems. In this setting, they individuals, providing social insurance and helping established a case for child support to internalize the individuals to smooth consumption over the life positive externality from higher fertility on the con- cycle. Jan Boone and Lans Bovenberg looked into the tribution base for pay-as-you-go pensions. In future optimal taxation of lifetime income. They show that work, they plan to explore the effi cacy of various temporary income shocks should be taxed at a higher types of child support, taking into account both dis- rate than permanent shocks if individuals are rather tributional considerations and the impact on female risk-averse and the government does not feature labor supply and human capital formation. strong preferences for redistribution. Lans Bovenberg 18 review

and Peter Sörensen explored the optimal interaction portfolio choice among stocks, as well as infl ation- between redistributive income taxation and social linked and nominal bonds for investors endowed insurance. To alleviate the costs of redistribution, in- with a stream of labor income indexed for infl ation. complete disability insurance turns out to be optimal. Moreover, they worked on optimal annuity demand Bas Jacobs worked on the role of educational and when the agent has access to nominal, infl ation- labor-market policy in protecting vulnerable groups. linked as well as equity-linked annuities. Frank de Jong and Peter Schotman investigated optimal investing for the long run, and initiated a theme related to Meso optimal choice from the perspective of the individual.

Risk management and solvency regulations Solidarity and DB versus DC systems The implications of the new accounting standards Generational accounting and the benefi ts of DB versus and solvency rules that have been imposed, or will DC systems (and vice versa) have also attracted the be imposed shortly (FTK, IFRS, Solvency II), continue interest of researchers in the fi nance group. Frank de to be a major concern in the pension and insurance Jong and Eduard Ponds modelled the value of inter- sector. Not surprisingly, a considerable part of the generational transfers within pension funds. Theo fi nance research in 2005 has been devoted to this Nijman and Ralph Koijen started a project with Lans topic. Asset Liability Modeling, and the issue to what Bovenberg on the welfare implications of intergene- extent optimal long-run investment decisions differ rational solidarity and DB versus DC schemes, allowing from optimal short-run investing, have been con- for kinked preference specifi cations that refl ect loss sidered by Peter Vlaar, Frank de Jong and Peter Schot- aversion relative to an a priori specifi ed benchmark man, among others. Hans Schumacher discussed the (70% of annual income). Joachim Inkmann reported time consistency of Value-at-Risk (VaR) constraints evidence that UK employers compensate for changes like the ones that are imposed in the FTK. André Lucas in the value of accrued pension rights, implying that outlined pitfalls in the industry practice to derive the sum of wage and fringe benefi ts is unaffected. optimal premium and asset allocation rules under VaR constraints using standard dynamic programming Financial literacy and individual choice techniques. Theo Nijman discussed the pros and cons Clemens Kool, Henriette Prast and Maarten van Rooij of the Standardized Approach advocated by the Dutch worked on fi nancial literacy and the preference for pension supervisor (DNB/PVK). choice options in the pension deal. They documented that participants typically indicate that they have Market valuation low pension expertise and are reluctant to choose. In The new accounting and solvency rules impose va- the new theme that was initiated by Peter Schotman luation at market value. The implications of market the costs and benefi ts of choice options will also be a valuation have been analyzed in a book edited by central topic for research. Niels Kortleve, Eduard Ponds and Theo Nijman. Dirk Broeders and Theo Nijman discussed valuation of Investing in alternatives conditionally indexed liabilities. Market valuation is Institutional investors invest substantially in alterna- not at all straightforward if an asset or liability has tive investment classes such as real estate, commodi- exposure to non-traded risk factors such as wage ties and hedge funds. Piet Eichholtz has analyzed the infl ation or longevity risk. Frank de Jong developed characteristics of real estate investments over a very solutions to this problem. The new theme initiated by long sample period. Frans de Roon analyzed trading Joost Driessen and Antoon Pelsser combines actuarial strategies in commodity futures, and both Marno approaches with techniques from fi nancial economics Verbeek and Jenke ter Horst analyzed the performance to consider valuation and risk management. This will of hedge funds. Feico Drost investigated volatility tra- be a joint project with Rob Kaas and Marc Govaerts, ding and option pricing. Kees Koedijk and Rob Bauer who concentrated on the case of comonotic risks in worked on the costs and benefi ts of Socially Responsi- 2005. ble Investment (SRI) strategies.

Optimal risk exposure and risk sharing for individuals Longevity risk A number of researchers have contributed to the Changes in life expectancies are of central importance literature on optimal pension contracts. Bas Werker in pricing pension rights. Moreover, longevity risk is and Theo Nijman considered the optimal long-term important in risk management and pricing. Although research report 19

micro longevity risk diversiﬁ es away, changes in Name Wouter E. Tol survival probabilities for groups of participants (macro Position Managing Director, ABN AMRO Bank longevity risk) do not. Bertrand Melenberg and Anja Netsparlink Member Partner Council de Waegenaere, among others, analyzed models of Age 51 macro longevity risk.

Micro The micro program in Netspar studies issues of “There is, in my retirement, fi nancial decision-making, and health on the basis of individual information. Often that view, a negative information is based on self-reports made in surveys, correlation but sometimes it comes from administrative sources. Netspar has entered into an agreement with Statistics between Netherlands to facilitate the combination of administrative information with survey information (i.e. increased based on self-reports). Alternatively, we may also ask subjects to carry out certain tasks under con- free-market trolled circumstances— for example, in a laboratory operations and with a limited number of participants. Increasingly experiments are also performed at a larger scale— for solidarity, and as instance, using Internet panels like the CentER panel at Tilburg University. The micro program of Netspar such there is no uses all these kinds of information. equilibrium” Financial decisions Rob Alessie is using data from the Socio-Economic Panel to study the home ownership and wealth Most inspiring country regarding pensions holdings of Dutch elderly households. He fi nds strong ‘The Netherlands, because we are the leader generational effects in the homeownership rate and in the fi eld of pensions.’ housing net worth. Older generations also tend to give up their home at some point to become a renter. Netspar The probability for the elderly to have a mortgage has ‘Apart from the academic added value and recently increased signifi cantly. the tremendous knowledge base value, Net- spar is a great networking platform.’ In an environment of increased individual choice, an important question is to what extent individuals are Partners able to make good fi nancial decisions. Rob Ales- ‘Optimize the offered networking sie, Maarten van Rooij (DNB) and Annamaria Lusardi opportunity!’ (Dartmouth College) fi nd that the fi nancial literacy of respondents to the DNB Household Survey (DHS) is Solidarity and a free market for pensions: rather limited and signifi cantly related to stock- in equilibrium? market participation. The research program on ‘Solidarity is under pressure due to demo- fi nancial literacy started relatively recently, and we graphic changes, employees changing jobs expect a considerable number of papers shedding more frequently, etc. There is, in my view, light on fi nancial literacy, fi nancial decision-making a negative correlation between increased and how this affects people’s fi nancial well-being free-market operations and solidarity, and in old age. The same questionnaire administered to as such there is no equilibrium.’ the DHS will also be administered to respondents of the RAND Internet Panel in the US, which is expected When I can no longer look after myself, I will to generate additional insight in factors determining ‘…install myself on a pensionada beach in fi nancial literacy and outcomes of fi nancial decisions. > Florida.’ 20 review

1. The Hague, February 4, 2004: 5. Workshop Aging Society, January 9. Opening Conference, March 30, Maria van der Hoeven (Minister of 17 and 18, 2005: Richard Suzman 2005: Roderick Munsters (ABP) Education) hands over the Spinoza (National Institute of Aging USA) prize to Lans Bovenberg (Netspar) 10. Opening Conference, March 30, 6. Opening Conference, March 30, 2005: A drink and a chat, Coen 2. Formal Founding of Netspar, 2005: Lans Bovenberg (Netspar) Teulings (University of Amsterdam/ October 19, 2004: Inge van Hoek CPB, r) (ING) signing the Netspar banner 7. Formal founding of Netspar, October 19, 2004: Netspar, a piece 11. Workshop Aging Society, 3. Formal Founding of Netspar, of cake? Lans Bovenberg (Netspar, January 17 and 18, 2005: October 19, 2004: Rob Bauer (ABP) l), Guus Wouters (Interpolis) Alexander Rinnooy Kan (ING Group) signing the Netspar banner and Hein van Oorschot (Tilburg University) 12. Erry Stoové, Chair Advisory Board 4. Workshop Aging Society, January Netspar (SVB) 17 and 18, 2005: Lambert van 8. Opening conference, March 30, Nistelrooij (member European 2005: Jan Peter Balkenende (Prime Parliament) Minister) debating with students 21

1 2 3 4 5 6

7 8 9 10 11 12 22

Name Joep J.P. Schouten > Rob Alessie, Stefan Hochguertel and Arthur van Soest Position Chairman of the Executive study the non-take-up of tax-favored savings plans. Board of Directors, Cordares The tax-favored nature of the employer-sponsored Netsparlink Member Advisory Board savings plans (ESSPs) is so large that standard econo- Age 58 mic theory implies that not buying the asset or buying less than the maximum tax-favored amount is in most cases sub-optimal. Alessie, Hochguertel and Van Soest ﬁ nd that in the initial years, about 80% of all employees had access to ESSPs, but only 67% of those with access actually bought them. They ﬁ nd that part of the non-take-up can be explained by liquidity constraints. Still, liquidity constraints cannot explain the full non-take-up rate, and only 19% of those who do not take-up an ESSP report liquidity constraints as “Outsource the main reason.

your research Jan Potters and Eline van der Heyden did experimen- tal work on ﬁ nancial decision-making, while Peter questions to Kooreman and Henriette Prast analyzed the impact of labeling of income streams on expenditures. All these Netspar projects will extend our understanding of the nature ” of ﬁ nancial decisions related to retirement provisions.

Retirement To understand individual decisions regarding retirement and to gauge the possible effects of future policies, Van Soest, Kapteyn and Zissimopoulos have conducted a ‘stated-preference experiment’ in which Most inspiring country regarding respondents to the DHS are presented with a number pensions of hypothetical choices. The simulations indicate that ‘The Netherlands: the best there is!’ people in the Netherlands resist the idea of continuing to work full-time after the age of 65, even with Netspar substantial fi nancial incentives. Many, however, ‘… saves the costs of an in-house research would be happy to continue working part-time after department’ age 65, if given the option to gradually reduce hours worked by 40% before retiring completely. Partners ‘Outsource your research questions to A completely different approach is taken in a Netspar.’ sequence of studies by the team of Gruber and Wise, who use institutional variation across countries to Solidarity and a free market for pensions: study the effect of incentives on retirement. Teams in equilibrium? from some 14 countries (De Vos and Kapteyn form the ‘Defi ned Benefi t + average premium: yes Dutch team) participate in the project. The various Defi ned Contribution: only if there is studies invariably fi nd substantial effects of fi nancial enough compensation’ incentives on retirement.

When I can no longer look after myself, I Health and work disability will Kapteyn, Smith and Van Soest study why workers in ‘…hire a private nurse.’ different countries exhibit such large differences in self-reported work disability. The authors utilize a vignette methodology to evaluate how people within and across countries set thresholds that result in labeling some people ‘work disabled’. On the basis of research report 23

surveys conducted in both the Netherlands and the US, they fi nd that a large part of observed differences in reported work disability stems from the fact that residents of the two countries use different response scales in assessing whether they have a work disability. Kalwij and Vermeulen study labor force participation behavior of elderly individuals in Europe on the basis of data drawn from the fi rst wave of SHARE. They fi nd that the multi-dimensional nature of the health condition of individuals is of major importance when studying its effect on labor force participation. The results indicate that in most countries participation would increase considerably if every individual aged 50-64 would be in perfect health. Moreover, the declining health condition with age explains much of the decline in male and female participation rates with age. Health effects and aging will also be extensively studied in the new theme ‘Income, health and work across the life cycle’ that is initiated by Maarten Lin- deboom and Eddy van Doorslaer. 24 review

Sweder van Wijnbergen: Interview “International comparative research is still insufﬁ cient”

Sweder van Wijnbergen, professor of Economics at being, we will use demographic data from the offi cial the University of Amsterdam and senior researcher Chinese statistical bureau.’ at Netspar, is one of Netspar’s principal investigators on macro issues. His research is focused on assessing To whom is this research most relevant? the experience with pension reform in the developing ‘The research is of interest, I think, to all Netspar world over the past two decades. Common problems, partners— although the government can benefi t solutions, and experiences, as well as country-speci- particularly from the experience of the various OECD fi c case studies are addressed. What is his view on the countries. Compared with these countries, the relevance of Netspar’s research? Netherlands has a relatively robust pension system— although some of these countries are further along What is your main research activity at Netspar? than we are with regard to experimenting with ‘My fi rst half-year at Netspar was spent teaching a reform. We can turn this to our benefi t. Netspar pension course, but recently I have completed pro- partners will fi nd the study highly relevant. Also the posals for two research projects. The fi rst explores partners with fi nancial interests in China will pro- the relationship between demographics, the labor bably be intrigued by the China project. There is still market and the sustainability of the pension system. insuffi cient international comparative research being The fi scal sustainability of pensions is threatened by done into pension reform.’ the diminishing number of people that are contribu- ting to the system, in combination with the growing Can we learn from the experience in other countries? number that are receiving pensions. We would like Which countries? to know what is causing this imbalance: the demo- ‘The Netherlands has an effective and well- graphic factors or trends on the labor market such as, structured pension system. Still, we are heading for example, the diminished participation of older toward a system that resembles more closely that Name Sweder van Wijnbergen workers, high unemployment, the difference in par- in the US, with a public-sector fi rst pillar topped off Background Professor of Economics, ticipation between men and women, etc. In a survey with a fl exible benefi t system. Individual employees University of Amsterdam, of OECD countries we compare demographic trends, are thus exposed to greater risk than they now seem and former Secretary- labor market trends and health factors, and the to realize. OECD countries can also learn from deve- General, Ministry of infl uence of these factors on the fi scal sustainability loping countries, where already a number of monu- Eco nomic Affairs of pensions. Who says, for example, that an elderly mental reforms have taken place. What problems are Netsparlink Senior researcher Netspar population is also a more expensive population? connected with these reforms, what kind of transi- Age 54 World Bank research suggests that this is not the tion costs are involved with a transition to capital case. We would like to gain more insight into this. funding, and what kind of solutions, for example, can Another issue in this connection is how the health of be found for these transition problems? I think that individuals is related to longer life expectancy. Can there is much to learn with regard to supervision in we then expect people to work longer, for example? the various countries. No research in this area has yet Finally, we will investigate the extent to which pen- been done.’ sion systems encourage early retirement. What, in your opinion, is the most important issue in The second project explores pension systems in Netspar’s research? China, where they’re dealing with a convoluted ‘I think it’s important to use a broad perspective in pension system inherited from the communist past. approaching the issues surrounding pensions. My Their problems have been exacerbated by an accele- interests lie particularly with the relationship bet- rated aging-population problem, a result of China’s ween demography, the labor market and healthcare. one-child policy. Little attention has been given to Thus, don’t limit yourself to researching only the at- either that problem, or to the differences between tributes of pension systems, but also explore the la- the major urban areas and the rural areas. Due to bor market, healthcare and the interactions between migration of young people from the rural areas to them. The combination makes for pragmatic research cities, the aging of the population is felt keenly that is relevant to policymakers. in rural areas, where there are no pension plans. Another research angle I fi nd important involves Although the research for this project will be car- fi nancial aspects. Individuals nowadays are being ried out in the Netherlands, we will seek cooperation saddled with greater levels of risk, and long-standing with a university in Shanghai, where a great deal of guarantees are breaking down. It then becomes im- pension research is already taking place. For the time portant which investment strategies can be brought research report 25

to bear in order to manage the risks or to shift them elsewhere. It is a new problem, since the risks all used to be managed through the deﬁ ned-beneﬁ t system.’

What is your view when you take a look at bridging the gap between science, policy and politics handled at Netspar? What is the key to successful participation/cooperation? ‘We need to bridge the various disciplines— to be aware of each other’s strengths, of the restrictions under which each of us needs to operate. We need to coordinate communication so that we understand each other, and respect the various goals each of us is pursuing within the big picture. A network such as Netspar can contribute both to better research and to greater understanding of the problems and the possible solutions— for both politicians and policymakers; Netspar can do this by bringing together the various players into a dialogue and creating the possibilities for that dialogue to ﬂ ourish.’

Do you have any tips for the partners how to beneﬁ t from Netspar’s research? ‘They would beneﬁ t even more by more actively participating in the research projects themselves, in addition to their role in seminars and workshop discussions.’

“Individuals are being saddled with more and more risk, and long-standing guarantees are breaking down” 26 review

1. Formal founding of Netspar, 4. Pension Workshop, June, 7 and 8, 7. Pension Day, November 24, 2005: October 19, 2004: The partners of 2005: Olivia Mitchell (University of Onno Ruding (former Minister of Netspar and the board of direc- Pennsylvania) Finance) tors. A unique mega-collaboration between private and public insti- 5. Pension Workshop, June, 7 and 8, 8. National Innovation Event, tutions 2005: Axel Börsch Supan (Univer- December 7, 2005: Joep Schouten sity of Mannheim) (Cordares, l) and Jan Nijssen (ING, r) 2. Pension Workshop, June 7 and 8, 2005: Wouter Bos, Leader Labor 6. Pension Day, September 9, 2005: 9. National Innovation Event, Party Panel discussion with Casper de December 7, 2005: Panel discussion Vries (Erasmus University Rotter- with Jan Nijssen (ING), Karel 3. Pension Workshop, June 7 and 8, dam, l), Ivo Arnold (Nyenrode), Noordzij (PGGM), Joep Schouten 2005: Frans Beerling (Cordares) Tjerk Kroes (SZW), Klaas Knot (DNB) (Cordares) and Lans Bovenberg interviewed by Jet de Ranitz and Lans Bovenberg (Netspar) (Netspar), moderated by Herman (Netspar) Wijffels (SER) 27

10. National Innovation Event, December 7, 2005: Karel Noordzij (PGGM) and Jan Peter Balkenende (Prime Minister)

11. Pension Workshop, January 18 and 19, 2006: L. to r. Richard Blundell (University College London), Lans Bovenberg (Netspar), Gerrit Zalm (Minister of Finance), Peter Schot- man (Maastricht University) and Jeffrey Brown (University of Illinois)

12. Voorburg, February 15, 2006:

Gosse van der Veen, (CBS) and Lans 1 2 3 4 5 6 Bovenberg, signing the CBS-Netspar agreement on administrative data 7 8 9 10 11 12 28 review

Norma Coe: Interview “Policy is the best motivation for research”

In 2005 Netspar recruited seven young top-notch What is your view on the interaction between science researchers on the job market in Philadelphia (USA). and policy? Is it diffi cult (but exciting) to translate These researchers, who have just received their PhD academic knowledge into policy applications? degree at top US and European institutions, have ‘I believe that policy is the best motivation for re- been appointed to tenure-track positions at one of search. Before attending graduate school, I worked at the participating universities. Netspar buys research the US Treasury department, where I had the oppor- time from this university, and the university gua- tunity to see the policymaking process ’up close and rantees the availability of a tenured position after personal’. There are an incredible number of smart fi ve years. All seven researchers are involved in the and dedicated people in the process who make the research activities of Netspar. An interview with one best decisions with the best information they have of them: Norma Coe. available. Unfortunately, the best information available is rarely complete information, and this is where What is your main research activity at Netspar? research is needed. I think that Netspar provides a ‘My research examines the interaction between great bridge between policymakers and researchers, insurance coverage, personal behavior and health. with opportunities for both parties to learn from Prior to joining Netspar, I completed a project that each other.’ examined how changes in the withdrawal rules from defi ned-contribution pension plans in the United What do you think of the tenure-track system? Is it States affected individual savings decisions. Later, worthwhile? Does it work well? I shifted my focus to long-term care insurance, or ‘I think that the tenure-track system is an extremely insurance coverage for elderly care provided when a attractive offering at Netspar. While the standards person can no longer care for himself. My fi rst project are high, knowing them ahead of time makes setting in this arena examined the effect of the means- goals for the next fi ve years much easier. I believe Name Norma Coe tested long-term care insurance program in the US that the tenure-track system is one of the many poli- Background MIT (Massachusetts on household savings decisions. I am continuing this cies that will keep Netspar competitive in the acade- Institute of Technology), line of research, examining how the public and the mic world by attracting productive junior faculty.’ Cambridge MA private long-term care insurance markets interact Netsparlink Tenure Tracker in the US. I hope to expand this research to Euro- What were your highlights in 2005? Age 32 pean countries as well, since there is large variation ‘My highlights in 2005 were graduating with my PhD between countries with respect to how this type of from MIT, moving to the Netherlands, and starting a insurance is provided—through government pro- new job that I am extremely excited about. I’m look- grams, private insurance markets, or family-provided ing forward to what 2006 holds.’ insurance. My latest research projects examine the health consequences of retirement decisions. I think that this is an increasingly important and interesting issue as pension plans and governments debate potential changes in the rules surrounding the early retirement- and normal retirement ages.’

To whom will this research be most relevant, and in what way will they benefi t from this knowledge? ‘I think my research is most relevant to governments and other agents that provide insurance— in the form of long-term care insurance, health insurance or pensions. I hope that insurance providers, whether private companies or governments, will use my research to help them design better insurance. The Other young top talents at Netspar: more we know about the benefi ts and costs of the Lieven Baele Ghent University current policies, the better we can design systems in Katherine Carman Harvard, Cambridge MA the future that can increase overall wellbeing.’ Joachim Inkmann LSE, London Bas Jacobs EUI, Florence Frederic Vermeulen KU Leuven Gema Zamarro Cemfi , Madrid

Education 31

Master’s in Science Program Economics and Finance of Aging

Introduction opportunities for contacts with professionals in the Netspar has established a Master’s in Science (MSc) fi eld, internships, guest lectures and other activities. program Economics and Finance of Aging at Tilburg University. One of Netspar’s main goals is to increase Preparing for ‘real-world’ careers the awareness of practitioners at fi nancial instituti- This MSc program provides students with solid and ons of the macro- and microeconomic implications of broad scientifi c training in the macro- and microeco- aging and the policies of their institutions. Esta- nomics of aging and pensions. Students will become blishing the MSc program in Economics and Finance acquainted with the primary issues and the economic of Aging is one of the ways in which Netspar will at- models that are used to address them; will learn to tempt to achieve this goal. The one-year MSc program think through the micro-, macro- and institutional aims at providing students with scientifi c knowledge aspects and the relationships between them; and will on the economics and fi nance of aging and with the learn how economic theories can be tested empiri- skills and tools to help improve further the quality of cally and how economic models and arguments can decision-making by pension funds, insurance compa- be developed to aid decision-making by fi nancial nies and other organizations in the public and private institutions and governments. The program, which sector concerned with pensions, aging and retire- is taught by internationally renowned researchers, ment. The program will offi cially start in September includes state-of-the-art scientifi c work from the 2006— although selected courses were offered in fall recent literature in the fi eld. The aim is not so much 2005 and spring 2006. to prepare graduates for academic careers, but rather to equip them for careers in insurance companies MSc Program in Economics Accreditation or pension funds or related organizations, where and Finance of Aging A proposal for this new program was submitted to research staff employs scientifi c methods to develop the Netherlands and Flanders Organization for Ac- long-term policies. Semester 1: creditation (NVAO) in April 2005. In October 2005, a • Introduction to Economics committee of experts selected by NVAO visited Tilburg Application prerequisites and Finance of Aging University and discussed the new program with staff Although the program is geared toward students with • Empirical Research in Pension and faculty of Netspar and the Faculty of Econo- a bachelor’s degree in Economics, Econometrics or and Retirement Economics mics and Business Administration (FEB), including Finance, candidates with similar qualifi cations will • Microeconomics of Insurance the professors of the courses that had been offered be allowed to apply. Applicants will be judged on an and Redistribution in previous terms, and representatives of Netspar’s individual basis. The goal is to admit a good mixture • Investment Analysis of Aging non-academic partners from both the public and of Dutch and foreign students. Employees of Netspar and Pensions I private sectors. Based on this review, the NVAO com- partner companies who have the appropriate pre- • Macroeconomics of Pensions mittee concluded that there is a need for graduates requisites are welcome to participate in the program and Aging with broad scientifi c training in several economic or in selected courses. disciplines that play a role in the problems of aging Semester 2: to build a bridge between the various disciplines. Program • Two courses from the following In April 2006 the Ministry of Education, Culture and The table on the right-hand side provides an over- four: Science fully accredited the MSc, which is the last step view of the program. The fi rst semester consists of • Dynamic Models of Retirement, in the offi cial accreditation process. mandatory core courses in the relevant disciplines. Savings and Consumption The second semester is split into two parts. In the Behavior Drawing on existing infrastructure fi rst part, students will select two courses from • Health and Sociology of Aging The MSc degree will be offered by the Tilburg Univer- among several offered; possibilities include more • Investment Analysis of Aging sity FEB, and will benefi t from the infrastructure and advanced courses in one of the core disciplines and Pensions II internal quality control procedures in place there. (micro, macro, fi nance) and related disciplines, such • Topics in Economics and Finance All courses will be taught in Tilburg, with English as as healthcare and sociology. The second part of the of Aging: two modules out of the language of instruction. The educational director spring semester will be devoted to the Master’s the- the following four: and professors will be selected from among Netspar sis, which will account for 30% of the total study load • Actuarial Sciences: Life participants, both at Tilburg University and other (18 ECTS, about 12 weeks). Insurance economics and business faculties in the Netherlands. • Retirement and Taxation MSc students will benefi t from Netspar’s contacts In 2006, preparations will be fi nalized; students will • General Equilibrium Models with its non-academic partners (pension funds, be actively recruited in the Netherlands and abroad; • Seminar Economics and insurance companies, government ministries, and and the complete program will commence in the fall. Finance of Aging other pension-related organizations), which provide • Thesis 32 review

1. Formal founding of Netspar, 4. Opening Conference, 7. Some of the members of the October 19, 2004: Rob Bakker March 30, 2005: Peter Nijkamp (l): Netspar Scientiﬁ c Council: (Netspar) and Eduard Ponds chairman of the Governing Board Back: Theo Nijman (l) and Lans (ABP and Netspar) of NWO (Netherlands Bovenberg. Front from l. to r.: Organisation of Scientiﬁ c Luis Viceira (Harvard University), 2. Formal Founding of Netspar, Research) Olivia Mitchell (University of October 19, 2004: Rob Bakker Pennsylvania), Axel Börsch Supan (Netspar) and Maarten Dijkshoorn 5. Formal Founding of Netspar, (University of Mannheim) and Arie (Achmea) October 19, 2004: Symbolic signing Kapteyn (Netspar/RAND) of the contracts by the sponsors 3. Opening Conference, 8. Pension Day, November 24, 2005: March 30, 2005: Luis Viceira 6. Pension Day, September 9, 2005: Bernard Casey (Cass Business (Harvard University) Casper de Vries (Erasmus University School, London) Rotterdam) 33

9. Opening Conference, 12. Netspar’s ﬁ rst anniversary, March March 30, 2005: James Poterba 30, 2006: Lans Bovenberg (l) and (Massachusetts Institute of Theo Nijman drinking a toast Technology)

10. Formal Founding of Netspar, October 19, 2004: Adrie Moons (Ministry of Social Affairs) and Erry Stoové (SVB)

11. Formal Founding of Netspar, October 19, 2004: Theo Verhallen (Tilburg University, l), Arie Kapteyn

(Netspar and RAND, m) and Lex 1 2 3 4 5 6 Hoogduin (Robeco, r) 7 8 9 10 11 12 34 Knowledge Exchange

Dialogue with partners

During its ﬁ rst year, Netspar helped to disseminate decisions. Gerrit Zalm, the Dutch Minister of Finance, knowledge between its academic and non-academic delivered the keynote address on the costs and bene- partners in a variety of ways. For example, represen- ﬁ ts of increasing individual choice in pension policy. tatives from the non-academic partners participate Although as a free-market politician he typically in Pension Days, held in Tilburg once every three favors individual choice, he cautioned that in the weeks. All of our partners are thus able to play an area of pensions some restrictions on individual important role in the research program. choice might be required to reduce transaction costs.

In conjunction with Erasmus University, Netspar Other collaboration organized a special Pension Day on the new Dutch To celebrate the ﬁ rst anniversary of Netspar, key supervisory framework for pension funds (Financieel players in the Dutch pension and insurance sectors Toetsingskader, FTK, in Dutch). Representatives from met to discuss the future of the Dutch pension system the ﬁ nancial services sector nationwide attended and the role of Netspar. In addition, Netspar repre- this event. Not long after this event, the application sentatives and several of its partners attended the of the supervisory framework was postponed for one innovation event held by the Dutch Innovation Plat- year. Could there have been a causal link between form in Maarssen on December 7. Netspar also helped this decision and the pension mini-workshop? to coordinate efforts of the pension and insurance industry to convince the Innovation Platform, which In October, the Pension Day was devoted to measu- is chaired by the Dutch Prime Minister, to designated ring the contribution of occupational pension funds pensions and insurances as a ‘key area’ (sleutelge- to intergenerational risk sharing. The interaction bied, in Dutch) for innovation in the Dutch economy. between practitioners and academics helped to clarify the key issues and to formulate an agenda for future research on this crucial issue.

Semi-annual workshops During two semi-annual two-day workshops, prominent foreign pension experts shared the results of their research with workshop participants, while key policymakers presented their perspectives on relevant policy issues. Olivia Mitchell, of the University of Pennsylvania (The Wharton School), and Axel Börsch- Supan, of the University of Mannheim (Mannheim Research Institute for the Economics of Aging), taught at the ﬁ rst workshop, which was held in June at ING headquarters in Amsterdam. Mitchell focused on the US experience with individual choice, and Börsch- Supan addressed the macroeconomic implications of aging in Europe. Wouter Bos, leader of the Dutch Labor Party (currently the main opposition party in the Dutch Parliament), delivered the keynote address on the future of the welfare state. In outlining his economic platform, he made a strong case for adop- ting the Scandinavian model of the welfare state.

The second workshop was organized by Maastricht University in January 2006. Jeffrey Brown, of the University of Illinois, talked about annuity markets, transaction costs associated with individual choice, and reforms in the US Social Security system. Richard Blundell, of University College London, presented empirical research on the impact of the UK pension and healthcare system on saving and retirement

Looking Ahead 37

Beyond April 2006

Netspar faces new challenges and opportunities in international experts, and will invite lecturers from a 2006. Most importantly, Netspar plans to invest in the variety of countries to present their views on relevant development of improved channels for the dissemi- topics. Rob Bauer (Maastricht University) will act as nation of knowledge and increased involvement by Netspar coordinator for this project, named Pensions, international researchers. Instrumental in addres- Aging and Retirement (PAR) Academy. sing these challenges are the following: publication and discussion of Netspar’s reference papers; the Fellows development of sector-oriented courses designed for Netspar also expects to benefi t from the advice of professionals working in the pension- and insu- three fellows who have substantial experience in the rance sectors; the appointment of fellows who have Dutch pension- and insurance sectors and who were substantial professional experience in the Dutch instrumental in getting Netspar off the ground: Dick pension- and insurance sectors; and high-profi le de Beus (ex-PGGM), Jean Frijns (ex-ABP) and Jan conferences and workshops. Interaction with inter- Nijssen (ex-ING). One of their roles is to give their national researchers will be improved through an views on how Netspar can best facilitate interaction active visitors program and the organization of major between academia and practitioners. Both the international academic conferences. Advisory Board and the Partner Council will continue to play an essential role in these activities. Reference papers Reference papers will outline the implications of new Conferences and workshops developments in the academic literature for policy In 2005, all Pension Days and workshops were tar- questions faced by Netspar’s partners. The reference geted at a fairly broad audience, in order to stimu- papers will be discussed twice a year (in the spring late interaction among different groups of Netspar and the fall) during one-day panel meetings. Repre- participants and to ensure a broad perspective for sentatives from academic and non-academic part- the research program. In the next stage of Netspar’s ners, as well as international academics, will act as development, such meetings will be supplemented discussants at these panel meetings. All partners will with more narrowly focused meetings of specialists. have the opportunity to comment on the contents of the papers during a six-week period following Additional events planned for the future include an the panel meetings. Foreign researchers will write a international academic conference in cooperation substantial share of these reference papers. with the Center for Economic Policy Research (CEPR) and an annual policy conference. The 2006 annual An editorial board consisting of both academics and policy conference will focus on the future of the wel- practitioners will select the topics of the reference fare state and will be organized in partnership with papers, select and consult with authors, and ensure the Dutch CPB Netherlands Bureau for Economic Policy that the reference papers meet the highest quality Analysis and the Dutch Social Economic Council (SER). standards. Chairing the editorial board is Rick van der Speakers will include renowned academics, such as Ploeg (European University Institute, Florence). Other Jim Heckman (Chicago) and Esping Anderson (Barce- academic members include Henk Don (University of lona), as well as key Dutch policymakers, including Amsterdam), Peter Kooreman (Groningen University), Wouter Bos, (leader of the Dutch labor party) and Aart and Marno Verbeek (Erasmus University, Rotterdam). Jan de Geus (Minister of Social Affairs and Employ- Partners will be represented by Karin Bitter (Inter- ment). polis), Tom Steenkamp (ABP) and Maarten Camps In 2007, the annual conference will address pension (Ministry of Social Affairs and Employment). supervision and will be organized in conjunction with the Dutch Central Bank (DNB) and the International PAR Academy Organization of Pension Supervisors (IOPS). An additional vehicle to simulate knowledge exchange between academics and practitioners are Peter Diamond (MIT) and Michael Hurd (RAND) will courses developed in cooperation with Maastricht teach the June 2006 workshop, organized in collabo- University that are specifi cally aimed at professionals ration with PGGM in Zeist. in the fi eld. These courses will complement those taught in the MSc program, which are also open to International focus qualifi ed employees of the Netspar partners. Net- International researchers bring to the table consi- spar will develop these courses in conjunction with derable expertise and fascinating research — both 38 looking ahead

of which are relevant to Netspar’s objectives. In the near future, Netspar will make funding available for research projects and reference papers by international researchers. In 2006, funding will be set aside for program coordinators to invite foreign experts in relevant ﬁ elds of study. In addition, theme coordinators can devote part of their budgets to fund foreign researchers and foreign visitors. At the same time, we will explore additional opportunities for funding Netspar activities by international organizations that support relevant research, such as the EU and the European Science Foundation.

Furthermore, Netspar plans to expand the Pension Workshops, which are currently two-day events, in order to encourage international researchers to par- Name Rick van der Ploeg ticipate and present their work. In another move to Position Prof. of Economics European encourage participation of foreign researchers, Net- University Institute, Florence spar’s theme and program coordinators have made Netsparlink Chairman Editorial Board plans to organize longer, more intensive, meetings.

The CEPR conference The Transformation of European Pension Systems is planned for September 2006 in London. The conference will bring leading academics “ The reference papers aim together to discuss both theoretical and empirical to give the state of the art work. The organization committee consists of Kees Koedijk (Netspar, Erasmus University), Monika Buetler in the most exciting issues (CEPR, Sankt Gallen) and Tito Boeri (CEPR, Milan). involving saving, aging and fi nance. They bridge the gap between practice, theory and econometrics, conclude with a critical evaluation of the latest scientifi c insights, and typically also offer policy recommendations. They benefi t from detailed comments from both practitioners and academic referees, and are published together with a summary of the discussion held during the reference papers meetings.” Netspar themes 39

Entrepreneurship, commitment and coherence

Netspar’s challenge in its fi rst half year was to set ’sweeten the pot’ — and thereby possibly improve up the Netspar organization; select the group of key their chances of selection— by providing matching researchers; organize the fi rst meetings; fi nd an ap- funds. In any case, the dean of the faculty with which pealing structure for interaction and dissemination; the theme coordinator is affi liated must support the initiate the educational program; and bring all this theme application. into balance. An important new strategic element was introduced in the fall: themes. Netspar’s themes Coherence are intended to stimulate entrepreneurship, commit- Netspar’s themes help to generate coherence in the ment and coherence. overall research program. In Netspar’s initial phase, an important objective was to stimulate academic Entrepreneurship in research, education and researchers to conduct research on pensions, aging dissemination and retirement and to present a broad overview of Entrepreneurship involves academic researchers the relevant issues. As time goes on, however, these taking initiative as theme coordinators to design research activities should become more coherent and research projects that are both exciting from an increase in scale and intensity, resulting in greater academic point of view and relevant to Netspar’s focus, depth and mass. The themes are designed to non-academic partners. Researchers on the work achieve those goals. In fact, in addition to recruiting fl oor are better positioned to forge valuable networks senior and junior researchers and PhD candidates, and devise interesting research topics than those the theme coordinator must also provide focus and who are further removed from the actual research direction. The theme coordinators are the intellectual process or who do not specialize in a given research leaders of Netspar. area. Indeed, in a knowledge industry such as academia, most information resides on a decentralized Selection process level. Moreover, competition between various theme The scientifi c directors actively solicit proposals and groups helps to generate more information as to comment on the draft proposals in order to ensure which initiatives work and which do not. that the applications fi t Netspar’s overall objectives. Both the Scientifi c Council and the Partner Council Netspar grants theme coordinators a substantial evaluate the fi nal theme proposals. The Scientifi c budget of € 1 million. The theme coordinators have Council is made up of renowned international acade- considerable discretion in allocating these funds mic researchers; the Partner Council has representa- within the limits of their budget plans. This amount tives from the non-academic partners from the public of money should be suffi cient to fund the research sector, pension funds and insurance companies. In time of two PhD candidates for a four-year period, involving both the Scientifi c and Partner Councils in four senior researchers for a three-year period, and the selection process, Netspar ensures that the two tenure-track assistant professors for a six-year themes not only meet rigorous academic standards, period. Competition for funding is expected to sti- but also are of interest to the non-academic partners mulate creativity and entrepreneurship, as teams vie — all of which is in keeping with Netspar’s primary to devise research projects that fulfi ll Netspar’s three mission of building bridges between academia and basic pillars: fundamental research, education and practitioners in the private and public sectors. Once dissemination of knowledge to Netspar’s non- the themes have been selected, Netspar’s scientifi c academic partners. Each theme should contribute directors will evaluate the performance of the theme to all three of these basic tenets. coordinators annually to ensure that they continue to keep their commitments and maximize the contribu- Commitment of researchers and universities tions of the theme to Netspar’s mission. The themes enable researchers and their universities to showcase themselves, thereby increasing The fi rst three themes their commitment to Netspar. In many cases, one or All themes run for a period of three years. Each year, two universities will form the center of the diverse three new themes will be selected, and every year activities within a theme. Themes thus help to avoid one-third of the themes will be replaced by new possible confl icts that could otherwise result from ones. The fi rst three themes were selected in Decem- dual commitments to the faculty with which the ber 2005, and will begin work on April 1, 2006. researchers are affi liated, on the one hand, and to Netspar, on the other. The respective universities may 40 looking ahead

Theme Valuation and Risk Management for Insurance Companies and Pension Funds

Pension and insurance sectors are facing unprece- traded on fi nancial markets. The standard actuarial dented challenges at the beginning of the 21st cen- literature considers the pricing of only pure insurance tury: Equity markets have fallen dramatically, interest risks, and ignores fi nancial market risks, which can rates are at historical lows, and people are living also lead to unfair valuation. The project aims at longer than ever before. At the same time, new tools reconciling ‘actuarial’ and ‘fi nancial’ pricing metho- are becoming available to address these challenges. dologies in order to establish fair valuation of insu- Actuaries and actuarial science therefore need to rance- and pension liabilities. For pension funds, the enhance their skill-sets. The management of fi nancial incompleteness of the contract also must be valued. risks together with ‘classical’ actuarial risks is an area For example, the valuation of conditional indexation requiring further research. policies is essential, and requires realistic models of infl ation rates and the term structures of real Finance meets actuarial science and nominal rates. Further, valuation of derivatives This theme is designed to stimulate research preci- embedded in the investments (hedge funds, private sely in the area where fi nance and actuarial science equity, and corporate bonds) requires detailed at- meet. The primary application of this theme is risk tention. Hedge funds are known to use option-type management and asset and liability management by strategies, while private equity funds and corporate pension funds and insurance companies, focusing on bonds feature embedded put options on the value of internal risk management and external supervision the underlying projects. and regulation. Market risk, infl ation risk and longevity risk Pension funds and insurance companies face risks Appropriate risk management requires models des- that are diffi cult to manage and hedge: the markets cribing the stochastic nature of market risk, infl ation for these risks are either nonexistent or incomplete. risk and longevity risk. Several research questions are Direct examples are infl ation risk and longevity risk. relevant here. First, how do the returns of different Even equity-price risk and interest-rate risk are asset classes correlate, and to what extent do these not perfectly ‘hedgeable’. However, managing and correlations increase in bear markets? Second, is it hedging these risk factors are essential to the risk advisable to hedge the downside of long-term market management of pension funds and insurance com- risk using put options? Third, which instruments can panies. Although both pension funds and insurance be used to hedge infl ation risk: nominal bonds, real companies face interest-rate risk and longevity risk bonds, real estate investments or commodity-related for their liabilities, each is confronted by unique instruments? Fourth, how does the liquidity of these challenges related to the nature of the liabilities. instruments affect hedging strategies? The markets Insurance liabilities are explicit contracts with the for infl ation-indexed bonds are currently quite small Theme coordinators policyholders that establish the amount of money and illiquid. A pension fund therefore faces a trade- Antoon Pelsser (University of to be paid in each specifi c circumstance. In contrast, off between the liquidity and hedging properties of Amsterdam; from 1-9-2006 the contracts offered by pension funds are much less such assets. Fifth, can a market for life annuities help onwards) and Joost Driessen explicit. To illustrate, most pension funds express the individuals and pension funds to hedge longevity (University of Amsterdam; intention to maintain wage indexation, but pension risk, despite the problems associated with adverse until 1-9-2006) funds retain the discretion to change the indexation selection? In this connection, securitization of longe- policy over time. vity risk (for example, through longevity bonds) may Senior researchers be useful to transfer this risk from pension funds to Peter Boswijk (University of Regulatory revisions other capital market participants. Finally, how much Amsterdam), Marc Goovaerts The theme aims to investigate several issues related does intergenerational risk sharing help to diversify (University of Amsterdam to the management of the risks faced by pension some of these risks over time? and KU Leuven), Rob Kaas funds and insurance companies. First, the theme (University of Amsterdam), focuses on the valuation of pension and insurance Appropriate and coherent measures Coen Teulings (University of contracts. International developments in accounting The research theme also examines the appropriate Amsterdam) regulation and insurance supervision require that measurement of the risks faced by pension funds and companies report their insurance- and pension lia- insurance companies. Given the increased interest bilities on a fair-value basis. However, the standard in alternative investments such as hedge funds and theory of derivatives pricing cannot be applied to private equity funds, which often exhibit asymmetric establish the fair value of insurance- and pension payoff profi les, risk measures should account ade- liabilities since the insurance risks are typically not quately for this asymmetry. Moreover, in the face of a netspar themes 41

potential confl ict between short-term and long-term Name Roderick Munsters risk management, it is important to explore multi- Position Chief Investment period risk management. In particular, long-term risk Offi cer, ABP management decisions with intermediate monito- Netsparlink Partner contact ring should be based on multi-period measures of Age 42 risk that are dynamically consistent. This is relevant for internal risk management as well as for external supervision and regulation of pension funds and insurers. In addition, effi cient ways to calculate risk Partners measures are investigated using techniques based “ on comonotonic risks. Finally, how the choice of risk measures affects investment choices will be explored. should For example, to what extent should pension funds and insurers change their asset allocation if short- articulate term risk is high while long-term risk is expected to be relatively low? clearly what they expect from Netspar”

Most inspiring country regarding pensions ‘Canada inspires me, because it has some forward-looking thinkers and practitioners on pensions.’

Netspar ‘… as a platform for innovation, it’s still in its infancy. Nevertheless, it is a provider of ideas on pension contract and investment strategy.’

Partners ‘… should articulate clearly what they expect from Netspar. Furthermore, they should stimulate participation in Netspar workshops and develop a proactive policy to inﬂ uence research topics and expected output.’

Solidarity and a free market for pensions: in equilibrium? ‘We used to have equilibrium between solidarity and a free-market system in the Netherlands. New regulations, politics and the pensions area itself have neglected this lately.’

When I can no longer look after myself, I will ‘…hire a private nurse, if my pensions and savings are high enough to afford this.’ 42 looking ahead

Theme Income, Health and Work across the Life Cycle

In recent decades, most OECD countries have achieved labor supply decisions taken by older workers, the signifi cant improvements in both the average life- consequences of poor health for living standards, and span and the quality of life of their populations. The the (lagged) reverse impact of income and work on growing life expectancy of most Western populations later health outcomes. entails many new challenges. If aging simply implied an expansion of the healthy and productive lifespan, Although it is generally believed that those in the it would not be considered the challenge that it is labor force are in better health than those not in paid today. Unfortunately, much of the expansion consists employment, the mechanisms driving this association of an increase in the number of years in declining are not fully understood. Certainly, poor health may health, accompanied by greatly increased healthcare restrict the labor capacity of workers and may induce needs and associated expenditures. As a result, most people to retire early. But poor health may also limit OECD countries face formidable new challenges for a person’s enjoyment of leisure activities, which their largely publicly fi nanced healthcare systems would make retirement less attractive. Moreover, and for the optimal balance between active working outcomes at later ages are not isolated from earlier life and the post-retirement, care-dependent years. health- and labor market events. Major dilemmas with respect to the sustainability of current retirement and disability programs, and the The consequences of life choices on health affordability of equitable healthcare systems, need to Throughout their lifetimes, people are exposed to be addressed. adverse health shocks: they may lose their jobs and make choices that affect their work- and health out- Healthcare accessibility comes. These choices involve the decision to work for This program aims to improve our understanding of a specifi c employer, to participate in early-retirement affordable health insurance and healthcare delivery programs or personal savings plans, to purchase arrangements and the degree to which solidarity is private health insurance etc. With regard to how feasible and sustainable. Of central interest is the these choices are made, the institutional context is relationship between income and health, which are relevant, as are past and current health issues and closely associated and unequally distributed. Cross- expectations of a person’s own health and long evity country comparisons suggest that the degree of (and that of his or her partner). This sub-project inequality in access to healthcare often depends focuses on the role of institutions and policy inter- on the way each society protects the income and ventions in determining health- and work outcomes health of its non-active portion of the working-age at later ages. For instance, most OECD countries have popu lation. While we know that health- and income recently implemented new retirement programs, inequalities exist and are related, much less is known with the explicit aim of extending the working lives Theme coordinators about their underlying causes and the effects of of older workers. Unknown as yet are the behavioral Maarten Lindeboom (VU institutions and policy interventions. responses and the consequences for the health out- Amsterdam) and Eddy van comes of future cohorts. Doorslaer (Erasmus University, Most of the signifi cant shocks with regard to health Rotterdam). and income are incurred at later stages of the life After retirement: cycle, i.e. just before or after retirement age, which health, income and healthcare costs Senior researchers makes these stages particularly relevant for studying After retirement, the question of ensuring adequate Gerard van den Berg (VU the way in which income and health interact, and access to quality medical care becomes no less pres- Amsterdam), Han Bleichrodt how this varies with different institutional arrange- sing. Because of comorbidity and the need for long- (Erasmus University), Bas van ments regarding income- and health protection. term care, the distribution of healthcare among the der Klaauw (VU Amsterdam), elderly is often even less equitable than is the case Owen O’Donnell (Erasmus Uni- Before retirement: at a younger age. The access problem is exacerbated versity), Katie Carman (Tilburg health, income and labor force participation by the fact that wealth at this age tends to be less University), Norma Coe (Tilburg Labor force participation rates of older workers have equally distributed than in the population at large. We University), Tom van Ourti declined dramatically over the past decades. There is need a better understanding of the most important (Erasmus University), France a consensus that fi nancial incentives factor strongly mechanisms in order to address the issue of how the Portrait (VU Amsterdam) in retirement decisions, and that the availability and public/private mix of insurance and delivery arrange- generosity of social security and retirement schemes ments affect the demand for private insurance, the have induced many older workers to retire early. This use of health services, and the distribution of health program aims to clarify the causal role of health in and healthcare access by income. netspar themes 43

This project will document the effect of changes in Name Tom Wansbeek the healthcare ﬁ nance- and delivery system on the Position Dean, Faculty of Economics, demand for private insurance, access to care for dif- University of Groningen ferent groups in the population, and inequality in Netsparlink Member Advisory Board, Netspar health and healthcare among the elderly. In exami- Age 59 ning healthcare policy, we need to understand the factors driving (long-term) care use and costs. This requires information on the determinants of need for care, care demand and unit care costs, and the response of healthcare institutions. Exogenous changes in the healthcare system (such as the recent Dutch health insurance reform) and cross-country institu- I hope that the tional differences will be explored to examine the “ impact of alternative arrangements on access to care non-academic and on the ﬁ nancial position of the elderly. partners of Netspar have the patience required to wait for the pay-offs of Netspar’s research”

Most inspiring country regarding pensions ‘I have no academic expertise in this ﬁ eld, so I don’t really have an opinion. ‘

Netspar ‘As a sister faculty, we appreciate Netspar’s eagerness to share its means with colleagues across the country, and we are actively try- ing to increase our cooperation.’

Partners ‘Academic research, including Netspar’s, is fundamental research. It pays off hugely, but that takes time. I hope that the non- academic partners of Netspar have the patience required to wait for the pay-offs of Netspar’s research.’

Solidarity and a free market for pensions: in equilibrium? ‘More individual choice as to pension level and retirement age is desirable.’

When I can no longer look after myself, I will ‘Brrrr. I hope that my wife still loves me by then.’ 44 looking ahead

Theme Private Retirement Provision

The third ‘pillar’ returns and risks on various investments and retire- The provision of retirement income has long been do- ment savings. minated by mandatory arrangements with little room for individual choice. However, individual choice is Two such risks involve infl ation and interest rates. becoming increasingly important within collective The former affects real wealth, while the latter af- defi ned-benefi t arrangements. Moreover, individual fects the value of annuities purchased at retirement. schemes with more scope for individual discretion Which investment strategies can hedge these risks? are sometimes proposed, including private retirement A third important risk is the wage level. Individuals and life-cycle accounts based on defi ned contribu- usually prefer a retirement income that keeps pace tions. In any case, in addition to collective pension with the general wage level. However, investment rights, households build up private savings and assets that exactly track wage developments typi- investments in fi nancial assets, housing and human cally do not exist. The question is what investment capital. These developments place more responsibi- strategy should the individual (or the pension fund lity on individuals to make informed decisions about manager) employ in an environment with wage risk? retirement savings and investments. People must Finally, we plan to investigate the robustness of be able to estimate not only how much wealth they retirement investment portfolios in an uncertain eco- will need to accumulate by the time they retire, but nomy. A portfolio that is based on a specifi c model Theme coordinator also what risks are involved. To execute their plans, may perform poorly in an alternative, but plausi- Peter Schotman they will invest in mutual funds, or use the services ble, environment. Is it possible to devise a reliable (Maastricht University) of intermediaries, such as insurance companies and strategy that will perform reasonably well in a variety pension funds. of scenarios and yet is robust with respect to model Senior researchers risk? Rob Bauer (Maastricht Uni- Three broad issues versity, ABP), Piet Eichholtz The purpose of this theme is to investigate three The effi ciency of institutional pension providers (Maastricht University), Frank broad issues: Recent evidence suggests that defi ned-contribution de Jong (Tilburg University), 1. What is the optimal investment portfolio for (DC) retirement schemes provided by pension funds in Bas Werker (Tilburg University) households at various ages, taking into account the US are more cost effective than the mutual fund housing and labor income? industry as a whole. A possible explanation is that 2. How effi cient are various institutional providers, there is a natural alignment between the interests such as mutual funds and pension funds, in provi- of DC plan executives (agents) and plan members ding investment products for households? (principals). The presumed rationale for establishing 3. Do people have the capacity to make rational deci- pension funds is not fee-based profi tability for a sions about retirement? third-party, but the provision of employee retirement income. There is a natural incentive for pension funds Optimal portfolio allocations to maximize net returns, rather than expenses. In This is a booming research area focusing on the the mutual-fund industry, managers have the (legal) optimal composition of portfolios for investors with option to extract wealth from their clients for their long investment horizons. Optimal composition refers own benefi t (due to the informational asymmetry to the allocation within a portfolio among stocks, between them). Are pooled DC schemes inherently bonds, risk-free savings and other assets. In this more cost effective than mutual funds? Do mutual research program we will endeavor to augment the funds have more and different agency problems existing literature with practical applications. than pooled DC products? What are the performance consequences? A crucial issue is the effect of home ownership on asset allocation. The net value of a house (value minus Household fi nancial investment decisions mortgage) often exceeds the value of the household’s Existing research in behavioral fi nance casts doubt fi nancial assets, suggesting a signifi cant effect on on the rationality of individual long-term investment asset allocation. The choice of mortgage type is one decisions. This suggests that providing unrestricted of the most important decisions that a household individual choice in pension products may not be a makes— but scientifi c research on optimal mortgage good idea, and supports mandatory funded pensions, choice is still lacking. One of our research aims is with default investment strategies. Yet, there is a to fi ll this gap. To answer these questions, we need risk that such policies exclude products that cater to more insight into the long-term relationship between individual needs and limit competition, resulting in netspar themes 45

ineffi ciencies in pension provision. Striking the right balance between free and limited choice is one of the Name Olivia S. Mitchell chief policy challenges in the pension fi eld. A related Position Professor at Wharton School, issue is whether or not it is possible to educate pri- University of Pennsylvania vate investors in these matters. There is an obvious Netsparlink Member Scientifi c Council link with Netspar’s micro program, featuring a wealth of information about individual savings decisions that can be extended to investment decisions in fi nancial markets.

“There is no one perfect plan for all time and all countries”

Most inspiring country regarding pensions ‘Many countries have interesting elements; most recently, I have been working in Chile where, 25 years ago, the national old-age system was converted into a program based on funded deﬁ ned-contribution accounts.’

Netspar ‘I am delighted to be able to share international perspectives with Netspar and its afﬁ liates.’

Solidarity and a free market for pensions: in equilibrium? ‘Every country must continually seek its own balance between welfare and insurance- based systems. A pure welfare program has deleterious incentive effects, while a pure insurance-based program can be critiqued on equity grounds. There is no one perfect plan for all time and all countries.’ 46 looking ahead

Name Hanne de Glas Position student in the MSc in Economics at Tilburg University “People I know are concerned that Hanne chose Introduction to the Economics and Finance of Aging as an elective course.

they are going to “I think that the subject of population aging is interesting to almost everyone— have to work hard also young people. People I know are concerned that they are going to have to work in the future to pay hard in the future to pay for the pensions of a huge number of retirees. I was curious for the pensions of to see what kind of solutions economics is offering, and this course has given me a lot of insight into that. I had always thought, a huge number of for example, that the amount that you have to pay each month you would actually retirees get eventually; now, I know that it’s a lot ” more complicated. What I especially liked about the course was the small-group focus. We worked in small groups and wrote papers together. Each group, for example, had to study the pension system of a particular country and then make a presentation. Our group handled Sweden, a country with an in- novative approach to population aging and pensions. Through the presentations you learned something about each country, and saw the theory put into practice. All in all, this course was an enjoyable and informative taste of the new master’s in the Economics and Finance of Aging.”

Supplements 49 50 Netspar Organization

Advisory Board

Scientiﬁ c Directors

Scientiﬁ c Council Partner Council

Dir. Education Dir. Partner Contacts Coordinator Support Staff

Macro Meso Micro Theme 1 Theme 2 Theme 3

Coord. Coord. Coord. Coord. Coord. Coord.

Senior Senior Senior Senior Senior Senior

Junior Junior Junior Junior Junior Junior

PhD PhD PhD PhD PhD PhD Governance Netspar in 2005 51

Members Advisory Board Members Partner Council Coordinator Mr.Dr. Hans Bosselaar Mr. Karin Bitter Drs. Martijn van Gruijthuijsen Stichting Instituut Gak Interpolis Prof.dr. Willem Buijink Gerard Bosman Support Staff Tilburg University Mn Services Marleen Brouwer (Secretary till Prof.dr. Jacques van der Gaag Drs. Hans Bosselaar January 15, 2006) University of Amsterdam Stichting Instituut Gak Sabrina Corsen (Secretary) Drs. Jan Nijssen Drs. Reinoud van den Broek Sylvia van Drogenbroek (Secretary) ING Achmea Lizeth van der Heijden (Secretary) Fred Hoogeland (Policy Offi cer) Ir. Karel Noordzij Drs. Maarten Camps Lenie Laurijssen (Team Leader Secretarial PGGM Ministerie van SZW Offi ce) Drs. Joep Schouten Hans Duijn Margreet Punt (Communications Offi cer) Cordares Fortis ASR Drs. Erry Stoové Prof.dr. Lex Hoogduijn Program coordinators Sociale Verzekeringsbank DNB

Macro Prof.dr. Fons van de Vijver Drs. Jan Nijssen Tilburg University ING Prof.dr. Kees Koedijk Erasmus University Rotterdam Prof.dr. Tom Wansbeek Drs. Robert Olieman University of Groningen Sociale Verzekeringsbank Prof.dr. Coen Teulings University of Amsterdam Guus Wouters Drs. Jan Overmeer Interpolis Aegon Meso Drs. Joep Schouten Prof.dr. Frank de Jong Cordares Members Scientiﬁ c Council Tilburg University Prof.dr. Tom Steenkamp Prof. Richard Blundell Prof.dr. Peter Schotman ABP University College London, Department of Maastricht University Economics Drs. Jan Tamerus PGGM Micro Prof. Axel Börsch-Supan University of Mannheim, Mannheim Wouter Tol Prof.dr. Rob Alessie Research Institute for the Economics of ABN AMRO Utrecht University Aging Prof.dr. Matthijs Kalmijn Prof. Paul Embrechts Scientiﬁ c Directors Tilburg University ETH-Zentrum, Department of Mathema- Prof.dr. Maarten Lindeboom tics Prof.dr. Lans Bovenberg VU Amsterdam Prof.dr.ir. Arie Kapteyn Prof. Olivia Mitchell Prof.dr. Theo Nijman (Chair) University of Pennsylvania, The Wharton School Prof. David Wise Director of Education Harvard University Prof.dr. Arthur van Soest Prof. Luis M. Viceira Harvard University, Graduate School of Business Administration Director Partner Contacts Drs. Rob Bakker 52 Netspar researchers

Junior researchers

Macro Meso Micro

1 Dr. Bas Jacobs 6 Dr. Joachim Inkmann 8 Dr. Christiaan Monden Tilburg University Tilburg University Tilburg University

2 Dr. Bas van Groezen 7 Dr. Lieven Baele 9 Dr. Frederic Vermeulen Utrecht University Tilburg University Tilburg University

3 Dr. Katie Carman 10 Drs. Jannes de Vries Tilburg University Tilburg University

4 Dr. Norma Coe 11 Dr. Gema Zamarro Tilburg University Tilburg University

5 Dr. Thijs Knaap Utrecht University

1 2 3 4 5 6

7 8 9 10 11 53

Macro senior researchers

1 Prof.dr. Roel Beetsma 7 Dr. Willem Heeringa 13 Prof.dr. Ruud de Mooij University of Amsterdam DNB CPB Monetary Policy and Pension systems Optimal pension funding: a portfolio Reinventing the welfare state in the EU approach 14 Prof.dr. Enrico Perotti 2 Prof.dr. Jan Boone 8 Prof.dr. Harry Huizinga University of Amsterdam Tilburg University Tilburg University The Political Economy of Pension Optimal Tax Policy, Retirement Decisi- Financial Market Development and Reform ons and Redistribution Institutional Investors Public Pension guarantees and Moral 15 Dr. Eduard Ponds 3 Prof.dr. Lans Bovenberg Hazard ABP Tilburg University Generational Fairness and Sustainabi- Optimal Tax Policy, Retirement 9 Drs. Egbert Jongen lity of Funded Defi ned Benefi t Plans Decisions and Redistribution CPB Risk in General Equilibrium Models Dealing with Labour Market Risk in 16 Prof.dr. Coen Teulings and Pension Policy The Netherlands University of Amsterdam (CPB as of May Optimal Life-time Income Taxation 2006) 10 Prof.dr. Kees Koedijk Social Insurance, Pension Funds and 4 Dr. Peter Broer Erasmus University Rotterdam Life-cycle Saving CPB Risk and Return of Sustainable Risk in General Equilibrium Models Investing 17 Prof.dr. Harrie Verbon and Pension Policy Tilburg University 11 Prof.dr. Clemens Kool The International Spillover Effects of 5 Prof.dr. Sylvester Eijffi nger Utrecht University Aging and Pension Systems Tilburg University International Capital Flows, Net Fo- Financial Supervision in Europe reign Assets and Real Exchange Rates 18 Prof.dr. Sweder van Wijnbergen Stability and Growth Pact, Demograp- Private Pension Investments: a Beha- University of Amsterdam hic Developments and Pensions vioral Finance Approach Pension Reform Around the World

6 Prof.dr. Ben Heijdra 12 Prof.dr. Lex Meijdam University of Groningen Tilburg University Non-traded goods, Aging, and Aging, Pensions and Fertility Pensions in Open Economies The International Spillover Effects of 1 2 3 4 5 6 7 8 9 Aging and Pension Systems 10 11 12 13 14 15 16 17 18 54 netspar researchers

Meso senior researchers

1 Dr. Joost Driessen 8 Prof.dr. André Lucas 15 Dr. Peter Vlaar University of Amsterdam VU Amsterdam DNB Pension Investments in Corporate Preference Speciﬁ cation for Pension Interest Rate Modelling for Pension Bonds Funds Fund Asset and Liability Management Optimal Investment Policy for Pension 2 Dr. Feico Drost 9 Prof.dr. Bertrand Melenberg Funds and the Impact of Regulation Tilburg University Tilburg University Portfolio Insurance and Crash Risk Portfolio Choice and Equilibrium 16 Dr. Anja de Waegenaere Pricing under Loss Aversion Tilburg University 3 Prof.dr. Piet Eichholtz Measurement and Management of Maastricht University 10 Prof.dr. Theo Nijman Longevity Risk Effects of the Aging Population on Tilburg University Real Estate Markets Advantages and disadvantages of 17 Prof.dr. Bas Werker Participation in Collective Pension Tilburg University 4 Prof.dr. Marc Goovaerts Schemes Hedging Inﬂ ation Risk University of Amsterdam Determination of Financial Insurance 11 Prof.dr. Frans de Roon Streams based on Commonotic Tilburg University Portfolio Choice and Asset Pricing 5 Dr. Jenke ter Horst including Economic Risk Factors Tilburg University Performance Evaluation of Hedge 12 Prof.dr. Peter Schotman Funds Maastricht University Long Term Investing with Persistent 6 Prof.dr. Frank de Jong Risk Factors Tilburg University Valuation of Intergenerational 13 Prof.dr. Hans Schumacher Pension Deals Tilburg University Valuation at Market Value 7 Prof.dr. Rob Kaas University of Amsterdam 14 Prof.dr. Marno Verbeek Determination of Financial Insurance Erasmus University Rotterdam Streams based on Commonotic Performance Persistence and Money 1 2 3 4 5 6 7 8 9 Flows 10 11 12 13 14 15 16 17 55

Micro senior researchers

1 Prof.dr. Rob Alessie 7 Prof.dr.ir. Arie Kapteyn 13 Prof.dr. Fred van Raaij Utrecht University Tilburg University Tilburg University How Social Security and Pension Wealth Understanding Economic Decisions Consumer Financial Planning and Affect Household Savings Choice in Old Age (il)literacy Planning, Financial Literacy, and Household Wealth: Evidence from 8 Prof.dr. Peter Kooreman 14 Drs. Maarten van Rooij the Netherlands University of Groningen DNB Default and Labelling Effects in Private Pension Investment: 2 Prof.dr. Gerard van den Berg Savings and Consumption Decisions: a Behavioral Finance Approach VU Amsterdam a Field Experiment Planning, Financial Literacy, and Long Run Effects of Economic Household Wealth: Evidence from Conditions on health and mortality 9 Prof.dr. Maarten Lindeboom the Netherlands VU Amsterdam 3 Dr. Hans Bloemen Health, Work, and Well-being 15 Prof.dr. Arthur van Soest VU Amsterdam before and after retirement Tilburg University Private wealth and exit from the Comparing Work Disabilities across labor force 10 Prof.dr. Jan Nelissen Countries Tilburg University Expectations and Realizations of 4 Dr. Eline van der Heijden Micro-simulation of Transitions In Retirement Beneﬁ ts Tilburg University and Out of the Labor force Savings, Portfolio Choice, and The Relationship between Risk Retirement Attitudes and Time Preferences 11 Prof.dr. Jan Potters Tilburg University 16 Dr. Klaas de Vos 5 Dr. Kène Henkens Measuring the Degree of Solidarity in Tilburg University NIDI Pension Systems and Social Insurance Pension Systems and Retirement Late-life Labor Market Careers of The Relationship between Risk Attitu- Households des and Time Preferences

6 Prof.dr. Matthijs Kalmijn 12 Prof.dr. Henriëtte Prast Tilburg University Tilburg University and DNB Aging in a Life Course Perspective Default and Labelling Effects in Late-life labor market careers of Savings and Consumption Decisions: households a Field Experiment 1 2 3 4 5 6 7 8

9 10 11 12 13 14 15 16 56 Netspar Output: Discussion Papers and Drafts

Netspar discussion Bovenberg, A.L., T. Boeri, B. Coeure, A. Horst, J. ter, L. Renneboog, C. Zhang Kalmijn, M. (2006), A comparative per- papers are available Roberts (2006), Dealing with the new (2005), Is ethical money fi nancially spective on intergenerational support: on Netspar’s website. giants. smart? Responsiveness to parental needs in The other output that individualistic and familialistic coun- is listed is available Bovenberg, A.L., P. Sorensen (2006), Inkmann J. (2005), Compensating wage tries, Netspar DP. through draft versions Individual savings accounts and the life differentials for defi ned benefi t and de- only. cycle approach to social insurance. fi ned contribution occupational pension Kalmijn, M., K. Henkens (2006), Effects of scheme benefi ts. life course transitions on preparing for Bovenberg, A.L., H. Uhlig (2006), Pension pensions. systems and the allocation of macroeco- Inkmann J., D. Blake (2005), Pension nomic risk. liability valuation and optimal asset al- Kalmijn, M., J. de Vries (2006), Econo- location under default risk. mic well being across the life course: Bovenberg, A.L., J. Boone (2006), Optimal Comparing register data with pooled non-linear life cycle taxation. Jacobs, B. (2005), The double dividend of cross-sectional designs. education subsidies for redistribution. Bovenberg, A.L., R. Beetsma (2006), The Kalwij A., F. Vermeulen (2005), Labour macroeconomics of pensions and inter- Jong, F.C.J.M, J.J.A.G. Driessen, O. van force participation of the elderly in Eu- generational risksharing. Hemert (2005), Dynamic portfolio and rope: The importance of being healthy, mortgage choice for homeowners. Netspar DP. Buti, M., S.C.W. Eijffi nger, D. Franco (2005), The stability pact pains: A for- Jong, F.C.J.M., J. Cui, E. Ponds (2005), Kapteyn, A., J. Smith, A.H.O van Soest, T. ward-looking assessment of the reform The value of intergenerational transfers Andreyeva (2005), Self reported disability debate, Netspar DP and CEPR discussion within pension funds, Netspar DP. and reference groups. paper, No. 5216. Jong, F.C.J.M, (2005), Pension fund in- Kapteyn, A., J. Banks, J. Smith, A.H.O van Driessen, J.J.A.G., M. Cremers, P. Mae- vestments and the valuation of liabili- Soest (2005) Work disability is a pain in nhout, D. Weinbaum (2005), Explaining ties under conditional indexation. the *****, especially in England, The the level of credit spreads: Option-imp- Netherlands, and the United States, lied jump risk premia in a fi rm value Jong, F.C.J.M, (2005), Valuation of pen- Netspar DP. model, Netspar DP sion liabilities in incomplete markets. Kapteyn, A., T. Andreyeva (2005), Physical Driessen, J.J.A.G., F.J.C.M. de Jong (2005), Kalmijn, M. (2005), Gender differences in measures and comparability of health Liquidity risk premia in corporate bond intergenerational support across the pa- conditions among the elderly across markets, Netspar DP. rental life course: Does marriage protect Europe. men? Netspar DP. Eichholtz, P., D. Brounen (2005), Demo- Kapteyn, A., J.Y. Ypma (2005), Measu- graphics and the demand for property; Kalmijn, M. A. Loeve, D. Manting (2005), rement error and misclassifi cation: A an international investigation. Income dynamics in couples and the dis- comparison of survey and register data, solution of marriage and cohabitation, Netspar DP. Eichholtz, P., D. Brounen, M. Theebe Netspar DP. (2005), The infl ation protection from Koedijk, K., J. Derwall (2005), The perfor- home ownership: Evidence for two Kalmijn, M., C. Monden (2006), Are the mance of SRI bond-funds, Netspar DP. centuries. negative effects of divorce on well- being dependent on marital quality? Koedijk, K., J. Derwall, R. Bauer (2005), Heijdra, B.J., W.E. Romp (2005). A life- Netspar DP. Global evidence on the performance of cycle overlapping-generations model of SRI funds, Netspar DP. the small open economy, Netspar DP and Kalmijn, M., M. Jansen (2005), Reciprocal SOM research report. effects between life course transitions Koedijk, K., N. Guenster, J. Derwall and attitudes toward marriage, child- (2005), The economic value of corporate Horst, J. R. ter, M. Verbeek (2005), Fund ren, and gender, Netspar DP. eco-effi ciency, Netspar DP. liquidation, self-selection and look- ahead bias in the hedge fund industry, Netspar DP. 57

Koijen R., Th.E. Nijman, B.J.M. Werker Prast, H.M., C.J.M. Kool, M.C.J. van Rooij, Verbeek, M.J.C.M. (2005) Cross-sectional (2005), Labor income and the demand Risk return preferences in the pension learning and short-run persistence in for long-term bonds, Netspar DP. domain: Are people able to choose?, mutual fund performance, Netspar DP. Netspar DP and Tjalling C. Koopmans Koijen R., Th.E. Nijman, B.J.M. Werker Institute (TKI) working paper 2005-04. Verbon, H.A.A., A.C. Meijdam, B. van (2006), Dynamic asset allocation with Groezen (2005), Increased pension sa- annuity risk, Netspar DP. Prast, H.M., M. van Rooij, C. Kool (2004), vings: blessing or curse (social security Pension schemes, freedom of choice and reform in a two sector growth model), Lindeboom, M., P. de Jong, B. van der risk preferences, Netspar DP and DNB Netspar DP. Klaauw (2005), Screening disability insu- Working Paper 26. rance applications. Vlaar, P.J.G., J. A. Bikker (2006), Condi- Roon, F. de, M. Szymanowska (2006), tional indexation in deﬁ ned beneﬁ t Lindeboom, M. (2005), Health and work Consumption risk and expected com- pension plans, Netspar DP and DNB of older workers. modity returns. Working paper.

Macher J.M., B. Roorda (2005), Time Roon, F. de, E. Eiling, B. Gerard, P. Hillion Vlaar, P.J.G. (2006) Defi ned benefi t consistency conditions for acceptability (2005), International portfolio diversifi - pension plans and regulation. measures, with an application to tail cation: Industry, country, and currency value at risk, Netspar DP. effects revisited. Vlaar, P.J.G., M. van Rooij, A. Siegmann (2005), PALMNET: a pension asset and Meijdam, A.C., Adema Y., H. Verbon Roon, F. de E. Eiling, B. Gerard (2005), liability model for the Netherlands, (2005), The International spillover ef- International diversifi cation in the Netspar DP. fects of pension reform, Netspar DP and Euro-zone: The increasing riskiness of CESifo working paper. industry portfolios. Vos, K. de, A. Kapteyn (2006), Social security and the well being of the elderly Meijdam, A.C., Adema Y., H. Verbon Roon, F. de (2005), The Estimation error in the Netherlands. (2006), The International spillover ef- in mean-variance effi cient portfolio fects of pensions and population aging. weights. Waegenaere, A. de, B. Melenberg, N. Hari, Th.E. Nijman (2006), Estimating the term Melenberg, B., J. Kerkhof, J.M. Schuma- Rooij, M. van, R. Alessie, A. Lusardi structure of mortality. cher (2005), Model risk and regulatory (2006), Planning, fi nancial literacy, and capital, Netspar DP. household wealth: Evidence from the US Waegenaere, A. de, B. Melenberg, N. Hari, and the Netherlands. Th.E. Nijman (2006), Longevity risk in Melenberg B., S. Polbennikov (2005), pension annuities. Mean-coherent risk and mean-variance Schotman, P., J. Budek, R. Tschernig approaches in portfolio selection: an (2005), Long memory and the term Waegenaere, A. de, T. van Hest (2006), empirical comparison, Netspar DP and structure of risk, Netspar DP. A consistent and robust active imple- CentER DP. mentation of a pension fund’s bench- Schotman, P. R. Hoevenaars, R. Molenaar, mark investment strategy. Melenberg B., S. Polbennikov (2005), T. Steenkamp (2005), Strategic asset al- Testing for mean-coherent regular risk location with liabilities: Beyond stocks Werker, B.J.M., M.J. Boes, F.C. Drost spanning, Netspar DP and CentER DP and bonds, Netspar DP. (2005), Nonparametric risk-neutral 2005-99. return and volatility distributions, Schotman, P., R. Bauer, B. Pavlov (2005), Netspar DP. Melenberg B., Tu Q., B. Donkers, A.H.O. Panel data models for stock returns: The van Soest (2006), Reference points in importance of industries, Netspar DP. Werker, B.J.M., E. Renault (2005), Causa- intertemporal choice. lity effects in return volatility measures Verbeek, M.J.C.M., G. Baquero (2005) A with random times, Netspar DP. Nijman, Th.E. (2006), Strengths and portrait of hedge fund investors: Flows, weaknesses of the Dutch Standardized performance and smart money, Netspar Approach to measure solvency risk for DP. pension plans. 58 Netspar Output: Published and Forthcoming Papers

Beetsma, R.M.W.J., X. Debrun (2005), Bovenberg, A.L. (2005) Van Nazorg naar Drost, F.C., B.J.M. Werker, M.J.Boes The new stability and growth pact: A Voorzorg, in P. Leenders, I. Kuijpers, (2006), The impact of overnight periods ﬁ rst assessment, forthcoming European F. Rottenberg (eds.), Sociale zekerheid on option pricing, forthcoming in Journal Economic Review. als investering (Uitgeverij de Balie, 2005). of Financial and Quantitative Analysis

Bettendorf, L.J.H., B.J. Heijdra (2005), Bovenberg, A.L. (2005) Nieuwe pensi- Eijfﬁ nger, S.C.W. (2005), The European Population aging and pension reform in oencontracten, Tijdschrift voor Openbare Central Bank and ﬁ nancial supervision, a small open economy with non-traded Financiën, Vol. 37, No. 3, 2005, 118-128. in: D. Masciandaro (Ed.), Handbook of goods, forthcoming in Journal of Econo- Central Banking and Financial Authori- mic Dynamics and Control. Bovenberg, A.L. (2005) Het optimale pen- ties in Europe, Edward Elgar Publishing, sioencontract, in R. Bauer, R. Maatman, Cheltenham, 2005. Bovenberg, A.L., B. Jacobs (2005), Redis- J. Mensonides, T. Steenkamp, J. Kune, M. tribution and education subsidies are Sturmans (eds). Vergezichten. Over beleg- Ekamper, P., K. Henkens (2006), Werkge- Siamese twins, Journal of Public Econo- gen, pensioenen en toezicht (Riskmatrix, vers zien oudere werknemer vooral als mics, Vol. 89, Nos. 11-12, 2005-2036. Driebergen, 2005). kostenpost, CWI-Arbeidsmarkt Journaal, 6(1), 9-11. Bovenberg, A.L. (2005), Balancing work Bovenberg, A.L. (2005) Pensioenen en and family Life during the life course, optimale risicodeling, Economische Goovaerts M.J., S. Vanduffel, J. Dhaene The Economist, Vol. 153, No. 4, 399-423. Statische Berichten, Jrg. 90, No. 4471, pp. (2006), On the evaluation of ‘saving- 412-414. consumption’ plans, forth coming in Bovenberg, A.L. (2005), Comments on Journal of Pension Economics and Securitization of taxes implicit in PAYG Cozijnsen, R., K. Henkens, H. van Solinge Finance. pensions, Economic Policy, Vol. 42, pp. (2005) Laten gaan of behouden? Een 251-255. vergelijkend onderzoek naar beoorde- Goovaerts, M.J., M. Decamps, A. De lingen van studenten en managers ten Schepper (2005), A path-integral Bovenberg, A.L. (2005) Funds’ strengths aanzien van uitstroom van oudere werk- approach to Asset-Liability Manage- and weaknesses, Investment and Pensi- nemers, Gedrag en Organisatie, 18(6), ment, forthcoming in Physica A. ons Europe (IPE), pp. 20-21 338-354. Heijdra, B.J., J.E. Ligthart (2005), The ma- Bovenberg, A.L. (2005) Life course: Maxi- Dalen, H.P. van, K. Henkens (2005), The croeconomic dynamics of demographic mising your potential, Investment and rationality behind immigration policy shocks, forthcoming in Macroeconomic Pensions Europe (IPE), pp. 24 preferences, The Economist, 153 (1): 67-83. Dynamics.

Bovenberg, A.L., J.J. Graaﬂ and (2005) Dalen, H.P. van, K. Henkens (2005), The Heijdra, B.J., J.E. Ligthart (2005), Fiscal Naar een solide en solidair pensioensy- double standard in attitudes towards policy, monopolistic competition, and steem, in E. de Jong and M. Buijsen, Soli- retirement – The case of the Nether- ﬁ nite lives, forthcoming in Journal of dariteit onder druk. Over de grens tussen lands, Geneva Papers on Risk and Insu- Economic Dynamics and Control. individuele en collectieve verantwoorde- rance, Policies and Practice, 30:693-710. lijkheid. (Valkof Pers, 2005). Heijdra, B.J., J.-P. Kooiman, J.E. Ligthart Dalen, H.P. van, K. Henkens (2005) Wie (2005), Environmental quality, the macro Bovenberg, A.L., B. Jacobs (2005) Kennis- vertrouwt de werknemer zijn pensi- economy, and intergenerational dis- economie, menselijk kapitaal, herverde- oengeld toe?, Economisch Statistische tribution, forthcoming in Resource and ling en overheidsbeleid, Tijdschrift voor Berichten 11 februari 2005, 58-60. Energy Economics. Openbare Financiën, Vol. 37, No. 1, 2005, 5-24. Dalen, H.P. van, K. Henkens, (2006), De Henkens, K. (2005), Stereotyping older vloek van de keuzevrijheid, Pensioen workers and retirement, the mana- Bovenberg, A.L., C.N. Teulings (2005) Bestuur & Management, 3(1), 32-35. gers’ point of view, Canadian Journal on De vlaktaks in concreto, Economische Aging, 24(4), 35-48. Statische Berichten, Jrg. 90, No. 4455, Dalen, H.P. van, K. Henkens, (2006), pp. 112-114. Keuzevrijheid pensioen. Vloek voor de een, zegen voor de ander, DEMOS, Bul- letin over Bevolking en Samenleving, (22)1: 1-4. 59

Henkens, K., C. Remery, J. Schippers, Jacobs, B., A.L. Bovenberg (2005). Koedijk, K., C. de Jong, C. Schnitzlein (2005) In search of suitable employees: Kenniseconomie, menselijk kapitaal, (2005), Stock market quality in the recruitment practices of Dutch employ- herverdeling en overheidsbeleid, Tijd- presence of a traded option, Journal of ers, International Journal of Manpower, schrift voor Openbare Financiën, 37, 1, Business. 26 (5): 421-433. 3-22. Kortleve, N., Th.E. Nijman, E. Ponds (eds.) Henkens, K., R. Neuteboom, R. Schepers, Jacobs, B. (2006), Optimal tax and (2006), Fair value and pension fund ma- H. van Solinge (2005), Verrijkt doorwer- education policies and investments in nagement, Elsevier Publishers and SPW, ken: Maatschappelijke detachering als human capital, in: Hartog, J., and H. forthcoming. alternatief voor vervroegd uittreden, Maassen van den Brink (2006), Human Gids voor Personeelsmanagement, 84(5): Capital: Moving the Frontier, Cambridge: Lindeboom, M., G. J. van den Berg, 28-31. Cambridge University Press, forthcoming. F. Portrait (2005), Individual mortality and macro economic conditions from Henkens K. (2005), Doorwerken: De im- Jacobs, B., R.A. de Mooij, K. Folmer birth to death, forthcoming in American passe op de werkvloer, Oog voor Morgen: (2006), Vlaktaks en arbeidsparticipatie, Economic Review. Pensioenmagazine voor beslissers in de in: A.P. Ros en C.A. de Kam (red) (2006), zorg en welzijn, Jrg. 3, p. 12. Dreesforum 2 - De Vlaktaks: Naar een Lindeboom, M., G. J. van den Berg, inkomstenbelasting met een uniform ta- P. Dolton (2005), Survey non-response Henkens, K, H. van Solinge (2006), Ar- rief?, Den Haag: Wim Drees Stichting voor and unemployment duration, forth- beidsdeelname van 65-plussers: feiten, Openbare Financiën, forthcoming. coming in Journal of the Royal Statistical motieven en draagvlak, Gids voor Perso- Society, Series A. neelsmanagement, 85(2): 22-24. Jacobs, Bas (2006), Over de politieke economie van de vergrijzing en het Meijdam, A.C., B. van Groezen (2005), Horst, J.R. ter, M. Verbeek (2005): Hedge- conﬂ ict tussen de generaties, in: D. van Growing old and staying young: Popula- fondsen: Prestaties uit het verleden bie- den Brink en F. Heemskerk (eds) (2006), tion policy in an aging closed economy, den verwachtingen voor de toekomst, De Vergrijzing Leeft, Amsterdam: Bert forthcoming in Journal of Population Maandblad voor Accountancy en Bedrijfs- Bakker. Economics. economie, April 2005, p. 168 – 173. Kapteyn, A., S. Panis (2005), Institutions Mooij, R. A. de, Naar een robuuste Huizinga, H.P., C. Denis, G. Nicodeme and saving for retirement: Comparing verzorgingsstaat, Tijdschrift Politieke (2005), Foreign ownership in Europe: the United States, Italy, and The Nether- Ekonomie, Volume 26, no. 4, pp. 3-21. Determinants and taxation consequen- lands, in D.A. Wise (ed.) Analyses in the ces, forthcoming in The Internationali- Economics of Aging, University of Chicago Nijman, Th.E., R.S.J. Koijen (2005) Valu- sation of Asset Ownership in Europe, H.P. Press, pp.281-312. ation and risk management of inﬂ ation Huizinga and L. Jonung (eds.), Cambridge sensitive pension rights, forthcoming University Press. Kapteyn, A., R.J.M. Alessie, A. Lusardi in Fair Value and Pension Fund Manage- (2005), Explaining the wealth hol- ment, N. Kortleve, Th. Nijman and E. Huizinga H.P., L. Jonung (eds.) (2006), The dings of different cohorts: Productivity Ponds (eds.), Elsevier Publishers 2006. internationalisation of asset ownership growth and social security, European in Europe, Book volume Cambridge Uni- Economic Review, vol. 49, issue 5, pp. Nijman, Th.E. (2005), Solvency tests versity Press, forthcoming. 1361-1391. for Dutch pension funds, in R. Bauer, R. Maatman, J. Mensonides, T. Steen- Jacobs, B., F. van der Ploeg (2006), Get- Koedijk, K., R. Bauer, R. Otten (2005), kamp, J. Kune, M. Sturmans (eds). Verge- ting European universities into shape, International evidence on ethical mutual zichten. Over beleggen, pensioenen en European Political Science, forthcoming. fund performance and investment style, toezicht (Riskmatrix, Driebergen, 2005) Journal of Banking and Finance. Jacobs, B. (2005). Optimal income taxa- Prast, H.M., C.J.M. Kool, M.C.J. van Rooij tion with endogenous human capital, Koedijk, K., E. Kole, M. Verbeek (2005), (2005), Werknemer kan én wil niet zelf Journal of Public Economic Theory 7, (2), Portfolio implications of systemic crises, beleggen voor pensioen, Economisch 295–315. Journal of Banking and Finance. Statistische Berichten, vol. 90, nr. 4458, 22 april 2005, 172-175. 60 netspar output: published and forthcoming papers

Prast, H.M, (2005) Emotie-economie: de Teulings, C.N. (2005), Verdeel het vermo- mythe van de persoonlijke ﬁ nanciële gen nú: generatierekening overbrugt planning, Tijdschrift voor Politieke Eko- tegenstellingen, Pensioen, Bestuur & nomie, jaargang 27 (2), blz 4 – 25. Management, 2, (2), 6-7.

Prast, H.M,(2005) When I’m sixty-four Teulings, C.N. (2005), Verplichtstelling is – the psychology of retirement saving, voordelig voor fondsen, maar hoe lang Wilmott Magazine, John Wiley Publishers. nog?, Verzekerd, 3, (13), 11.

Prast, H.M, M. de Vor (2005) Investor re- Teulings, C.N., Vries, C.G. de (2006), Ge- actions to news: A cognitive dissonance neral accounting, solidarity and pension analysis of the Euro-US dollar exchange losses, forthcoming in The Economist. rate, European Journal of Political Eco- nomy, Volume 21, Issue 1, 115-141. Velladics, K. K. Henkens, H. van Dalen (2006), Do different histories produce Prast, H.M (2005) Neuroeconomics, different policy preferences? – Opinions Wilmott Magazine, John Wiley Publishers. on pension reforms in Eastern and Western Europe, forthcoming in Aging & Rooij, M.C.J. van, A.H. Siegmann, P.J.G. Society. Vlaar (2005), Beleidsopties voor pensioenfondsen, Economisch Statistische Verbon, H.A.A., W. Guth, M. Sutter (2005), Berichten, Volume 90, no. 4456, blz. Voluntary versus compulsory solidarity: 124-127. theory and experiment, forthcoming in Journal of Institutional and Theoretical Rooij, M.C.J. van, A.H. Siegmann, P.J.G. Economics. Vlaar (2005), De consequenties van fair value bij pensioenfondsen: een analyse Verbon, H.A.A., A.C. Meijdam, B. van met het DNB pensioenmodel PALMNET, Groezen (2005), Serving the old: aging De Actuaris, Volume 12, no. 3, blz. 17-19. and economic growth, Oxford Economic Papers, 57, pp.647-663. Schotman P. (2005), Het gemiddeld ren- dement als risicofactor, in R. Bauer, R. Vlaar, P.J.G., H.H. Siegmann, M.C.J. van Maatman, J. Mensonides, T. Steenkamp, Rooij (2005), Beleidsplan voor pensi- J. Kune, M. Sturmans (eds). Vergezichten. oenfondsen, Economisch Statistische Over beleggen, pensioenen en toezicht Berichten, pp. 124-127. (Riskmatrix, Driebergen, 2005) Vlaar, P.J.G., H.H. Siegmann, M.C.J. van Schumacher, J.M., B. Roorda, J.C. Eng- Rooij (2005), De Consequenties van fair werda (2005), Coherent acceptability value bij pensioenfondsen, De Actuaris, measures in multiperiod models, Mathe- pp. 17-19. matical Finance, 15, 589-612.

Solinge H., K. Henkens (2005), Couples’ adaptation to retirement: A multi-ac- tor panel study, Journal of Gerontology: Social Sciences, 60B (1): S11-S20.

Teulings, C.N., Vries, C.G. de (2005), Micropremie en macroparadox, Econo- misch Statistische Berichten, 90, (4470), 386-389. Budget & Funding 2006 61

Budget

1 9 1. Conferences & Reference Papers - 7% 2 2. Data & Visitors - 4% 3. Operation Costs - 11% 8 3 4. Unforeseen - 3% 5. Senior Researchers & Board of Directors - 34% 6. Junior Researchers - 13% 7. PhDs & MPhils - 5% 4 8. Themes - 20% ¤ 5,000,000.– 9. Education - 3% 7

6 5

Funding 9 1. Tilburg University - 20% 1 2. Other Universities - 11% 3. NWO Spinoza - 5% 8 4. GAK Institute Foundation - 5% 5. Pension Funds - 10% 6. Insurance/Banking Institutions - 15% 7. Public Institutions - 7% 8. Innovation Platform - 26% 9. Other - 1% ¤ 5,000,000.– 2

4 6 5 62 Programs Netspar Conferences

January 17, 2005 January 18, 2005

Aging Society 14.30 Round I: Parallel workshops 09.30 Round II: Parallel workshops Aging Society 09.45 Opening of the conference Workshop I: Aging Society Hein van Oorschot (President of The social security and pensions Session A: the Executive Board of Tilburg systems of fi ve European countries Chairperson: Frank de Jong (Net- University) will be analysed: spar and University of Amsterdam) - UK: David Blake (Pensions Institu- 10.00 Outline of the European politi- te, Cass Business School, London): Paula Lopes (London School of cal ambitions with regard to the Population aging: issues facing Economics)* and João F. Cocco economic and social issues aging the UK’s pension systems (London Business School): Defi ned society, security, multicultural - Poland: Marek Góra (Warsaw benefi t or defi ned contribution? society and market liberalisation School of Economics): The Polish An empirical study of pension Lambert van Nistelrooij (Member pension reform choices of the European Parliament) - Germany: Axel Börsch-Supan (MEA Discussant: Peter Schotman (Net- Mannheim): Reforming an un- spar and Maastricht University) 10.25 Introduction to the workshop sustainable public pension system: Aging Society, sustainable pension the German case Coen Teulings (Netspar and Uni- solutions for Europe - Denmark: Anders Grosen (Arhus versity of Amsterdam)* and Casper Jan Nijssen (ING Group) and Business School): The crisis in the de Vries (Erasmus University Rot- Richard Suzman (National Insti- Danish Life Insurance companies terdam): Generational accounting, tute of Aging in the US) will give a - The Netherlands: Lans Bovenberg solidarity and pension losses brief outline of the various chal- (Netspar, Tilburg University): Pen- Discussant: Theo Nijman (Netspar lenges with regard to the greying sion reform in the Netherlands and Tilburg University) society and its impact on social security and pension systems. Workshop II: European Security Session B: Chairperson: Jan Boone (Netspar 11.25 Coffee and tea break Workshop III: A multicultural Euro- and Tilburg University) pean Society 11.40 Introduction to the workshop Axel Börsch-Supan*, Alexan- European Security, Cyrille Fijnaut Workshop IV: Structuring markets der Ludwig and Joachim Winter (Tilburg University) through regulation: the case of (Mannheim Research Institute for vertical separation the Economics of Aging): Aging, 12.10 Introduction to the workshop A pension reform, and capital fl ows: multicultural European Society 16.00 Coffee and tea break A multi-country simulation model Chaibong Hahm (Director of the Discussant: Peter Broer (Netspar Division of Social Science, Research 16.15 Continuance of the parallel work- and Central Planning Bureau) and Policy at UNESCO) shops Arie Kapteyn (Netspar, Tilburg 12.35 Introduction to the workshop 17.30 Drinks and Dinner at Willem II University and RAND)*, James Structuring markets through Stadion in Tilburg P. Smith (RAND) and Arthur van regulation: the case of vertical Hugo Backx (City of Tilburg) and Soest (Netspar, Tilburg University separation Onno Hoes (Deputy Governor of and RAND): Self-reported work Jens Arnbak (chairman of OPTA, the Province of Noord-Brabant) disability in the US and the the Dutch Telecommunication and will hold speeches during dinner. Netherlands Post Regulatory Authority) Discussant: Guiglelmo Weber (University of Padua) 13.00 Lunch at Tilbury’s 10.30 Coffee and tea break 63

11.00 Continuance of the parallel work- 14.45 Continuance of the parallel work- 16.15 Continuance of the parallel workshops shops shops

Session A: Session A: Session A: Chairperson: Lex Meijdam (Netspar Chairperson: Bas Werker (Netspar Chairperson: Arthur van Soest and Tilburg University) and Tilburg University) (Netspar, Tilburg University and RAND) Phil Davis* and Yuwei Hu (Brunel Franck Amalric (University of University): Is there a link between Zürich): Pension funds, corporate Thomas Post*, Helmut Gründl pension-fund assets and economic responsibility, and sustainability (Humboldt University, Berlin), growth? - A cross-country study Discussant: Kees Koedijk (Netspar and Hato Schmeiser (University of Discussant: Harrie Verbon (Netspar and Erasmus University Rotterdam) Münster): Normative modelling of and Tilburg University) retirement decisions: an applica- Frank de Jong (Netspar and tion to family self-insurance Lans Bovenberg (Netspar and University of Amsterdam)*, Jiajia Discussant: Peter Kooreman (Net- Tilburg University) and Thijs Knaap Cui (University of Amsterdam) spar and University of Groningen) (Netspar and Utrecht University)*: and Eduard Ponds (University of Aging, funded pensions and the Amsterdam): Intergenerational Mario Padula (University of Saler- Dutch economy transfers within funded pension no)*, Renata Bottazzi (University Discussant: Hans Fehr (University schemes College London) and Tullio Jappelli of Wuerzburg) Discussant: Paula Lopes (London (University of Salerno): Retirement School of Economics) expectations, pension reforms and Session B: their impact on private accumula- Chairperson: Kees Koedijk (Netspar Session B: tion and Erasmus University) Chairperson: Peter Kooreman (Net- Discussant: Rob Alessie (Netspar spar and University of Groningen) and Utrecht University) Guiglelmo Weber* and Loriana Pellizzon (University of Padua): Are Carl Emmerson (Institute for Fiscal Session B: household portfolios effi cient. An Studies, London)* and Richard Chairperson: Jan Potters (Netspar analysis conditional on housing Disney (University of Nottingham): and Tilburg University) Discussant: Bas Werker (Netspar Public pension reform in the and Tilburg University) United Kingdom: what effect on Hans Fehr* and Christian Ha- the fi nancial well-being of current bermann (University of Wuerz- Tito Boeri (Bocconi University, and future pensioners burg): Risk sharing and effi ciency Milan)* and Agar Brugiavini (Uni- Discussant: To be announced implications of alternative social versity of Venice): Pension reforms security arrangements and gender differences in career Matias Eklöf* and Daniel Hallberg Discussant: Lex Meijdam (Netspar gaps (Uppsala University): Private alter- and Tilburg University) Discussant: Pierre Pestieau natives and early retirement (University of Liege) Discussant: Arthur van Soest (Net- Theo Nijman (Netspar and Tilburg spar, Tilburg University and RAND) University) and Ralph Koijen 12.00 Lunch at Tilbury (Tilburg University)*: Valuation 15.45 Coffee and tea break and risk management of infl ation 13.30 Information and discussion on sensitive pension rights European research cooperation Discussant: Joachim Inkmann related to pension and retirement (London School of Economics)

17.30 Buffet at Tilbury

* indicates who presents in case of several authors 64 Programs Netspar Conferences

March 30, 2005 March 28, 2006

Opening conference Netspar 15.30 Break Netspar Anniversary Meeting: Meeting with the Stakeholders Academic lectures, YZ-1 16.00 Jan Peter Balkenende (Prime Minister): Societal innovation: New Chairman: Dick de Beus 09.30 Axel Börsch-Supan (MEA, arrangements for enduring values University of Mannheim): 13.30 Welcome Macroeconomic implications of 16.25 Debate aging on global labor and capital Between students and Prime 14.00 Opening by Dick de Beus markets Minister 14.10 Lasting pension contracts: about 10.30 Louis Viceira (GSBA Harvard Uni- 17.00 Drinks old values and new ways by Lans versity): The term structure of the Bovenberg risk return trade-off 15.00 Discussion 11.30 Break 15.30 Break 12.00 Olivia Mitchell (Director of the Pension Research Council, The 16.00 Intergenerational solidarity. State Wharton School, University of of affairs by Coen Teulings Pennsylvania): Challenges facing US retirement programs 16.45 Discussion

13:00 Lunch in foyer of building Y 17.15 Netspar: State of affairs and evaluation ﬁ rst year by Theo 13:45 Welcome by Board of directors Nijman Netspar 18.00 Drinks in Restaurant Auberge 14.00 Hein van Oorschot (President of du Bonheur the Executive Board of Tilburg University) 19.00 Dinner and discussion

14.05 Lans Bovenberg (Director Netspar): 21.30 Closing Netspar as private-public partnership

14.20 Roderick Munsters (Chief Invest- ment Ofﬁ cer of ABP): Safeguarding Dutch Pensions: possible Netspar research issues

14.35 Alexander Rinnooy Kan (Execu- tive Board of ING Group): Meeting individual needs from collective strengths

14.50 James Poterba (MIT): Individual decision making and risk in DC pension plans: Evidence from the US

15.25 Presentation of the Efact Honorary Award 65

April 27, 2006 April 28, 2006

Annual conference: Closing the gap 15.30 Session IV: Aging, retirement & 08.30 Coffee between science, policy and poli- pensions tics: reinventing the welfare state 09.00 Session V: Comparing welfare states Lecture 5 Chairman: Marko Bos Arie Kapteyn: Early retirement poli- 09.00 Registration and coffee cies and patterns Lecture 1 Discussants: Peter Kooiman, Harry Gösta Esping-Andersen: The An- 09.30 Session I: Migration & globalization Garretsen glo-Saxon, continental European, Chairman: Casper van Ewijk Scandinavian and Mediterranean Lecture 6 Lecture 1 welfare states and the labor market Sweder van Wijnbergen: Pension Tito Boeri: Migration Discussants: Marcel Canoy, reform in Europe Discussants: Rick van der Ploeg, Maarten Camps Discussants: Assar Lindbeck, Bart Paul Tang van Riel Lecture 2 Lecture 2 Torben Andersen: The Scandina- Lecture 7 Tony Atkinson: The welfare state in vian model Ed Westerhout: Aging & pension a global market Discussants: Lars Jonung, Paul reform in the Netherlands Discussants: André de Jong, Cees Schnabel Discussants: Eduard Ponds, Chris Oudshoorn Driessen 11.00 Coffee break 11.30 Coffee break 17.45 Closing and drinks 11.30 Session VI: The future of the 12.00 Session II: Individualization and welfare state in the Netherlands skill formation Lecture 3 Lecture 3 Ruud de Mooi: Reinventing the Peter Sørensen, Lans Bovenberg: welfare state Individual savings accounts and Discussants: Ton van der Wist, the lifecycle approach to social Anton Hemerick insurance Discussants: Tjerk Kroes, Paul de 12.30 Lunch Beer 13.30 Policy Session I: Political economy 13.00 Lunch of the welfare state Chairman: Peter Lieshout 14.00 Session III: Individualization and Kees Goudswaard skill formation (continued) Discussant: Tony Atkinson Chairman: Theo Nijman Wouter Bos Lecture 4 Discussant: Assar Lindbeck James Heckman, Bas Jacobs: Policies to foster human capital in Aart Jan de Geus Europe Discussant: James Heckman Discussants: George Gelauff, Coen Teulings 15.30 Coffee break

15.00 Coffee break 16.00 Policy Session II: Panel discussion on the future of the welfare state Tito Boeri, Tony Atkinson, Torben Andersen, Peter Sørensen, James Heckman, Gösta Esping-Andersen and Assar Lindbeck

17.00 Closing and drinks 66 Programs Netspar Pension Days

April 21, 2005 May 12, 2005

09.00 Registration and coffee 09.15 Registration and coffee 14.00 Parallel session 1 (room EZ-4): Henriëtte Prast (Tilburg Univer- 09.30 Welcome by Theo Nijman Room EZ-4: sity, De Nederlandsche Bank and 09.45 Theo Nijman (Tilburg University Netspar): Risk-return preferences 09.45 Keith Ambachtsheer (KPA Advisory and Netspar): The nFTK and the in the pension domain: are people Services and Rotman School of management of market risk for able to choose? Management, University of Toron- pension funds and insurers Discussant: Fred van Raaij (Net- to): The Dutch Pension Model: Will spar and Tilburg University) it Sink or Swim? 11.00 Break Hans Schumacher (Tilburg Uni- 10.45 Break 11.30 Parallel session 1 (room EZ-4): versity and Netspar): Valuation at Peter Schotman (Netspar and Market Value 11.15 Jan Kuné (Netspar, ABP and Uni- Maastricht University): Long Term Discussant: Peter Schotman versity of Amsterdam): The basics Investments with Persistent Risk (Maastricht University and Netspar) of Pension Finance Factors Discussant: Clemens Kool (Utrecht 14.00 Parallel session 2 (room EZ-9): 11.45 Antoon Pelsser (Netspar, ING and University and Netspar) Jan Potters (Tilburg University and Erasmus University): Challenges for Netspar): Measuring the Degree of risk management of insurers Anja de Waegenaere (Netspar and Solidarity in Pension Systems and Tilburg University): Measurement Social Insurance 12.45 Lunch break and Management of Longevity Discussant: Thijs Knaap (Utrecht Risk University and Netspar) 14.00 Lans Bovenberg (Netspar and Discussant: Eduard Ponds (ABP Tilburg University): The economics and Netspar) Peter Kooreman (University of of pensions; an introduction Groningen and Netspar): Default 11.30 Parallel session 2 (room EZ-9): and Labeling Effects in Savings 15.30 Break Arthur van Soest (Tilburg Universi- and Consumption Decisions; a ty and Netspar): Expectations and Field Experiment 16.00 Sweder van Wijnbergen (Netspar realizations of retirement beneﬁ ts Discussant: Klaas de Vos (Tilburg and University of Amsterdam): Discussant: Matthijs Kalmijn (Til- University and Netspar) Pension Reforms in Emerging burg University and Netspar) Markets 15.30 Break Ben Heijdra (Netspar and Univer- 17.30 Drinks and buffet sity of Groningen): Non-traded 16.00 Room EZ-4: Goods, Aging, and Pensions in Frank de Jong (University of Am- Open Economies sterdam and Netspar): Investing Discussant: Harrie Verbon (Tilburg for the long run: the role of return University and Netspar) predictability

13.00 Lunch 17.30 Drinks and buffet 67

June 23, 2005 Sept. 9, 2005

09.15 Registration and coffee 14.00 Parallel session 1: 09.00 Registration and coffee Marno Verbeek (Erasmus University 09.30 Arthur van Soest (Tilburg University and Netspar): Hedge Funds: Flows, 09.50 Opening, Onno Steenbeek (ABP and and Netspar): The Microeconomics Performance and Smart Money Erasmus University Rotterdam) of the retirement decision Discussant: Hans Schumacher (Tilburg University and Netspar) 10.00 Macro-economic effects of the FTK (New 10.30 Annamaria Lusardi (Dartmouth Supervisory Rules), Casper van Ewijk College, Preparing for Retirement): Fred van Raaij (Tilburg Univer- (Central Pllaning Bureau, University of Planning and the Effectiveness of sity and Netspar): Consumer Goal Amsterdam and Netspar) Financial Education Planning, Precommitment and Pensions 10.30 Macro conditions for regulation of pen- 11.00 Break Discussant: Maarten van Rooij (De sion funds, Dirk Schoenmaker (Ministry Nederlandsche Bank and Netspar) of Finance, VU Amsterdam) and Bruno 11.30 Parallel session 1: de Haas (Ministry of Finance) Peter Vlaar (De Nederlandsche 14.00 Parallel session 2: Bank and Netspar): Palmnet and Harry Huizinga (Tilburg University 11.00 Break the New Supervisory Rules (nFTK) and Netspar): Domestic and in- Discussant: Feike Drost (Tilburg ternational fi nance: how do they 11.15 Insecurity on value stability: indexation University and Netspar) affect consumption smoothing? policy of pensionfunds, Jaap Bikker Discussant: Willem Heeringa (De (DNB) and Peter Vlaar (DNB and Netspar) Bas Werker (Tilburg University and Nederlandsche Bank and Netspar) Netspar): Hedging Infl ation Risk 11.45 Policy alternatives and the FTK: the ABP Discussant: Joost Driessen (Uni- Roel Beetsma (University of Am- case, Olaf Sleijpen (ABP), Roy Hoeve- versity of Amsterdam and Netspar) sterdam and Netspar): Monetary naars (ABP and Maastricht University) Policy and Pension Systems in the and Onno Steenbeek 11.30 Parallel session 2: EMU Enrico Perotti (University of Am- Discussant: Peter Broer (Central 12.15 Lunch (Carousel) sterdam and Netspar): The Political Planning Bureau and Netspar) Economy of Pension Reform 13.30 Opening afternoon program, Lans Boven- Discussant: Coen Teulings (Univer- 15.30 Break berg (Netspar and Tilburg University) sity of Amsterdam and Netspar) 16.00 Coen Teulings (Netspar and Uni- 13.45 Economic scenario’s in the FTK world, Harry Verbon (Tilburg University versity of Amsterdam): Asymetric Gerlof de Vrij (ABP) and Frans Kuijt and Netspar): The International and non-verifi ability based prin- (PGGM) Spillover effects of Aging and cipal agent models Pension Systems 14.15 European infl ation and the issuing Discussant: Sweder van Wijnber- 16.30 Casper van Ewijk (Netspar and of index-linked loans, Ivo Arnold gen (University of Amsterdam and Central Planning Bureau): Inter- (Nyenrode Business University) Netspar) generational risk sharing in Dutch DB pensions 14.45 Break 13.00 Lunch 17.30 Drinks and buffet 15.00 Panel discussion, chaired by Fieke van der Lecq (ESB en EUR)

(Note: In this building break-out Panel members: rooms are available where you can Lans Bovenberg (Netspar and Tilburg work, have computer access etc.) University), Klaas Knot (DNB Dutch Central Bank), Tjerk Kroes (Ministry of Social Affairs), Casper de Vries (Erasmus University Rotterdam), Sweder van Wijnbergen (University of Amsterdam and Netspar)

16.15 Drinks (Faculty Club) 68 programs netspar pension days

October 6, 2005

Welfare Effects of Intergenerational 14.45 Casper van Ewijk: What we don’t Solidarity know about intergenerational risk sharing Location: Tilburg University Discussants: Guus Boender, Coen Teulings and Frank de Jong 09.00 Coffee 15.30 Break 09.25 Introduction Where do we stand 09.30 Jan Tamerus (PGGM): Generational welfare versus fairness in PGGM’s 16.00 Where do we stand pension deal Chairman: Lans Bovenberg Discussant: Theo Nijman (Tilburg Members panel discussion: Cees University and Netspar) Dert (ABN AMRO), Eduard Ponds (ABP, Netspar), Sweder van Wijn- 10.15 Otto van Hemert (University of bergen (UVA, Netspar) Amsterdam): Optimal intergenerational risk sharing 17.00 Drinks and buffet Discussant: Peter Broer (Central Planning Bureau and Netspar)

11.00 Break

Four views on intergenerational solidarity

11.30 Guus Boender (Ortec): Solidarity Issues Discussants: Coen Teulings (University of Amsterdam and Netspar), Frank de Jong (Tilburg University) and Casper van Ewijk (Central Planning Bureau)

12.15 Coen Teulings (University of Am- sterdam and Netspar): Generatio- nal accounts and differences in optimal allocation rules per cohort Discussants: Frank de Jong, Casper van Ewijk and Guus Boender (Ortec)

13.00 Lunch

14.00 Frank de Jong: The value of intergenerational transfers within funded pension schemes Discussants: Casper van Ewijk, Guus Boender and Frank de Jong 69

November 3, 2005

09.00 Coffee Parallel session 1(room EZ-7):

Room EZ-9: 13.30 Piet Eichholtz (University of 09.45 Joachim Inkmann (Tilbury Univer- Maastricht and Netspar): The sity and Netspar): Compensating infl ation protection from home Wage Differentials for Defi ned ownership: a long run prospective Benefi t and Defi ned Contribution Discussant: Marno Verbeek, Occupational Pension Scheme Erasmus University and Netspar Benefi ts Discussant: Bertrand Melenberg 14.15 Eduard Ponds (ABP and Netspar): (Tilburg University and Netspar) Generational fairness and sustainability of funded defi ned benefi t 10.30 Break Plans Discussant: Peter Vlaar (De Neder- Parallel session 1 (room EZ-7): landsche Bank and Netspar)

11.00 Sylvester Eijfﬁ nger (Tilburg Parallel session 2 (room EZ-9): University and Netspar): The European Central Bank and 13.30 Klaas de Vos (Tilburg University Financial Supervision and Netspar): Retirement in the Discussant: Roel Beetsma (Univer- Netherlands in international per- sity of Amsterdam and Netspar) spective Discussant: Ruud de Mooij (Central 11.45 Lex Meijdam (Tilburg University Planning Bureau and Netspar) and Netspar): Growing old and staying young: Population policy 14.15 Thijs Knaap (Utrecht University in an aging economy and Netspar): Feedback in the Discussant: Peter Broer (Central Netherlands: aging, general equi- Planning Bureau and Netspar) librium effects and paying down the debt Parallel session 2 (room EZ-9): Discussant: Harrie Verbon (Tilburg University and Netspar) 11.00 Bertrand Melenberg (Tilburg University and Netspar): Portfolio 15.00 Break Choice and Equilibrium Pricing under Heterogeneity Room EZ-9: Discussant: Peter Schotman (Uni- 15.30 Sybille Grob (DNB): Labour market versity of Maastricht and Netspar) participation of aging workers Discussant: Arthur van Soest 11.45 Joost Driessen (University of (Tilburg University and Netspar) Amsterdam and Netspar): Liquidity Risk Premia in Corporate Bond 16.15 Frederic Vermeulen (Tilburg Markets University and Netspar): ‘Labour Discussant: Hans Schumacher force participation of the elderly in (Tilburg University and Netspar) Europe’ Discussant: Rob Alessie (Utrecht 12.30 Lunch University and Netspar)

17.00 Drinks and buffet 70 programs netspar pension days

November 24, 2005

09.15 Coffee Parallel session 1 (room EZ-5):

09.40 Room EZ-5: 13.30 Peter Broer (CPB and Netspar): Opening by Theo Nijman Macroeconomic risk in general equilibrium and pension policy Parallel session 1 (room EZ-5): Discussuant: Bas Jacobs (Tilburg University and Netspar) 09.45 Roy Hoevenaars (ABP and Maas- tricht University): Strategic Asset 14.15 Frans de Roon (Tilburg University Allocation with Liabilities: Beyond and Netspar): Consumption Risk Stocks and Bonds and Expected Futures Returns Discussant: Joachim Inkmann Discussant: Bertrand Melenberg (Tilburg University and Netspar) (Tilburg University and Netspar)

10.30 Robert Rusconi (SEI Investments): Parallel session 2 (room EZ-6): The South African Old Age System in the Process of Reform 13.30 Aat Liefbroer (NIDI and Netspar): Discussant: Sweder van Wijnber- The organisation of the life course gen (University of Amsterdam and in Europe: Content and back- Netspar) ground of a questionnaire module for the European Social Survey Parallel session 2 (room EZ-6): Discussant: Rob Alessie (Utrecht University and Netspar) 09.45 Wim van Oorschot (Tilburg Univer- sity): Deservingness perceptions 14.15 Kène Henkens (NIDI and Netspar): and conditionality of solidarity The process of retirement: A dyna- among citizens of European wel- mic and multiactor perspective fare states 15.00 Break 10.30 Matthijs Kalmijn (Tilburg Universi- ty and Netspar): Intergenerational Room EZ-5: solidarity: The Netherlands Kinship 15.30 Norma Coe (Tilburg University Panel Study and Netspar): Long-term care insurance in the US 11.15 Break Discussant: Maarten Lindeboom (VU Amsterdam and Netspar) Room EZ-5: 11.45 Onno Ruding (Centre for European 16.15 Bernard Casey (City University Policy Studies): Aging requires ac- London): How will we provide and tion: longer work and more saving pay for long-term care? Discussant: Eddy van Doorslaer 12.30 Lunch (Erasmus University)

17.00 Drinks and buffet

December 15, 2005

09.10 Coffee 13.00 Lunch

09.25 Opening door Theo Nijman 14.00 Parallel session 1:

09.30 Rob Alessie (Utrecht University and Peter Vlaar (DNB and Netspar): The Netspar): Wealth portfolios of Dutch impact of regulation on optimal households: a cohort analysis pension fund policy Discussant: Frederic Vermeulen Discussant: Bas Werker (Tilburg (Tilburg University and Netspar) University and Netspar)

10.15 Frank de Jong (University of Am- Norbert Hari (Tilburg University): sterdam and Netspar): Valuation Longevity Risk in Pension Annuities of pension liabilities in incomplete Discussant: Dirk Broeders (DNB) markets 14.00 Parallel session 2: 11.00 Break Maarten van Rooij (DNB and 11.30 Parallel session 1: Netspar): Financial Literacy and Retirement Planning: Evidence Bas van de Groezen (Utrecht from the Netherlands University and Netspar): Interna- Discussant: Theo Nijman (Tilburg tional Capital Mobility: Remedy or University and Netspar) Palliative for the Aging Problem? Discussant: Thijs Knaap, Utrecht Leon Bettendorf (Erasmus Univer- University and Netspar sity): Aging and the relative price of nontradeables Eline van de Heijden (Tilburg Discussant: Ben Heijdra (University University and Netspar): Socioeco- of Groningen and Netspar) nomic background variables and the extent of myopic loss aversion 15.30 Break

11.30 Parallel session 2: 15.45 Maarten Lindeboom (VU Amster- dam and Netspar): The effect of Lieven Baele (Tilburg University intensiﬁ ed screening on inﬂ ow in and Netspar): Structural versus the Disability program Temporary Factors in Country and Discussant: Norma Coe (Tilburg Industry Risk University and Netspar) Discussant: Joost Driessen (UVA and Netspar) 16.30 Katie Carman (Tilburg Univer- sity and Netspar): The Impact of Dirk Broeders (DNB): Valuation Divorce and Widohood on Health of Conditional Pension Liabilities Discussant: Eddy van Doorslaer and Guarantees under Sponsor (Erasmus University) Vulnerability Discussant: Eduard Ponds (ABP 17.15 Drinks and buffet and Netspar) 72 programs netspar pension days

February 16, 2006

10.00 Coffee Parallel session Macro: 16.00 Parallel session Macro: Ruud de Mooij (CPB and Netspar): Parallel session Macro 13.30 Bas van Groezen (Utrecht University Reinventing the welfare state and Netspar): Growing old and Discussant: Sylvester Eijfﬁ nger 10.30 Peter Broer (CPB and Netspar): staying young: population policy (Tilburg University and Netspar) Risk in General Equilibrium and in an aging closed economy Pension Policy Discussant: Harrie Verbon (Tilburg Parallel session Meso: Discussant: Paul de Hek (Central University and Netspar) Marc Goovaerts, Rob Kaas Planning Bureau and Netspar) (University of Amsterdam and 14.30 Willem Heeringa (DNB and Netspar): Comonotic approximati- 11.30 Ben Heijdra (University of Netspar): Optimal pension ons for optimal portfolio selection Groningen and Netspar): A life funding: a portfolio approach problems cycle overlapping-generations Discussant: Anja de Waegenaere model of the small open economy Parallel session Meso: (Tilburg University and Netspar)

Parallel session Meso: 13.30 Piet Eichholtz (University of Parallel session Micro: Maastricht and Netspar): Long Run Gerard van den Berg (VU Amster- 10.30 Marno Verbeek (Erasmus University Economic Effects on the Housing dam and Netspar): Inequality in and Netspar): A portrait of hedge Market, Amsterdam 1550-1998 individual mortality and economic fund investors: ﬂ ows, performance Discussant: Fabio Braggion conditions earlier in life and smart money (Tilburg University) Discussant: Arie Kapteyn (Tilburg Discussant: Bas Werker (Tilburg University and Netspar) University and Netspar) 14.30 Hans Schumacher (Tilburg University and Netspar): Time 17.00 Drinks & dinner buffet 11.30 Andre Lucas (VU Amsterdam and consistency conditions for Netspar): Dynamic Asset Allocation acceptability measures, with an using Decision Rules and Simula- application to tail value at risk tion/Optimization: a Caveat Discussant: Dirk Broeders (DNB) Discussant: Peter Vlaar (DNB and Netspar) Parallel session Micro:

Parallel session Micro: 13.30 Jan Nelissen (Tilburg University and Netspar): The impact of 10.30 Arthur van Soest (Tilburg University various policy measures on and Netspar): Vignettes and self- employment in the Netherlands reports of work disability in the US Discussant: Frederic Vermeulen and the Netherlands (Tilburg University and Netspar) Discussant: Maarten Lindeboom (University of Amsterdam and 14.30 Maarten Lindeboom (VU Amster- Netspar) dam and Netspar): Income, health and work across the life cycle 11.30 Matthijs Kalmijn (Tilburg University Discussant: Kene Henkens (Nidi and Netspar): Intergenerational and Netspar) solidarity / Life course effects Discussant: Katie Carman (Tilburg 15.30 Break University and Netspar)

12.30 Lunch

March 9, 2006

10.00 Coffee Parallel session Parallel session

Parallel session 13.30 Eduard Ponds (ABP and Netspar): 15.30 Ronald Mahieu (Erasmus Univer- Generational accounting applied sity): An analysis of the adequacy 10.30 Kees Koedijk (Erasmus University to pension funds of pension fund investment port- and Netspar): Sustainable deve- Discussant: Coen Teulings folios lopment: a new role for institutio- (University of Amsterdam and nal investors Netspar) 16.00 Bertrand Melenberg (Tilburg University and Netspar): Ambigu- 11.30 Harry Huizinga (Tilburg University 14.30 Stefan Hochguertel (VU Amster- ity, no arbitrage, coherence and and Netspar): Domestic and in- dam): Self-employment and artifi cial fi nancial markets ternational fi nance: how do they retirement Discussant: Ronald Mahieu affect consumption smoothing? (Erasmus University) Discussant: Peter Broer (CPB and Parallel session Netspar) Parallel session 13.30 Joost Driessen (University of Parallel session Amsterdam and Netspar): 15.30 Christiaan Monden (Tilburg Explaining the level of credit University and Netspar): Health 10.30 Peter Schotman (University of spreads: option-implied jump risk and inequality from a household Maastricht and Netspar): Long premia in a fi rm value model and life course perspective memory and the term structure Discussant: Bertrand Melenberg Discussant: Katie Carman (Tilburg of risk (Tilburg University and Netspar) University and Netspar) Discussant: Ralph Koijen (Tilburg University) 14.30 Theo Nijman (Tilburg University 16.30 Jan Rouwendal (VU Amsterdam): and Netspar): Finance pillar review Financial Risks of Elderly Owner- 11.30 Frank de Jong (Tilburg University & plans occupiers and Netspar): Research overview 2005/2006 Parallel session 17.00 Drinks & dinner buffet

Parallel session 13.30 Hans Bloemen (VU Amsterdam and Netspar):The impact of wealth on 10.30 Enrico Perotti (University van job exit rates of elderly workers in Amsterdam and Netspar): Political the Netherlands Origins of Pension Funding Discussant: Arthur van Soest Discussant: Sylvester Eijfﬁ nger (Tilburg University and Netspar) (Tilburg University and Netspar) 14.30 Arie Kapteyn (Tilburg University 11.30 Lex Meijdam, Harrie Verbon and Netspar): Micro pillar review (Tilburg University and Netspar): & plans Beggar Thy Thrifty Neighbour: The International Spillover Effects of 15.00 Break Pensions and Aging Discussant: Lans Bovenberg (Til- Parallel session burg University and Netspar) 15.30 Bas Jacobs (Tilburg University and 12.30 Lunch Netspar): Title to be announced

16.30 Lans Bovenberg (Tilburg University and Netspar): Macro pillar review & plans

74 Programs Netspar Pension Workshops

June 7, 2005 June 8, 2005

Venue: Amsterdamse Poort, Venue: ING House, Amstelveense- PR Centrum, Bijlmerplein 888, weg 500, Amsterdam Amsterdam 08.30 Reception 09.30 Registration and coffee 09.00 Olivia Mitchell (The Wharton 10.15 Welcome by Theo Nijman School, University of Pennsylva- nia): Sensible Retirement System 10.30 Olivia Mitchell (The Wharton Payout Design and Practice School, University of Pennsyl- vania):Pension and Retirement 10.30 Coffee break Saving Accumulation 11.00 Axel Börsch-Supan (MEA, Uni- 12.00 Lunch break versity of Mannheim): Political Economy of PAYG Systems and their 13.00 Axel Börsch-Supan (MEA, Univer- Reforms sity of Mannheim): PAYG pensions: Nature and Problems 12.30 Lunch

14.30 Olivia Mitchell (The Wharton 13.30 Coffee, reception new guests for School, University of Pennsylva- policy oriented part nia): Perspectives on Pension Plan Investments 13.45 Welcome by Jan Nijssen (ING)

16.00 Tea break 14.00 Olivia Mitchell (The Wharton School, University of Pennsylva- 16.30 Axel Börsch-Supan (MEA, Universi- nia): Lessons for Industry from the ty of Mannheim): Micro-effects of US 401(k) Plan Experience PAYG systems 14.45 Axel Börsch-Supan (MEA, Univer- 18.00 Drinks sity of Mannheim): Macro-effects of Pension Reform 19.00 Dinner at ING Amsterdamse Poort 15.30 Tea break

16.00 Wouter Bos (Parliament): Aging and the Future of our Welfare State

17.30 Drinks 75

January 18, 2006 January 19, 2006

Venue: Venue: Venue: Chateau St. Gerlach, Joseph Corneli Chateau St. Gerlach, Joseph Corneli Faculty of Economics and Business Allee 1, 6301 KK Valkenburg Allee 1, 6301 KK Valkenburg Administration, Maastricht Univer- sity, Tongersestraat 53, 6211 LM Speakers: Speakers: Maastricht. Richard Blundell (University Richard Blundell (University College London), Jeffrey Brown College London), Jeffrey Brown Speakers: (University of Illinois, Urbana- (University of Illinois, Urbana- Gerrit Zalm (Minister of Finance, Champaign) Champaign) The Netherlands), Richard Blun- dell (University College 09:00 Registration and coffee (Touring cars will depart from London), Jeffrey Brown (University the city center of Maastricht at of Illinois, Urbana-Champaign) 09:30 Welcome by Peter Schotman 07:30 hrs) 14:00 Jeffrey Brown: The U.S. Social 09:40 Jeffrey Brown: Pension plan 08:30 Jeffrey Brown: Does public Security reform debate: politics design and portfolio decisions insurance crowd-out private and policy insurance? The case of end-of-life 11:10 Break medical expenditures 14:45 Richard Blundell: Extending Wor- king Live 11:30 Richard Blundell: Modeling Pen- 10:00 Coffee break sion Incentives and the Pattern of 15:30 Coffee break Retirement 10:30 Richard Blundell: Retirement Savings and Savings Incentives 16:00 Keynote Address on The Dutch 13:00 Lunch break Pension System: the state of af- 12:00 Lunch fairs and dilemmas by Gerrit Zalm 14:00 Jeffrey Brown: Insuring longevity (Minister of Finance/Vice Minister risk in public and private Pensions (Touring cars will be available at President, The Netherlands) 13:30 hrs. to bring you to Maas- followed by discussion. 15:30 Break tricht University) 18:00 Drinks 16:00 Richard Blundell: The Balance Between Defi ned Benefi t, Defi ned Contribution, and State Provision

(Touring cars will be available at 17:30 hrs. to bring you to the city center of Maastricht)

19:00 Dinner at Hotel-Restaurant Mabi 76

Colophon

Netspar Annual Report 2005 April 2005-2006

Production Netspar

Editing Etc. Editorial Services, Breda Kavanagh B.R.I., Nijmegen Clemens van Diek, Netspar Margreet Punt, Netspar

Design Herald Boer, Beelenkamp Ontwerpers, Tilburg

Photography Life Cycle Series Anouk Paulissen, Breda

Portraits Dolph Cantrijn, Tilburg

Events and thumbs pages 20-21, 26-27, 32-33 and 52-55 Ben Bergmans, Tilburg Ton Toemen Photography, Tilburg Erik van der Burgt, Verbeeld!, Tilburg

Printing Drukkerij Lecturis, Eindhoven

Binding Boekbinderij Patist, Den Dolder

April, 2006

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