Preface 7. State of Affairs 11. Education 22. Sharing Knowledge 28. Appendices 33. Colophon 64

Transcription

1 Annual Report 2008

2 Annual Report 2008

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4 Contents Preface 7 State of Affairs 11 Internationalization and Research 16 Education 22 Sharing Knowledge 28 Appendices 33 Colophon 64

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

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8 Preface This annual report for the period April 2008 until March 2009 surveys the many activities that Netspar now four years old has developed during this year. The global financial crisis has created a long list of new questions and issues that must be addressed both in academic research and in the current policy debate. Netspar interacts with its partners to find answers to all of these new challenges by shifting the frontier of knowledge, by providing education and, last but not least, through various forms of knowledge exchange with the pension and insurance industry. More events have been organized that focus on the interaction with professionals in the sector. Moreover, the number of papers written by Netspar researchers that directly address current policy issues has increased significantly, and working group meetings have successfully been introduced that assure a degree of confidentiality when discussing sensitive issues. 7 In 2008, Netspar and Holland Financial Centre (HFC) jointly developed the innovation program Retirement Management, which outlines the many excellent opportunities to benefit from innovation and further improvements in the interaction between knowledge centers and the pension and insurance industry. Needless to say, Netspar s Advisory Board strongly supports this initiative and hopes that it can be implemented in the very near future. I gladly accepted the invitation to chair Netspar s Advisory Board as of September 1, Netspar is an inspiring initiative that has a lot to offer to all its partners, both in academia and in the private and public sector! Jan Willem Oosterwijk Erasmus University Rotterdam Chairman of Netspar s Advisory Board

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

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11 Based on the evaluations of Netspar s Scientific Council and the recommendations of its council of private partners, new research themes have been selected for the period These new research themes in part help Netspar to take up the challenge of the evaluation committee to enrich its research program with insights from other disciplines, such as psychology. 10 Supporting Consumer Pension Decision-Making Online Theme coordinator: Benedict Dellaert (EUR) In recent years, the range of available pension- and related income-provision products has expanded significantly. This trend is likely to continue in the future. Consumers are potentially better off, given the rich product menu but are they really willing and capable to act on this potential welfare gain? How can individuals be classified in terms of their willingness to consider pension decisions? How can they best be assisted in formulating their future needs when retiring? This theme s focus is on the role of online systems and interactive decision aids in answering these questions. Netspar Research New Themes for The Economics and Psychology of Lifecycle Decision-Making Theme coordinators: Peter Kooreman and Jan Potters (both UvT) Lifecycle decisions especially with regard to pensions and insurance are increasingly left to individuals. This second Netspar theme aims to expand our empirical knowledge about lifecycle decision-making. In order to make better models, predictions and recommendations, we need a better understanding of people s preferences, probability and risk perceptions, and decision strategies. This theme s researchers use experiments from both economics and the social sciences to improve our knowledge of lifecycle decision-making. The Influence of Market Imperfections on Recovery Strategies for Pension Funds Theme coordinator: Laura Spierdijk (RUG) The academic literature largely ignores market imperfections in large institutional trades. The recent financial crisis has made it crystal clear how important liquidity issues and the absence of trading opportunities can be. Likewise, the crisis has demonstrated how shocks may easily spread out from one market to another and from the local to the global level. The research question in this third theme is concerned with what asset and liability strategies are optimal for pension funds, in the presence of market imperfections and systemic risks.

12 State of Affairs Netspar s Research Opportunities The year 2008 was the year of the credit crisis. Pension systems were also seriously hit by the turmoil in the financial markets. Buffers of pension funds and insurance companies have been eroded by steep falls in stock prices as well as by declining long-term interest rates. The most important task for pension funds and insurance companies is to simply survive. The next challenge will be to prepare for the long-term consequences of the credit crisis. Many issues need to be studied: the implications for risk management, for example, and which funded systems worldwide have best weathered the current perfect storm. We need to find out which changes in pension contracts are needed, now that buffers have eroded, and to explore how the financial-market shocks have affected retirement behavior and the labor market for older workers. We must also find out the consequences for the behavior of investors and savers, as well as the implications of how their behavior affects financial markets, in general, and the rewards for risk-taking, in particular. Can institutional investors act as a stabilizing factor in turbulent financial markets, and how can they get involved in the reform of financial systems? We need to answer one question in particular: can institutional investors remain reliable long-term shareholders who provide risktaking capital to financial institutions, given the fact that many governments are eager to sell their substantial stakes in their newly acquired banks and insurance companies? 11 The Dutch soccer legend Johan Cruyff believed in the saying that every dark cloud has a silver lining. This also applies to the current difficult times experienced by pension systems. Such a crisis reveals flaws in policies and pension practices that need correcting. The turmoil also provides a rich source of new data, which can clarify how financial markets operate and how this process can be improved. The key challenge is to learn from the dramatic events of 2008, so that the pension and insurance sector emerges better prepared for the challenges of our risky world.

13 12 State of Affairs Netspar is ready to help in this crucial learning process. An evaluation committee comprised of representatives of Netspar s partners and the Netherlands Organization for Scientific Research (NWO) as well as Netspar s Scientific Council evaluated Netspar in The outcome was positive, and came with two main recommendations. The first is to broaden Netspar s research activities from the Netherlands to Europe and beyond, while exchanging pension knowledge across borders. The second major recommendation is to intensify contacts with Netspar s private partners. Netspar has put a lot of effort into meeting these challenges, as described in the chapters Internationalization and Research and Sharing Knowledge. Governance Frank van der Duyn Schouten, former Rector Magnificus of Tilburg University, has been appointed in the new position of general director of Netspar. As of April 1, 2009, he will govern the institute, together with scientific director Theo Nijman. Van der Duyn Schouten will focus on governing and management tasks, as well as external affairs. As such, he will enable the scientific directors Theo Nijman and Lans Bovenberg, in particular, to increase their contribution to the substance of Netspar and to the widening of its scientific base. Netspar s Advisory Board has appointed Jan Willem Oosterwijk as its chairman (as of September 1). Oosterwijk took over from Joep Schouten, the former chairman of pensions provider Cordares, who retired in The new chairman of the Advisory Board is also chairman of the executive board of the Erasmus University in Rotterdam. He was a member of the Commissie Bakker, which advised the Dutch government on labor market participation. Erik van Houwelingen of Aegon was chairman in the transition period in the first half of The development of Netspar over the period will be monitored on behalf of the government sponsors by a committee installed at NWO. A committee of six members has been appointed for this task.

14 Living Longer in Good Health: Prospects, Strategies and Consequences 13 Scope Whereas the rise in life expectancy is one of the great successes of public health, it also poses significant challenges by threatening the sustainability of the pension system and inducing increased demand for social services, including healthcare. This Netspar theme aims to contribute to health policy strategies that will ultimately alleviate the consequences of aging for society, and to bring together a range of disciplines, such as public health, epidemiology, demography, healthcare policy and management, economics and econometrics. The theme uses the unique results of epidemiological studies, linked registration data of Statistics Netherlands (CBS) and mathematical modeling of population health in order to link various components of the entire survey. Main Research Findings The occurrence of disability is associated more with the proximity to death rather than with age, suggesting that rising life expectancy will be accompanied by an age increase at the onset of disability. Obesity is likely to cause an individual to spend a larger part of life in disability, while smoking reduces life expectancy. Disability is the main factor for long-term care for the elderly, while age and health status have no discernable impact on use of these services. Thus, aging in and of itself does not lead to increased expenditures for long-term health care. However, forecasting these expenditures depends heavily on whether there will be a compression of disability. Single elderly persons are more likely to use long-term care services. Following the individualization of society, this is a cause of concern. Longevity risk depends strongly on the design of the pension arrangements. Pensioners with a combination of old-age pension rights as well as partner pension rights have a lower longevity risk than retirees with only an old-age pension. This applies even if the insured has the option to exchange partner pension rights for old-age rights at retirement date. In order to better estimate the cost-effectiveness of prevention, future research should include indirect medical costs for extra life years in the new standard for economic evaluations of healthcare interventions. Theme Mackenbach

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16 The Acrobat Life has been generous to her: she gathered all the plates she can keep up in the air. Sometimes her juggle is a struggle; combining a job with a buzzing family life can be exhausting. Yet she feels rewarded. She shares household tasks with her partner although usually she shares just a little bit more than he does. She doesn t mind. Her part-time job seems to be a welcome distraction from the household that she runs. Her occasionally tired look can suddenly turn into a smile when she says: These are the best years of my life.

17 16 Internationalization and Research National and International Research Fellows Following the internationalization of the research activities, more than 120 researchers at universities and academic institutions in the Netherlands and abroad are now fellows of Netspar s research network. They write research papers and participate in Netspar s events and its education program. Fellows can apply for research funding for new and original work. Several of the research fellows from non-dutch institutions have begun contributing to the Netspar discussion papers in 2008, and have also participated in the bi-annual workshops. Workshops were organized in The Hague (June 2008, in cooperation with Statistics Netherlands (CBS)) and in Amsterdam (January 2009). The second workshop in 2009 will be held abroad (Stockholm). Netspar aims at exporting and importing knowledge on aging and pensions through EU research funding. It participated with other European research institutes in defining the European research agenda on pensions, aging and health. Workshops in Turin, Lausanne and Dublin prepared for the final conference in The Hague in This meeting, in combination with the associated papers, must help European funding agencies in prioritizing research subsidies. Netspar research fellows also participated in several conferences organized by non-dutch institutes abroad. Following a successful event in Italy (about Italian and Dutch pension problems) in 2007 co-organized by pensions provider Cordares and the Dutch embassy Netspar co-sponsored a conference on life cycle saving and investment at Boston University. Reeling from the financial crisis and confronted by many individuals facing inadequate pension coverage, policymakers in the US are looking at the Dutch pension system for inspiration. Low-cost and employer-provided pension plans for saving, investment and annuitization have attracted

18 increased interest in the US. These ideas may fit well within the priorities of the new Obama administration. The Importance of Data: SHARE and COMPARE Netspar continued its participation in the Survey of Health, Ageing and Retirement in Europe (SHARE), aimed at collecting internationally comparable data. It also supported the \acquisition of specific data including register data on pension entitlements and access facilities. SHARE is a multi-disciplinary and cross-national panel database on health, socioeconomic status and social and family networks of more than 30,000 individuals aged 50 or over. Since 2004, fourteen European countries have contributed data to the project. Netspar researcher Arthur van Soest was Dutch country team leader until October 2008, when he was succeeded by future Netspar director Frank van der Duyn Schouten. Affiliated with SHARE is the EU-funded project COMPARE, which is coordinated by Van Soest. COMPARE focuses on improving the comparability of subjective measures of economic and non-economic dimensions of well being across countries. Interesting results thus far include the findings that Dutch and Swedish citizens are the happiest among the countries considered, and that the healthcare systems across Europe show huge differences, with Poland and Italy scoring particularly poorly. At present, SHARE s third wave of data collection is focusing at detailed retrospective life histories in fifteen countries, including the Netherlands. Register Data on Health and Socioeconomic Status Netspar continues its cooperation with CBS on remote access to existing register data. Several researchers are already extensively using such facilities at the universities of Rotterdam, Tilburg, and Utrecht, as well as at the Free University (VU A) in Amsterdam. For example, researchers have been looking into the relation between household finances and mortality risk, while others are combining register data to analyze the relation between healthcare utilization and socioeconomic status. Data from several sources are being used to study disability, mortality and life expectancy among the elderly. Experimental Data and Data on Stated Preferences Netspar is subsidizing several projects on data collection by the Dutch CentER panel and its US counterpart, the RAND American Life Panel. Survey data on preventative healthcare in both countries have been collected, while a project is now underway that measures risk and time preferences in the Netherlands for the optimal design of third-pillar pension products. In addition, data in both countries on households considerations for long-term saving decisions have been collected, as well as data on preferences for gradual retirement, focusing on which scenarios for gradual retirement are attractive to workers. Data on the Dutch public s expectations regarding future old-age benefits and pensions are being collected on a monthly basis. Research Highlights In 2008, one of Netspar s PhD students was extremely successful. The thesis of Ralph Koijen qualified for the Tilburg University s prize for best dissertation of His work, Essays on Asset Pricing, also scored well on a national level. The Royal Netherlands Economic Association (KVS) voted Koijen s thesis as the best. After completing his PhD thesis in Tilburg at CentER and Netspar, Koijen obtained offers from virtually all of the top schools in the US, and finally accepted a position as assistant professor at the University of Chicago. 17

19 Valuation and Risk Management for Insurance Companies and Pension Funds Scope This theme focuses on the common ground between financial risks and classic actuarial risks. The main applications are risk management and asset-liability management by pension funds and insurance companies. The emphasis is on internal risk management, external supervision and regulation. Main Research Findings The researchers found that higher returns of larger and more experienced private equity funds are caused mainly by higher risk exposures, rather than abnormal performance. Venture capital funds showed a high market beta, while beta for buy-out firms appeared to be low. The political tensions between generations that are caused by ambiguity regarding the ownership of a pension fund s assets can be solved through the introduction of generational accounts. Theories of consumption and portfolio choice show that the younger generations should be most exposed to equity due to their (relatively) risk-less human capital. A framework has been developed for optimal investment decisions for insurance companies with risks that cannot be hedged. Use of stochastic control theory made it possible to derive the optimal policy for investment and dividends. Theme Pelsser A study of option-pricing anomalies revealed that jump risk and volatility risk are the main drivers behind the phenomenon of guarantees being substantially more expensive than most standard models suggest. Jump risk and volatility risk appear to be priced risk factors in the option markets. A pricing framework for life insurance liabilities using utility indifference has been developed. The resulting pricing rule is linked to the best estimate, plus a market value margin rule-ofthumb. Another project has analyzed how to choose regulatory intervention levels, in order to control the probability of a shortfall at an insurance company. It also looked into the interaction between the regulatory rule and the company s risk management. Analytical approximations have been derived for embedded options, such as profit-sharing features in combination with guarantees, for life insurance products. In practice, these options are usually valued through time-consuming Monte Carlo simulations.

20 Macroeconomic Aspects of the Three-Pillar System Scope The research theme focuses on macroeconomic aspects of the Dutch state pension AOW (first pillar), the supplementary mandatory and collective pensions (second pillar) and the additional voluntary private savings (third pillar). Specifically, what weight should be given to each of the pillars, what should be the optimal pension contract in each pillar and what should the government s role be in shaping the system? Main Research Findings Research on the gains from optimal risk-sharing between generations has shown that the optimal pension scheme may add up to 19% of lifetime consumption on account of intergenerational risk-sharing. It may be possible to set up a pension plan that combines intergenerational risk-sharing with zero-discontinuity risk (of young generations opting out) if there is enough difference between returns on pension savings and on private savings. The optimal pension scheme the one that would be chosen by a hypothetical social planner cannot be reproduced nationally in case of an imbalance of labor supply. Welfare gains from risk-sharing are more important than welfare losses following labor market distortions. In addition, pension funds may also have a welfare-increasing impact, because they act as a commitment device for workers. In most pension funds, early retirement provision acts as a trap, because it induces most workers to retire well before the official retirement age. In order to have an effect on retirement behavior, pension reform must be drastic as simulations have made clear. A study on the international dimensions of pension reform has shown that benefits and costs that ensue as a result of a change from a pay-as-you-go set-up to a more capitalfunded pension system are usually shared by neighboring countries. Theme Van Ewijk

21 The Dream Catcher He built his first boat together with his father. The bug got him. After he had finished his study, he did a serious attempt to work as the ICT-specialist that his curriculum supposed him to be. But the bug kept itching. Two years ago he threw caution to the wind and followed his dream: building sailing boats. It s a fulltime job now. Every dime he makes goes back into the business and so far, he hasn t even had time to think about his pension. He is sure about one thing, though: he will build his last boat together with his son.

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23 22 Education Netspar has initiated the Master of Science in Economics and Finance of Aging (MSc EFA) at Tilburg University (UvT). This program focuses on training talented students who just have finished their bachelor degree, in order to become the new human capital of the sector. The MSc EFA started in September In 2007 (2008), eleven (twelve) students started this MSc program. Netspar has intensified its marketing efforts to persuade more students to study this highly rated master. Students in the MSc EFA are in general very satisfied with the program, which they regard as interesting and challenging. They value in particular the close link between the program, Netspar and the sector. It enables them to participate in many activities, such as the Netspar Workshop, guest lectures and company visits. Courses on pensions and aging have also been added to other MSc programs. For example, Netspar sponsored three courses in the MSc Quantitative Finance and Actuarial Science at the UvT. These courses are meant to introduce students to the challenges in pensions and insurance, and to raise their interest in a career in the sector. The internships at Netspar partner institutions are also a greatly appreciated part of Netspar s educational activities. Students from both the MSc EFA and other programs base their MSc thesis on an internship with a partner institution, while a Netspar researcher and a professional from the partner are supervising these projects. These internships result in theses linking theory to practice, whereby students are able to gain valuable work experience. On the other hand, partner institutions can meet young talent. Assisted by the partner institutions, Netspar was able to offer many internship projects to students in the MSc EFA and in other relevant master programs. This resulted in sixteen thesis projects. Most of the MSc EFA graduates easily found a job often at the company where they had conducted their internship. A new element was the Junior Pension Day, held in June, which gave the students the opportunity to present their problem statements, research plans and preliminary results to an audience of Netspar

24 researchers, company supervisors and fellow students. The initiative generated a great deal of useful discussion and feedback for further improvement of the students theses. The Netspar - UMBS Academy offers high - level postgraduate courses for professionals, managers and policymakers of pension funds, banks, insurance companies, the public sector and supervisory boards. Due to the level of the courses and their international and interactive nature, the Netspar- UMBS Academy is probably unique in the world. Each course addresses a specific theme about pensions and insurance. Professional organizations, like the Royal Dutch Institute of Register Accountants (NIVRA), the Actuarial Institute and the Association of Financial Professionals (VBA) grant Continuing Professional Education credits to participants in the modules of the Academy. The Netspar-UMBS Academy held two three-day modules between April 2008 and March As part of the first module on responsible investing experts from Maastricht University/ECCE and the Elfenwork Center for the Study of Fiduciary Capitalism in California discussed several cases, and looked into the effect of environmental, social and governance (ESG) factors on the returns and risks of investment portfolios. The second module addressed aging and pensions in Europe, and was organized in collaboration with the Netspar research theme The Macroeconomics of Pension Reform. The module, which was coordinated by CPB Netherlands Bureau for Economic Policy Analysis, included presentations by representatives of CPB, the European Commission and the National Institute of Economic and Social Research in the United Kingdom. The participants evaluated the modules with a grade of 8 out of 10, on average. Nevertheless, we would like to see an increase of the number of participants, particularly from non-partner institutions. Representatives of the sector have indicated that it might be better to limit the modules to twoday events, to be held in central locations in the Netherlands. Netspar Thesis Awards In 2008, Netspar again presented 3,000 awards for the best BSc, MSc and MPhil thesis on topics related to Netspar s research program, in order to encourage a wider interest among students in pensions and aging-related subjects. The Netspar Editorial Board selected the prizewinners from all participating universities. The prize for best BSc thesis was awarded to Sjoerd Timmermans of UvT for his thesis on Intergenerational risk-sharing. The best MSc thesis The added value of age differentiation in pension deals was written by Bart Custers of UvT. Marloes Lammers, of Amsterdam s Free University (VU A), was awarded for the best MPhil thesis: The effects of savings on reservation wages and search effort. 23

25 The Traffic Police Woman This is the rush hour of the generations. She was already looking forward to an easier life, now that her children were growing older. But adolescents seem to need even more attention than small children as she found out. And to be honest, she d never expected her mom and dad to become more or less dependent on her. Sometimes, she feels squeezed in between her parents, her offspring and a million things to take care of. Amazingly, she has managed to arrange a week s holiday with her husband just the two of them.

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27 Microeconomic Aspects of Pensions and Social Security Benefits Scope Occupational pensions, third-pillar products and social security benefits are aimed at guaranteeing sufficient income and financial security for the elderly. This theme focuses on how the financial security provided by governments, pension funds and insurance companies serves the population. Main Research Findings Implicit taxes on working longer and generous schemes for pensions and/or early retirement stimulate workers to take early retirement. At present, gradual retirement in western countries is rather low, because of institutional restrictions, macroeconomic circumstances and exit routes, such as early retirement. A study on financial literacy found that households grasp of basic economic concepts (such as inflation, interest rates and interest rate compounding) is modest although it does exceed their knowledge about stocks, bonds and financial markets. Research on trends in income and wealth has shown that the well being of the female partner benefits elderly couples. However, a woman s well being is proportionally more affected by her partner s death, than the other way around. The mortality risk of individuals on the lowest 10% of the income scale seems to be twice as high as the risk to earners in the top 10% of the income distribution. Wealthy people tend to be more pessimistic about the prospects of future old-age social security staying at the present level, while less wealthy individuals actually expect a rise of the age at which they are entitled to benefit at the current level. Theme Alessi & Van Soest

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

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

30 pension system. The Dutch social partners of employers and employees are both the architects and important stakeholders of the second pillar of the Dutch pension system. Netspar therefore aims to intensify contacts with the social partners. Regular meetings were also held with the lobbying organizations of Dutch pension funds, which include representatives of the social partners, as well as the Dutch Association of Insurers. New Partners On April 1, Twente University became a partner of Netspar. The institute is the eighth Dutch university joining the national research network on aging and pensions. Since Twente has a great deal of expertise on hedging investment risks, the new partner allows Netspar to extend its study of risk management. Twente s researchers also add knowledge on assessing liabilities of pension funds and insurers. is assisting pension-related institutions and businesses in the Netherlands in achieving a leading position in the emerging international market for retirement management. The second target is to stimulate innovations on pensions and insurance in the Netherlands, in order to address the challenge of an aging population. The innovation program promises to further strengthen the innovation chain in retirement management. The Dutch government will decide in the spring of 2009 on funding for the program. 29 Cardano, an independent service provider on investment and risk management, joined Netspar in November With Netspar heading towards a European network and Cardano s recent move into the broader European market, their joint forces will strengthen the international synergy between academia and risk management. Innovation Program on Retirement Management In April 2008, Netspar and Holland Financial Centre (HFC) submitted a proposal to the government containing their vision for an innovation program on retirement management. Following the recommendation of the so-called strategic advice committee, Netspar and HFC developed an innovation program for the period The innovation program Retirement Management is aimed at developing the Netherlands as Europe s international center for retirement management. One of the objectives

31 The Cross-Channel Swimmer Cutting hair is just like swimming: you never lose your skills. So why should he retire at the age of sixty-five? Have his scissors gone blunt? Did the hair of his customers stop growing? Is he no longer interested in the local news that they bring to his shop? The barber is over eighty now. He may have grown old, but he hasn t grown tired yet. He might be getting slower over the years. But as long as he cuts the hair of his customers faster than it grows, he won t lay down his scissors.

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

34 Appendices Netspar Organization Income and Expenses Published and Forthcoming Papers Publications Discussion Papers NEA Papers Panel Papers Theses Netspar Events 33 List of Abbreviations

35 Netspar Organization 34 Advisory Board Partner Council Executive members Marco Keim, AEGON Jan Willem Oosterwijk, EUR (Chairman) Dick Sluimers APG Job Swank, DNB Tom Wansbeek, RUG Non-executive members: to be appointed by Netspar s partners. Scientific Council David Blake, City University London Richard Blundell, University College London Zvi Bodie, Boston University Tito Boeri, University of Turin Paul Embrechts, ETH-Zentrum (Zürich) Christian Gollier, University of Toulouse Olivia Mitchell, University of Pennsylvania Luis M. Viceira, Harvard University David Wise, Harvard University Scientific Directors Lans Bovenberg, UvT Lex Meijdam, UvT Theo Nijman, UvT (Chairman) Arthur van Soest, UvT Scientific Advisors Arie Kapteyn, RAND Corporation Coen Teulings, CPB (until January 1, 2009) Fellows Dick de Beus, formerly PGGM Jean Frijns, VU A and formerly APG Jan Nijssen, formerly ING Jan Overmeer, formerly AEGON Bert de Vries, former Dutch Minister of Social Affairs Jan Marc Berk, DNB David Knibbe, ING/NN Maarten Camps, SZW Carel Hooghiemstra, ABN AMRO Niels Kortleve, PGGM Arie Perfors, AEGON Joos Nijtmans, Interpolis Robert Olieman, SVB Stan Steeghs, Mn Services Hens Steehouwer, Ortec Finance Tom Steenkamp, APG Willem van der Vorm, ASR Verzekeringen Guus Wouters, Achmea Adri van der Wurff, Cordares Bart Oldenkamp, Cardano Editorial Board Henk Don, EUR (Chairman) Bernhard ter Haar, MinFin Jan Koeman, SZW Niels Kortleve, PGGM Fieke van der Lecq, EUR Albert Mentink, AEGON Joost Nijtmans, Achmea Alwin Oerlemans, Cordares Jan Potters, UvT Peter Schotman, UM Hein Stam, Mn Services Hens Steehouwer, Ortec Finance Marno Verbeek, EUR Peter Wijn, APG Sounding Board Netspar-UMBS Academy Else Bos, PGGM Gordon Clark, Oxford University Sven Hougaard Jensen, Copenhagen Business School Klaas Knot, DNB Theo Langejan, MinFin

36 Advisory Board 35 Board of Scientific Directors Scientific Advisors Scientific Council Partner Council Fellows Editorial Board Sounding Board Netspar-UMBS Academy Program Coordinators Theme Coordinators MSc Program Director Netspar-UMBS Academy Director Managing Director Faculty Staff

37 Netspar Organization 36 Maarten Lindeboom, VU A Jan Overmeer, Netspar Fellow (Chairman) Antoon Pelsser, UvA Peter Schotman, UM Research Coordinators Ben Heijdra, RUG Frank de Jong, UvA and UvT Theme Coordinators Maarten Lindeboom, VU A, and Eddy van Doorslaer, EUR Peter Schotman, UM Antoon Pelsser, UvA Rob Alessie, UU, and Arthur van Soest, UvT Johan Mackenbach, EUR Casper van Ewijk, UvA and CPB MSc Program Director Bertrand Melenberg, UvT Netspar-UMBS Academy Director Rob Bauer, UM Director Partner Contacts Frans de Roon, UvT Managing Director Mylène Zwaans Support Staff Wilma Banyal-Paffen Nicole van Deijck-Rijnen Sylvia van Drogenbroek Sylvia Geurdes-Hanhart Corine Goossens Jolien Gregorowicz Fred Hoogeland Marie-Louise Kemperman Mandy van Trier Daniëlle van de Velde Gaby Versmissen Vincent van der Vlugt Research Fellows Yvonne Adema, EUR and CPB Rob Alessie, RUG Ron Anderson, London School of Economics Orazio Attanasio, University College London Lieven Baele, UvT James Banks, University College London Nicholas Barr, London School of Economics Rob Bauer, UM Roel Beetsma, UvA Gerard van den Berg, VU A Johannes Binswanger, UvT Han Bleichrodt, EUR Hans Bloemen, VU A Richard Blundell, University College London Zvi Bodie, Boston University Tito Boeri, University of Bocconi Axel Börsch-Supan, University of Mannheim Peter Boswijk, UvA Pieter Bouwknegt, NN and UvA Lans Bovenberg, UvT Peter Broer, CPB Werner Brouwer, EUR Jeffrey Brown, University of Illinois Allesandro Bucciol, UvA Monika Bütler, Universität St Gallen Katherine Carman, UvT An Chen, UvA and Universität Bonn Joao Cocco, London Business School Norma Coe, UvT Helmut Cremer, Université Toulouse 1 Sciences Sociales Magnus Dahlquist, Stockholm Institute for Financial Research Eddy van Doorslaer, EUR Nick Draper, CPB Joost Driessen, UvA Piet Eichholtz, UM Frank van Erp, CPB Rob Euwals, CPB Casper van Ewijk, CPB and UvA Job van Exel, EUR Hans Fehr, Universität Würzberg Damir Filipovic, Vienna Institute of Finance Hans-Martin von Gaudecker, VU A Christian Gollier, Université Toulouse 1 Sciences Sociales Marc Goovaerts, UvA Michael Haliassos, Goethe Universität Frankfurt Willem Heeringa, DNB Ben Heijdra, RUG Stefan Hochguertel, VU A Arvid Hoffmann, UM Albert Hofman, EUR Courtney van Houtven, Duke University Michael Hurd, RAND Joachim Inkmann, UvT Bas Jacobs, EUR and CPB Maarten Janssen, EUR Tullio Jappelli, University of Salerno Frank de Jong, UvT Alain Jousten, Université de Liège Rob Kaas, UvA Matthijs Kalmijn, UvT Adriaan Kalwij, UU Arie Kapteyn, RAND Christian Keuschnigg, Universität St Gallen Bas van der Klaauw, VU A Tobias Klein, UvT Thijs Knaap, CPB and UU Ralph Koijen, University of Chicago Marc Koopmanschap, EUR Peter Kooreman, UvT Niels Kortleve, PGGM

38 Laurance Kotlikoff, Boston University Dirk Krueger, University of Pennsylvania Fred van Raaij, UvT Joshua Rauh, University of Chicago Esen Erdogan-Ciftci, EUR Igor Fedotenkov, UvT 37 Felix Kubler, University of Pennsylvania Susann Rohwedder, RAND Rik Frehen, UM Anton Kunst, EUR Ward Romp, UvA Jinqiang Guo, UvT Roger Laeven, UvT Frans de Roon, UvT Alexander van Haastrecht, UvA and Delta Lloyd Maarten Lindeboom, VU A Jan Rouwendal, VU A David Hollanders, UvT and UvA Paula Lopes, London School of Economics Martin Salm, UvT Patrick Hullegie, UvT Angel López Nicolas, Universidad Politécnica de John Karl Scholz, Brookings Institution Michiel Janssen, UvA and Eureko / Achmea Cartagena Peter Schotman, UM Agnes Joseph, UvA Hamish Low, University of Cambridge Hans Schumacher, UvT Tunga Kantarci, UvT Nils-Petter Lundborg, VU A Paul Sengmuller, UvT Fabian Kinderman, Universität Würzberg Annamaria Lusardi, Dartmouth College Eytan Sheshinski, Hebrew University of Jerusalem Hans van Kippersluis, EUR Frank Lutgens, Value Analytics BV and UM Jonathan Skinner, Dartmouth College Bart Klijs, EUR Johan Mackenbach, EUR Arthur van Soest, UvT Marike Knoef, UvT Ronald Mahieu, EUR Peter Sorensen, University of Copenhagen Marloes Lammers, VU A Tessa Marreiros Bago d Uva, EUR Frederica Teppa, EUR Julia Le Blanc, Goethe Universität Frankfurt Giovanni Mastrobuoni, University of Turin Coen Teulings, UvA and CPB Istvan Matyas Majer, EUR Mauro Mastrogiacomo, CPB Henning Tiemeier, EUR Roel Mehlkopf, UvT Lex Meijdam, UvT Ian Tonks, University of Exeter Claudine de Meijer, EUR Bertrand Melenberg, UvT Marc Turlings, Eureko Jochen Mierau, RUG Alex Michaelides, London School of Economics Harald Uhlig, University of Chicago Chiara Monticone, University of Turin Pierre Carl Michaud, RAND Marno Verbeek, EUR Kathrin Nies, UM Moshe Milevsky, York University Frederic Vermeulen, UvT Kim Peijnenburg, UvT Christiaan Monden, UvT Luis Viceira, Harvard University Richard Plat, UvA and Eureko / Achmea Guus van Montfort, EUR Peter Vlaar, APG David Rappange, EUR Giovanna Nicodano, University of Turin Jannes de Vries, EUR Maarten van Rooij, DNB Theo Nijman, UvT Anja de Waegenaere, UvT Lisanne Sanders, UvT Wilma Nusselder, EUR Bas Werker, UvT Guillaume Schollier, UvT Owen O Donnell, EUR Ed Westerhout, CPB Zhen Shi, UvT Michael Orszag, Watson Wyatt Sweder van Wijnbergen, UvA Salvatore Stefannelli, UvT Tom van Ourti, EUR Giacomo Pasini, UU Junior Research Fellows Ralph Stevens, UvT Nathanaël Vellekoop, UvT Antoon Pelsser, UvA Ciro Avitabile, University of Naples David Vonka, UvT Enrico Perotti, UvA Jonneke Bolhaar, VU A Hanna Vonkova, UvT Pierre Pestieau, University of Liège Jan Bonenkamp, CPB Siert-Jan Vos, UvA Suzanne Polinder, EUR Jing Cao, UvA and Cardano Stefan Walter, EUR Eduard Ponds, APG and UvT Jiajia Cui, University of Twente and ABP Oliver Weidemuller, EUR Jan Potters, UvT Renxiang Dai, UvT Karen van der Wiel, UvT Henriëtte Prast, UvT Bart Diris, UM Jie Zeng, UvT

39 Income and 38 Expenses

40 Budget Total (including contributions in kind) All amounts in thousands of Euro s * ** Total actual actual actual actual actual forecast budget budget Income Tilburg University , ,057 Other Universities ,717 5,944 NWO Spinoza ,500 GAK Institute Foundation ,500 Government Funding 0 1,970 1,940 1,000 3,300 3,000 3, ,910 Private Partners 300 1,250 1,300 1,450 1,650 1,675 1, ,325 Public Institutions ,049 Other ,593 Total income 566 5,185 5,821 5,978 7,930 7,566 7,173 3,659 43,878 Expenses Themes ,468 2,943 2,892 2,887 6,416 18,462 Scientific directors & coordinators ,914 Senior faculty 102 1,266 1, ,084 Junior faculty ,138 PhD & MPhil students ,149 Education ,612 International visitors & grants Data NEA & Panel papers Conferences & Workshops ,443 Operation Costs & Miscellaneous ,158 1,629 1, ,658 Unforeseen Reservation Personnel Fund Total expenses 354 2,739 3,869 6,270 6,810 7,997 6,993 8,848 43,878 * Year-end audit of financial statements of the UvT is to be conducted. ** Including provisions for commitments in subsequent years.

41 Published and Forthcoming Papers Publications 40 Bago d Uva, Teresa, Andrew Jones and Eddy van Doorslaer Netspar researchers published 89 papers last Measurement of horizontal inequity in health year; moreover, 33 additional papers have been care utilisation using European panel data. accepted and are forthcoming in international Forthcoming in Journal of Health Economics journals. Bago d Uva, Teresa, Owen O Donnell and Adda, Jérome, James Banks and Eddy van Doorslaer Hans-Martin von Gaudecker Health reporting by educational level and its The impact of income shocks on health: Evidence impact on the measurement of health from cohort data. Forthcoming in Journal of the inequalities in Europe. International Journal of European Economic Association Epidemiology, 37(6), , Dec Adema, Yvonne and Harrie Verbon Banks, James, Arie Kapteyn, James Smith and Pension reform in Europe. FIRST Quarterly, Apr. Arthur van Soest 2008 Work disability is a pain in the ****, especially in England, the Netherlands, and the United States. Adema, Yvonne, Lex Meijdam and Harrie Verbon In D. Cutler and D.A. Wise (eds), Health in Older Beggar thy thrifty neighbor: The international Ages: The Causes and Consequences of Declining spillover effects of pensions under population Disability Among the Elderly, University of Chicago ageing. Journal of Population Economics, 21(4), press, , Feb , Oct Bauer, Rob and Harry Hummels Adema, Yvonne, Lex Meijdam and Harrie Verbon Pensioenfondsen en verantwoord beleggen: The international spillover effects of pension Rendement en risico?. Tijdschrift voor Pensioenvraagstukken, 2, 28-32, Apr reform. Forthcoming in International Tax and Public Finance Bauer, Rob and Luc Kicken Baele, Lieven and Koen Inghelbrecht The pension fund advantage: Are Canadians overpaying their mutual funds? International Journal Time-varying integration and international diversification strategies. Forthcoming in Journal of Pension Management, 1(1), 64-71, Oct of Empirical Finance Bauer, Rob, Bart Frijns, Roger Otten and Bago d Uva, Teresa and Andrew Jones Alireza Tourani Rad Health care utilisation in Europe: New evidence The impact of corporate governance on corporate from the ECHP. Forthcoming in Journal of Health performance: Evidence from Japan. Pacific Basin Economics Finance Journal, 16(3), , June 2008

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

43 Published and Forthcoming Papers 42 Bovenberg, Lans Welkom in de eeuw van de vrouw. Christen Democratische Verkenningen, , Herfst 2008 Bovenberg, Lans New social risks, the life course, and social policy. In R. Holzmann, L. MacKellar and J. Repansek (eds.), Pension Reform in Southeastern Europe, Linking to Labor and Financial Market Reforms, The World Bank and Center of Excellence in Finance Bovenberg, Lans and Peter Birch Sørensen Optimal social insurance with linear income taxation. Forthcoming in Scandinavian Journal of Economics Bovenberg, Lans and Roel Beetsma Pensions, intergenerational risk sharing and inflation. Forthcoming in Economica Bovenberg, Lans and Harald Uhlig Pension systems and the allocation of macro- economic risk. In L. Reichlin and K.D. West (eds.), NBER International Seminar on Macroeconomics 2006, University of Chicago Press, 2008 Bovenberg, Lans and Jan Willem Oosterwijk Naar een toekomst die werkt. Economisch Statistische Berichten, 93(4538), , June 2008 Bovenberg, Lans and Raymond Gradus Duurzame langdurig zorg. Economisch Statistische Berichten, 93(4539), , July 2008 Bovenberg, Lans and Raymond Gradus Dutch policies towards ageing. European View, 7(2), , Dec 2008 Bovenberg, Lans and Thijs Knaap Ageing, funded pensions and the Dutch economy. In R. Fenge, G. de Menil and P. Pestieau, Pension Strategies in Europe and the United States, MIT Press, Cambridge, , Apr Bovenberg, Lans, Bas Jacobs and Ruud de Mooij Introduction: Reinventing the welfare state. International Tax and Public Finance, 15(1), 1-4, Feb Bovenberg, Lans, Martin Hansen and Peter Birch Sørensen Individual savings accounts for social insurance: Rationale and alternative designs. International Tax and Public Finance, 15(1), 67-86, Feb Bovenberg, Lans, Paul Besseling, Gerbert Romijn and Wouter Vermeulen De Nederlandse woningmarkt en overheidsbeleid: Over aanbodrestricties en vraagsubsidies. In F.J.H. Don (eds.), Agenda voor de Woningmarkt, Koninklijke Vereniging van de Staathuishoudkunde, Preadviezen 2008, Dec Bovenberg, Lans, Ton Wilthagen and Sonja Bekker Flexicurity: Lessons and proposals from the Netherlands. CESifo DICE Report, 9-14, Winter 2008 Broer, Peter Computable general equilibrium models in policy analysis: Future directions. In J.M. Alho, S.E. Hougaard Jensen and J. Lassila, Uncertain Demographics and Fiscal Sustainability, Cambridge University Press, , Mar Brounen, Dirk, Piet Eichholtz and Mathijs van Dijk Corporate real estate and corporate takeovers; European evidence. Journal of Real Estate Research, 30(3), , Sept Chen, An Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies. Mathematics and Economics, 42(3), , June 2008 Chen, An and Antje Mahayni Endowment assurance products effectiveness of risk-minimizing strategies under model risk. Asia-Pacific Journal of Risk and Insurance, 2(2), 47-74, Jan Cherchye, Laurens and Frederic Vermeulen Nonparametric analysis of household labor supply: Goodness-of-fit and power of the unitary and the collective model. Review of Economics and Statistics, 90(2), , May 2008 Cherchye, Laurens, Bram De Rock, Jeroen Sabbe and Frederic Vermeulen Nonparametric tests of collectively rational consumption behavior: An integer programming procedure. Journal of Econometrics, 147(2), , Dec Cremers, Martijn, Joost Driessen, Pascal Maenhout and David Weinbaum Does skin in the game matter? Director incentives and governance in the mutual fund industry. Forthcoming in Journal of Financial and Quantitative Analysis

44 Dai, Renxiang and Hans Schumacher Welfare analysis of conditional indexation Driessen, Joost, Martijn Cremers and Pascal Maenhout Goovaerts, Marc and Roger Laeven Actuarial risk measures for financial derivative 43 schemes from a two-reference-point perspective. Explaining the level of credit spreads: Option- pricing. Insurance: Mathematics and Economics, Forthcoming in Journal of Pension Economics and implied jump risk premia in a firm value model. 42(2), , Apr Finance Review of Financial Studies, 21, , Sept Groezen, Bas van and Lex Meijdam Doorslaer, Eddy van, Kimberlyn McGrail, Growing old and staying young: Population Claudia Sanmartin and Nancy Ross Eichholtz, Piet and Thies Lindenthal policy in an ageing closed economy. Journal of Why are income-related health inequalities in Behoeftes en belemmeringen in de woningbouw: Population Economics, , 21(3), July 2008 Canada lower than in the United States? Een lange termijn perspectief. Preadvies, Konin- A decomposition analysis. Forthcoming in klijke vereniging voor de Staathuishoudkunde: Heijdra, Ben and Walter Henry Fisher American Journal of Public Health Agenda voor de woningmarkt, Dec Keeping up with the ageing Joneses. Journal of Economic Dynamics and Control, 33(1), 53-64, Doorslaer, Eddy van, Dolores Jiménez-Rubio and Eichholtz, Piet and Thies Lindenthal Jan Peter Smith Krimp, vergrijzing en de vraag naar woningen. Equity in health and health care in a decentralized Beleid & Maatschappij, 35(4), Dec Heijdra, Ben and Ward Romp context: Evidence from Canada. Health Economics, A life-cycle overlapping-generations model of 17(3), , Mar Eichholtz, Piet and Nils Kok the small open economy. Oxford Economic How does the market for corporate control Papers, 60, , Jan Doorslaer, Eddy van, Gillian Hanley, function for property companies? Journal of Real Steve Morgan and Jeremiah Hurley Estate Finance and Economics, 36(2), , Heijdra, Ben and Ward Romp Distributional consequences of the transition Feb Human capital formation and macroeconomic from age-based to income-based prescription performance in an ageing small open economy. drug coverage in British Columbia, Canada. Eichholtz, Piet, Nils Kok and Roger Otten Forthcoming in Journal of Economic Dynamics Health Economics, 17(12), , Dec Executive compensation in U.K. property and Control companies. Journal of Real Estate Finance and Doorslaer, Eddy van, Philip Clarke, Economics, 36(4), , May 2008 Heijdra, Ben and Ward Romp Elizabeth Savage and Jane Hall Retirement, pensions, and ageing. Forthcoming Horizontal inequities in Australia s mixed public/ Eichholtz, Piet and Marcel Theebe in Journal of Public Economics private health care system. Health Policy, 86 (1), Housing market rents in the long run, Amsterdam, , Apr Forthcoming in Journal of Economic Hoevenaars, Roy, Roderick Molenaar, History Peter Schotman and Ton Steenkamp Dorn, Daniel, Paul Sengmüller and Strategic asset allocation with liabilities: Beyond Gur Huberman Frehen, Rik, Roy Hoevenaars, Franz Palm and stocks and bonds. Journal of Economic Dynamics Correlated trading and returns. Journal of Peter Schotman and Control, 32(9), , Sept Finance, 63(2), , Apr Regret aversion and annuity risk in defined contribution plans. Insurance: Mathematics and Economics, 42 (3), , June 2008

45 Published and Forthcoming Papers 44 Hoevenaars, Roy, Theo Kocken and Eduard Ponds Pricing risk in corporate pension plans: Understanding the real pension deal. Forthcoming in International Journal of Pension Management, 1(2), Spring 2009 Hoevenaars, Roy and Eduard Ponds Valuation of intergenerational transfers in funded collective pension schemes. Insurance Mathematics & Economics, 42(2), , Apr Hoevenaars, Roy, Laura Spierdijk, Jaap Bikker and Pieter Jelle van der Sluis Forecasting market impact costs and identifying expensive trades. Journal of Forecasting, 27(1), 21-39, Jan Hoffmann, Arvid, Henk von Eije and Wander Jager De beïnvloedbaarheid van beleggers. Maandblad voor Accountancy en Bedrijfseconomie, 62-71, Jan.-Feb Hoffmann, Arvid and Thijs Broekhuizen Susceptibility to and impact of interpersonal influence in an investment context. Forthcoming in Journal of the Academy of Marketing Science Houtven, Courtney van, Donald Taylor, Karen Steinhauser and James Tulsky Is a home-care network necessary to access the Medicare hospice benefit? Forthcoming in Journal of Palliative Medicine Houtven, Courtney van and Edward Norton Informal care and Medicare expenditures: Testing for heterogeneous treatment effects. Journal of Health Economics, 27(1), , Jan Jong, Frank de Pension fund investments and the valuation of liabilities under conditional indexation. Insurance: Mathematics and Economics, 42(1), 1-13, Feb Jong, Frank de Valuation of pension liabilities in incomplete markets. Journal of Pension Economics and Finance, 7(3), , Nov Jong, Frank de and Magnus Dahlquist Pseudo market timing: A reappraisal. Journal of Financial and Quantitative Analysis, 43(3), , Sept Kaas, Rob, Roger Laeven and Roger Nelsen Worst VaR scenarios with given marginals and measures of association. Forthcoming in Insurance: Mathematics & Economics Kalwij, Adriaan The impact of family policy expenditure on fertility in Western Europe. Forthcoming in Demography Kalwij, Adriaan and Frederic Vermeulen Health and labour force participation of older people in Europe: What do objective health indicators add to the analysis? Health Economics, 17(5), , May 2008 Kantarci, Tunga and Arthur van Soest Gradual retirement: Preferences and limitations. De Economist, 156(2), , June 2008 Kapteyn, Arie, James Smith and Arthur van Soest Dynamics of work disability and pain. Journal of Health Economics, 27(2), , Mar Kippersluis, Hans van, Eddy van Doorslaer and Tom van Ourti Inkomen alleen maakt niet gezond. Economisch Statistisch Berichten, 94 (4551), 20-23, Jan Koijen, Ralph, Juan Carlos Rodriguez and Alessandro Sbuelz Momentum and mean reversion in strategic asset allocation. Forthcoming in Management Science Koijen, Ralph, Otto van Hemert and Stijn van Nieuwerburgh Mortgage timing. Forthcoming in Journal of Financial Economics Kristensson, Jimmie, Ingalill Rahm Hallberg and Petter Lundborg Costs for formal and informal care in people 65+ two years prior to long-term municipal care. Forthcoming in Aging Clinical and Experimental Research Lindeboom, Maarten and Marcel Kerkhofs Health and work of the elderly. Forthcoming in Journal of Applied Econometrics Lindeboom, Maarten, Ana Llena Nozal and Bas van der Klauw Parental education and child health: Evidence from a schooling reform. Journal of Health and Economics, 28(1), , Jan López-Nicolás, Ángel and Marcos Vera-Hernandez Are tax subsidies for private medical insurance self-financing? Evidence from a microsimulation model. Journal of Health Economics, 27(5), , Sept. 2008

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

47 Published and Forthcoming Papers 46 Vanduffel, Steven, Xinliang Chen, Jan Dhaene, Marc Goovaerts, Luc Henrard and Rob Kaas Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221(1), , Nov Westerhout, Ed Vergrijzing en houdbare overheidsfinanciën: Vijf ongemakkelijke stellingen. TPE digitaal, 2(2), 1-21, June 2008 Wiel, Karen van der Lonen hoger door ontslagbescherming. Economische Statistische Berichten, 93(4535), , May 2008 Wiel, Karen van der Electoraat klaar voor 67 jaar. Economische Statistische Berichten, 94(4553), 77-78, Feb Discussion Papers Alessie, Rob, and Joppe de Ree Home production and the allocation of time and consumption over the life cycle, DP 07/ Armstrong, Alex, Nick Draper and Ed Westerhout The impact of demographic uncertainty on public finances in the Netherlands, DP 04/ Baquero, Guillermo, and Marno Verbeek, Do sophisticated investors believe in the law of small numbers? DP 01/ Bauer, Rob, Mathijs Cosemans, Rik Frehen and Peter Schotman A Bayesian panel data approach to explaining market beta dynamics, DP 03/ Beetsma, Roel, Lans Bovenberg and Ward Romp Funded pensions and intergenerational and international risk sharing in general equilibrium, DP 11/ Belloni, Michele, and Rob Alessie The importance of financial incentives on retirement choices: New evidence for Italy, DP 05/ Berg, Gerard van den, and Annette Bergemann From giving birth to paid labor: The effects of adult education for prime-aged mothers, DP 07/ Berg, Gerard van den, Gabriele Doblhammer- Reiter and Kaare Christensen Being born under adverse economic conditions leads to a higher cardiovascular mortality rate later in life Evidence based on individuals born at different stages of the business cycle, DP 06/ Bilias, Yannis, Dimitris Georgarakos and Michael Haliassos Portfolio inertia and stock market fluctuations, DP 07/ Binswanger, Johannes, and Daniel Schunk What is an adequate standard of living during retirement? DP 09/ ? Bolhaar, Jonneke, Maarten Lindeboom and Bas van der Klaauw A dynamic analysis of the demand for health insurance and health care, DP 09/ Bongaerts, Dion, Frank de Jong and Joost Driessen Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market, DP 02/ Bovenberg, Lans, and Bas Jacobs Optimal taxation of human capital and the earnings function, DP 02/ Bovenberg, Lans, and Bas Jacobs Human capital and optimal positive taxation of capital income, DP 12/ Bovenberg, Lans, and Coen Teulings Rhineland exit? DP 03/

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

49 Published and Forthcoming Papers 48 Hopfensitz, Astrid, and Tanja Wranik Psychological and environmental determinants of myopic loss aversion, DP 04/ Jaag, Christian, Christian Keuschnigg and Mirela Keuschnigg Pension reform, retirement and life-cycle unemployment, DP 06/ Kalwij, Adriaan The impact of family policy expenditure on fertility in Western Europe, DP 01/ Kapteyn, Arie, James Smith and Arthur van Soest Life satisfaction, DP 01/ Koijen, Ralph, and Jules van Binsbergen Predictive regressions: A present-value approach, DP 09/ Lundborg, Petter The health returns to schooling What can we learn from twins? DP 12/ Lusardi, Annamaria Financial literacy: An essential tool for informed consumer choice? DP 06/ Nicodano, Giovanna, Massimo Guidolin and Carolina Fugazza Time and risk diversification in real estate investments: Assessing the ex post economic value, DP 08/ Ourti, Tom Van, and Philip Clarke The bias of the Gini coefficient due to grouping: Revisiting first-order corrections, DP 10/ Pelsser, Antoon, An Chen and Carole Bernard On the cost of regulation under solvency II, DP 05/ Perotti, Enrico, and Armin Schwienbacher The political origin of pension funding, DP 10/ Plat, Richard Stochastic portfolio specific mortality and the quantification of mortality basis risk, DP 09/ Ponds, Eduard, Roy Hoevenaars and Roderick Molenaar Public investment funds and value-based generational accounting, DP 01/ Roon, Frans de, Jinqiang Guo and Jenke ter Horst Being locked up hurts, DP 08/ Roorda, Berend, and Hans Schumacher Time consistency of nonconvex risk measures, DP 01/ Wiel, Karen van der Preparing for policy changes: Social security expectations and pension scheme participation, DP 07/ Würth, Andreas, and Hans Schumacher CVaR pricing and hedging in Unit-Linked insurance products, DP 10/ Würth, Andreas, and Hans Schumacher Risk aversion for nonsmooth utility functions, DP 10/ Lusardi, Annamaria Household saving behavior: The role of financial literacy, information, and financial education programs, DP 02/ Martins, Pedro, Alvaro Novo and Pedro Portugal Increasing the legal retirement age: The impact on wages, worker flows and firm performance, DP 05/ Portrait, France, Rob Alessie and Dorly Deeg Do early life and contemporaneous macro-conditions explain health at older ages? An application to functional limitations of Dutch older individuals, DP 05/ Rooij, Maarten van, and Federica Teppa Choice or no choice: What explains the attractiveness of default options, DP 11/

50 NEA Papers Boender, Guus, Jitske van Londen and Sacha van Hoogdalem Panel Papers 49 Molenaar, Roderick, Roderick Munsters and Reëel pensioenmanagement, NEA 15 Kapteyn, Arie, and Tatiana Andreyeva Eduard Ponds Retirement patterns in Europe and the US, PP 6 Differentiatie naar jong en oud in collectieve Ewijk, Casper van, Pascal Janssen, Niels Kortleve pensioenen: Een verkenning, NEA 7 and Ed Westerhout Mackenbach, Johan, Wilma Nusselder, Optimale pensioenen en FTK, NEA 16 Suzanne Polinder, and Anton Kunst Nijman, Theo, and Alwin Oerlemans Compression of morbidity: A promising approach Maatwerk in Nederlandse pensioenproducten, to alleviate the societal consequences of popula- NEA 8 tion aging? PP 7 Spoor, Lou Jong, Frank de, Peter Schotman and Bas Werker Je huis of je leven? Eigen betalingen voor woon- Strategic asset allocation, PP 8 en welzijnsvoorzieningen voor ouderen en optimalisatie van de pensioenportfolio, NEA 9 Beetsma, Roel, and Heikki Oksanen Pension Systems, ageing and the stability and Bodie, Zvi, Henriëtte Prast and Jan Snippe growth pact (PP 9, revised version) Individuele pensioenoplossingen: Doel, vormgeving en een illustratie, NEA 10 Kalmijn, Matthijs, and Rob Alessie Life Course changes in income in the Netherlands, Teulings, Coen PP 10 Hoe kunnen we onze risico s efficient delen? Principes voor optimale sociale zekerheid en Pelsser, Antoon, and Peter Vlaar pensioenvoorziening, NEA 11 Market-consistent valuation and risk management for pension fund, PP 11 Molenkamp, Jan Bertus Fiduciair management: Panacee voor pensioen- Doorslaer, Eddy van, Hans van Kippersluis, fondsen?, NEA 12 Owen O Donnell and Tom Van Ourti Socioeconomic differences in the lifecycle evolu- Gortzak, Peter tion of health: Do the poor age more quickly? PP 12 Naar een solide en solidair stelsel, NEA 13 Verheij, Gerard Het Nederlandse pensioenstelsel: Weerbaar en wendbaar, NEA 14

51 Published and 50 Forthcoming Papers Theses Students enrolled in the master program Economics and Finance of Aging and in other educational programs offered by universities that participate in Netspar have written their thesis on topics related to the Netspar research program. These theses are often based on an internship with one of Netspar s partners. We present an overview of the theses. Theses MSc Economics and Finance of Aging Custers, Bart (internship at PGGM) The added value of age differentiation in pension deals Du, Caicai (internship at APG) Welfare loss for different age cohorts in Dutch DB pension funds Duman, Umit (internship at APG) The role of investment in the debt overhang hypothesis: A structural factor-augmented vector autoregressive approach Feng, Ke (internship at Ortec) Laros, Ruben (internship at Cordares) Pension awareness and the role of information: Forewarned is forearmed Leeijen, Mark (internship at Aegon) Pension ALM from a corporate view Mahieu, René (internship at SVB) The changing role of premiums in the Dutch first-pillar pension, AOW Nijland, Jeroen (internship at SVB) Legislation based on reality Salah, Lemer (internship at Cordares) Reverse mortgages Voets van Dam, Patricia (internship at PGGM) Quantifying longevity risk in Pensioenfonds Zorg en Welzijn Wang, Senmiao Testing the price limit in the Shanghai stock exchange Theses from affiliated economic programs Timmermans, Sjoerd (UvT) Intergenerational risk sharing Verboort, Gerda (UvT) Pension at risk MSc Theses Baeten, Steef (EUR) Country comparison of health inequalities Heijer, Gerben den (UvT) Evaluation of the performance of the Lee-Carter model in the Baltic states Hooghwerff, Steven (UvT) An individual-claim copula model for the volatility of non-life insurance loss reserves Kok, Renske (EUR) Health care system process utility compared; Using a hierarchical ordered probit regression analysis Oosthuizen, Jessica (UvT) A stochastic discount factor valuation approach to VAR models Qu, Lin (UvT) Pension risk analysis from a corporate perspective BSc Theses Local volatility model and its application to unitlinked insurance product pricing Haan, Jurre de (internship at Cordares) Bakker, Joost de (UvT) The price of a guarantee in a defined-contribution Evaluating decumulation strategies Smit, Maarten (UM) scheme A carefree pension life: A retirement without care Hamers, Bas (UvT) or without troubles Janssen, Johan (Internship at NZA) Modeling solidarities in partner pension From a PAYG-system to a partially funded system Stam, Peter (UvT) in the AWBZ: Are medical saving accounts an Krahé, Lukas (UvT) A market-consistent value of mortality profit- option for the Netherlands? How does retirement age differ in different pen- sharing contracts sion systems?

52 Vreeswijk, F.J.A. (UvT) Pooling pension funds in the European Union Wouterse, Bram (EUR) Solidarity in the Dutch healthcare system: A lifecycle approach Xiao, Jianbin (UvT) Commodity strategies and term spreads MPhil Theses Bissonnette, Luc (UvT) Empirical study on the effect of beliefs concerning the pension system on saving Cui, Jiajia (UvT) Essays on pension scheme design and risk management Hoevenaars, Roy (UM) Strategic asset allocation and asset liability management Koijen, Ralph (UvT) Essays on asset pricing Kok, Nils (UM) Corporate governance and sustainability in global property markets 51 Fedotenkov, Igor (UvT) The spillover effects of ageing and pension reform in the world with perfect labour and capital mobility Rooij, Maarten van (UU) Financial literacy, retirement provisions, and household portfolio behavior Geen, Alexandra van (UvT) Risk aversion and asset integration Lammers, Marloes (VU A) The effects of savings on reservation wages and search effort Wang, Yu (EUR) Unexpected inflation and the cross section of expected stock returns PhD Theses Adema, Yvonne (UvT) The international spillover effects of ageing and pensions

53 Netspar Events 52 Netspar (co-)organized 18 events between April 1, 2008 and April 1, 2009 on a wide variety of topics. Some events are primarily of an academic nature, while others focus on timely issues in the Dutch policy debate. papers are discussed twice a year (in the spring and the fall) during panel meetings. Discussants include representatives from the academic and non-academic partners of Netspar, as well as renowned international academics. The papers of this spring session are published in the panel papers series as PP 6, 7, 8 and 9. April 11, 2008 in Tilburg: Netspar ABP Seminar Economie van Collectieve Pensioenen This seminar on pension policy was organized prior to the inaugural lecture of Eduard Ponds. In his lecture, Ponds suggests integration of optimal lifecycle planning in collective pension agreements. Optietheorie en Waardering van de Claims van de Stakeholders Theo Kocken (Cardano) Discussant: Olaf Sleijpen (APG and UM) Optimale Verhouding tussen Toezicht en Pensioensector Klaas Knot (DNB and RUG) Discussant: Willem Boeschoten (Shell Asset Management Company) Pension Fund Governance / eigendomsrechten Jean Frijns (VU A and Netspar Fellow) Discussant: Arnoud Boot (UvA) Strategic Asset Allocation Peter Schotman (UM and Netspar), Frank de Jong and Bas Werker (UvT and Netspar). Discussants: Hens Steehouwer (ORTEC) Niels Kortleve (PGGM and Netspar) Jaap van Dam (PGGM). Retirement Patterns in Europe and the US Arie Kapteyn (RAND and Netspar) Discussants: Rob Euwals (CPB and Netspar) Adrie Moons (SZW) Pension Systems, Ageing and the Stability and Growth Pact Roel Beetsma (UvA and Netspar) and Heikki Oksanen (European Commission) Discussants: Ed Westerhout (CPB and Netspar) Clemens Kool (USE) Naar Meer Jong en Oud in Collectieve Pensioenen Inaugural lecture Eduard Ponds (APG, UvT and Netspar) April 23, 2008 in Tilburg: Netspar Panel Panel Papers outline the implications of new developments in the academic literature for policy questions faced by Netspar s partners. These Compression of Morbidity Johan Mackenbach (EUR and Netspar) Discussants: Hans-Martin von Gaudecker (VU A and Netspar) Tom Van Ourti (EUR and Netspar)

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

55 54 Netspar Events Are You Sure you re Saving Enough for Retirement? and Out-of-Pocket Medical Expenses and retirement security and Comparing the US and European health care systems Jonathan Skinner (Department of Economics, Dartmouth College) Parallel Sessions Micro Financial Literacy, Retirement Planning, and Household Wealth Maarten van Rooij (DNB and Netspar) Discussant: Peter Schotman (UM and Netspar) Financial literacy of consumers Fred van Raaij (UvT and Netspar) Discussant: Peter Kooreman (UvT and Netspar) Public pension programmes and the retirement of married couples in Denmark Paul Bingley (Danish National Centre for Social Research, Denmark) Variations in labor market participation of 50+ Dutch women and 65+ Dutch men, Christiaan Monden (UvT and Netspar) Discussant: Rob Euwals (CPB and Netspar) Poverty and the living arrangements of unmarried mothers: A dynamic perspective using tax data from the Netherlands Matthijs Kalmijn (UvT and Netspar) Discussant: Ed Westerhout (CPB and Netspar) Dealing with older workers in Europe: A comparative survey of employers attitudes and actions Kene Henkens (NIDI and Netspar) Discussant: Arthur Giesberts (CBS) Change and stability in intergenerational contact in six western countries Jannes de Vries (UvT and Netspar) Discussant: Rob Alessie (UU and Netspar) What is an adequate standard of living during retirement? Johannes Binswanger (UvT and Netspar) Discussant: Eduard Ponds (APG and Netspar) Parallel sessions Macro An analysis of individual accounts for the unemployment risk in the Netherlands Egbert Jongen (CPB and Netspar) Discussant: Joachim Inkmann (UvT and Netspar) Keeping up with the ageing Joneses Ben Heijdra (RUG and Netspar) Discussant: Roel Mehlkopf (UvT and Netspar) Tax-favored retirement accounts; are they efficient in increasing savings and growth? Hans Fehr (University of Wuerzburg, Germany) Discussant: Lex Meijdam (UvT and Netspar) Ageing, debt and inflation in a monetary union Yvonne Adema (UvT and Netspar) Discussant: Ward Romp (UvA and Netspar) Parallel sessions Health Health, health insurance and their effect on retirement behaviour Jonneke Bolhaar (VU A and Netspar) Discussant: David Vonka (UvT and Netspar) Discussant: Tobias Klein (UvT and Netspar) Mental accounting effects of income tax shifting Naomi Feldman (Ben-Gurion University of the Can subjective survival expectations explain Pension plans and pension outcomes. Who gets Negev, Israel) retirement behaviour? it right? Discussant: Federica Teppa (DNB and Netspar) Owen O Donnell (University of Macedonia and Mauro Mastrogiacomo (CPB, VU A and Netspar) Netspar) Discussant: Zvi Bodie (Boston University and An artefactual field experiment on risk taking, Discussant: Giacomo Pasini (UU and Netspar) Netspar) risk aggregation, and time preference Jan Potters (UvT and Netspar) Health, work and wealth effects for caring for Changes in the income distribution of the Dutch Discussant: Karen van der Wiel (UvT and Netspar) elderly parents elderly: Courtney van Houtven (UvT and Netspar) Marike Knoef (UvT, CentERdata and Netspar) Discussant: Tom Van Ourti (EUR and Netspar) Discussant: Hans-Martin von Gaudecker (VU A and Netspar)

56 The effects of health insurance and self-insurance on retirement behavior A Bayesian panel data approach to explaining market beta dynamics Jan van Rijckevorsel (Centrum voor Verzekeringsstatistiek) discussed with Fieke van der Lecq (EUR) 55 John Jones (University at Albany, State University Rik Frehen (UM and Netspar) Jan Maarten van Sonsbeek (SZW) discussed with of New York) Discussant: Ralph Stevens (UvT and Netspar) Arthur Giesberts (Speerpunt Vergrijzing) Discussant: Owen O Donnell (EUR and Netspar) The impact of individual investment behavior Arthur van Soest (UvT and Netspar) discussed with Health, financial incentives and retirement for retirement welfare: Evidence from the United Fieke van der Lecq (EUR) decisions in Spain States and Germany Esen Erdogan-Ciftci (EUR and Netspar) Thomas Post (Humboldt University of Berlin) Closing Discussant: Courtney van Houtven (UvT and Netspar) Discussant: Paul Sengmueller (UvT and Netspar) Heino van Essen (PGGM) and Bert Kroese (CBS) Institutions, health shocks and labour outcomes across Europe Pilar Garcia Gomez (University of Pompeu Fabra, Spain) Pension fund finance and sponsoring companies: Empirical evidence on theoretical hypotheses Sybille Grob (DNB and Netspar) Discussant: Ronald Mahieu (EUR and Netspar) September 25 and 26, 2008 in Naarden: The 4th International Longevity Risk and Capital Markets Solutions Conference Discussant: Arthur van Soest (UvT and Netspar) Flu shots, mammograms and the value of a statistical life June 27, 2008 in the Hague: Seminar CBS Netspar: Rekenen op pensioenen Netspar co-organized this international event with Pensions Institute, HFC and PensionSummit. During this two-day event, leading international industry and academic minds met and discussed Katherine Carman (UvT and Netspar) This seminar was co-organized with CBS and not only the assessment of longevity risk, but also Discussant: Eddy van Doorslaer (EUR and Netspar) focused on administrative data (e.g. from Dutch the type of instruments needed by pension funds Parallel sessions Finance pension funds and insurance companies) and their use for scientific and policy purposes. and insurance companies to hedge this risk. Plenary Session Annuitization and retirement timing decisions Welcome Zhen Shi (UvT and Netspar) Gosse van der Veen (CBS), George Moller (HFC, Longevity risk and capital markets solutions: An Discussant: Rik Frehen (UM and Netspar) Robeco), Michiel Vergeer (CBS) update David Blake (Pensions Institute) Performance persistence of Dutch pension plans Panel discussion Ronald Mahieu (EUR and Netspar) Longevity risk and regulation of pension funds Discussant: Jenke ter Horst (UvT) Chaired by Heino van Essen (PGGM) with Joanne Kellermann (DNB) Marjolein Quené (SVB), Peter Gortzak, (FNV), Early retirement and homeownership Harold Herbert (VvV) and Marleen Verbruggen (CBS) Epidemiological perspectives on life expectancy Jan Rouwendal (VU A and Netspar) Discussant: Frans de Roon (UvT and Netspar) Parallel sessions Anton Kunst (Netspar and Erasmus MC) Longevity: A Developing Asset Class Gilles Dellaert (Goldman Sachs Longevity Markets Francine Giskes (Stichting Pensioenregister i.o.) Group) discussed with Arthur Giesberts (Speerpunt Vergrijzing)

57 Netspar Events 56 Workshops The Effectiveness of Longevity Hedges and the Optimal Asset Allocation Incorporating Longevity Hedging Longevity Risk for DB Pension Bart Oldenkamp (Cardano) Overview UK Longevity Market: Size, Players, Structures and Pricing Marcos Flores (Credit Suisse) Securitization, Structuring and Pricing of Longevity Risk Michael Sherris (Australian School of Business) Life-Expectancy Risk and Pensions: Who Bears the Burden? Edward Whitehouse (OECD) Optimizing the Equity-Bond-Annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses Mark Warshawsky (Watson Wyatt Worldwide) The Three Big Risks Trade-off: Interest Rates, Inflation and Longevity Lessons Learnt by a Multi-manager Nicholas Verwilghen (EIM) On the Pricing of Longevity-Linked Securities Jochen Russ (LMU Munich) Xpect Data and Xpect Indices - Longevity Risk Evaluation and Risk Transfer Mario Michael Schultz (Deutsche Börse) Small-region mortality modeling Søren Fiig Jarner (ATP) Longevity Problems and Investment Solutions Ronald Wuijster (APG Investments) Attractiveness of Longevity Investments Risk in Defined Contribution Pension Plans Guy Coughlan (JP Morgan s Pension Solutions Hong-Chih Huang (National Chengchi University) Group) Modeling Longevity Risk: An Empirical Study Mortality Risk Modeling: Applications to Insurance Sharon Yang (National Central University) Securitization Hal Pedersen (University of Manitoba) Liabilty Allocation under Mortality Systematic Risk, Non-parallel Shift, and Parameter Longevity Hedge: The Next Generation in Liability Uncertainty Driven Investing Jennifer Wang (National Chengchi University) Laurens Swinkels (Robeco) Using Survivorship Bonds to Reduce an Economy s Backtesting Stochastic Mortality Models: Aggregate Value-at-Risk An Ex-Post Evaluation of Multi-Period-Ahead Paul Hance (AEGON) Density Forecasts Kevin Dowd (Nottingham University Business Long-Term Care: Risk Description of a Spanish School) Portfolio and Economic Analysis of the Timing of Insurance Purchase Modeling and Pricing Longevity Risk in the Dutch Jean Pinquet (Université de Paris X Nanterre) Insurance Market: Challenging Topics & Practical Solutions Securitizing and Tranching Longevity Exposures Erik Tornij (ING) Enrico Biffis (Imperial College) Longevity Risk in Annuity Portfolios: The Effect of A Bayesian Evaluation of Longevity Risk: Model Product Design and Portfolio Composition Comparison, Measuring and Pricing Anja De Waegenaere (UvT) Atsuyuki Kogure, Yoshiyuki Kurachi (Keio University) Pricing Survivor Swaps with Mortality Jumps and Default Risk Age-Period-Cohort Model and its Application to Min-Hung Tsay (National Central University) Taiwan Mortality Rates by Marriage Status Jack C. Yue (National Chengchi University) Longevity Risk Premium, Extreme Value Approach and Risk Cubic Pricing Panel discussion with voting on statements: Hua Chen (Temple University) Tom Boardman (Prudential plc) Henk van Broekhoven (ING) Evaluating the Advanced Life Deferred Annuity - David Blake (Pensions Institute) An Annuity People Might Actually Buy Theo Kocken (Cardano Group) Anthony Webb (Boston College) Lex Hoogduin (Robeco)

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

59 Netspar Events December 4, 2008 in Rotterdam: Theme Conference Living longer in good health 58 Can Solvency II improve risk management? How real people make long-term decisions: A practitioner s view The case of retirement preparation and health Pieter Bouwknegt (NationaleNederlanden) behavior Research findings on this theme of both Netspar research fellows and other researchers, national and international, were presented and discussed. Theme coordinator is Johan Mackenbach (EUR). Subjective expectations; introduction and relevance Werner Brouwer (EUR) Subjective expectations about health and survival James Hammitt (Harvard School of Public Health) Flu shots and the elicitation of subjective probabilities Peter Kooreman (UvT and Netspar) Subjective health expectations and lifestyle Job van Exel (EUR) Discussion and closing remarks Johan Mackenbach (EUR) December 12, 2008 in Amsterdam: Theme Conference Valuation and Risk Management Research findings on this theme of both Netspar research fellows and other researchers, national and international, were presented and discussed. Theme coordinator is Antoon Pelsser (UvA). Solvency II - Still far to go... Cees de Jong (Open University and UvA - ACIS) Solvency II: Securing the benefits Phil Vermeulen & Paul de Beus (Ernst & Young) QIS4: The way 4ward Franka Liedorp & Dennis van Welie (DNB) Solvency supervision for pension funds and insurers Theo Nijman (UvT and Netspar) Impact of Solvency II on ALM-policy André van Vliet (Ortec) Problems with Diversification Calculations Antoon Pelsser (UvA and Netspar) December 18, 2008 in Rotterdam: Theme Conference Health and Retirement Research findings on two themes (Income, health and work across the life cycle and Pensions, savings, and retirement decisions) of both Netspar research fellows and other researchers, national and international, were presented and discussed. Theme coordinators are respectively Maarten Lindeboom (VU A) and Eddy van Doorslaer (EUR), Rob Alessie (UU) and Arthur van Soest (UvT). Childhood health effects on later income, wealth and labor supply James Smith Katherine Carman and Johannes Binswanger Discussant: Angel Lopez When Dreams do Not Come True: Ex-ante effects of changes in Retirement System on Mental Health of Workers Nearing Retirement Maarten Lindeboom, Andries de Grip and Raymond Montizaan Discussant: Norma Coe Retirement and Subjective Well Being Tobias Klein and Eric Bonsang Discussant: Bernard van Praag Disability Claims over the Business Cycle: A Cross-Country Analysis Richard Disney Health effects on Labour Market Exist and entries in the UK Pilar Garcia Gomez, Andrew Jones and Nigel Rice Discussant: Rob Euwals Households Financial Situation and Mortality Risk Adriaan Kalwij, Rob Alessie and Marike Knoef Discussant: Ralph Stevens Have You Heard the News? The Role of Information in Real-Life Expectations Formation Karen van der Wiel Discussant: Stefan Hochguertel Implementing QIS4 Mathieu Filippo (Eureko and VvV)

60 January 28, 29 and 30, 2009 in Amsterdam: Pension Workshop Social security systems, human capital, and growth in a Small Open Economy In sickness and in health: How does marriage affect survival in the chronically iii? 59 The Pension Workshop has a scientific character. Michael Kaganovich (Indiana University) Emilia Simeonova (IIES Stockholm University) Keynote speakers were Deborah Lucas (North- Discussant: Jochen Mierau Discussant: Maarten Lindeboom western University) and Dirk Krueger (University of Pennsylvania). At this workshop the prizes for Growth and the ageing Joneses Optimal decision making, rules of thumb and age the Netspar Thesis Awards were granted. Walter Fisher (Institute for Advanced Studies) Tibor Besedes, (Georgia Institute of Technology) Plenary sessions Discussant: David Hollanders Discussant: Jan Potters Pension funding and Individual Accounts in Preferences for goods and time and the retire- Issues in DB Pension Plan Valuation and Asset economies with life-cyclers and myopes ment decision Allocation (Part I) Fabian Kindermann (University of Wuerzburg) Mette Gortz (AKF - Danish Institute of Govern- and Discussant: Monika Buetler mental Research) Issues in DB Pension Plan Valuation and Asset Discussant: Frederic Vermeulen Allocation (Part II) Political intergenerational risk sharing and Vincenzo Galasso (Bocconi University) Pensions and household wealth accumulation Properly Accounting for DB Pension Liabilities and Discussant: Roel Beetsma Gary Engelhardt (Syracuse University) Why It Matters Discussant: Rob Alessie Deborah Lucas (Northwestern University) Will the Norwegian pension reform reach its goals? Life cycle time allocation and saving in an imper- Sharing of Idiosyncratic and Aggregate Risk Across Erling Holmoy (Statistics Norway) fect capital market households Discussant: Peter Broer Ray Rees (CES University of Munich) and Discussant: Mauro Mastrogiacomo Optimal progressive labor and capital income Dynamic globalization and its Potentially taxation Alarming Prospects for Low-Wage Workers Do Danes and Italians rate life satisfaction in the and Sabine Jokisch (Ulm University) same way? How do households respond to income shocks? Discussant: Ed Westerhout Viola Angelini (University of Padua) Dirk Krueger (University of Pennsylvania) Parallel Sessions Macro Parallel Sessions Micro Discussant: Arthur van Soest Parallel Sessions Finance Labour Supply Response and Fiscal Impact of an Grossman s health threshold and retirement Earnings Test Reform Pension regulation and the market value of pen- Titus Galama (RAND) Erik Hernaes (Frisch Centre) sion liabilities: A contingent claims analysis using Discussant: Peter Kooreman Parisian options Financial and Redistributive Impact of Reforming Dirk Broeders (DNB) and An Chen (UvA and Netspar) Longevity and aggregate savings the Old-Age Pension System in Belgium Discussant: Frank de Jong Eytan Sheshinski (Hebrew University of Jerusalem) Marjan Maes (UC Louvain - HU Brussel) Discussant: Ward Romp Discussant: Rob Euwals

61 Netspar Events 60 DC pension plan defaults and individual welfare Jiajia Cui (UTwente, APG and Netspar) Discussant: Maarten van Rooij Household Consumption, Portfolio Choice and Expected Stock Market Returns Steffan Ball (Federal Reserve Board) Discussant: Paul Sengmueller February 5, 2008 in the Hague: Theme Conference The macroeconomics of pension reform The intergenerational transfer of public pension promises Joshua Rauh (University of Chicago) Discussant: Eduard Ponds Do defined benefit pension Contributions Reduce Capital Expenditure and profitability? Iain Clacher (Leeds University Business School) Discussant: Joachim Inkmann Pension Fund Policies: Labor Supply Distortions and Welfare Effects Roel Mehlkopf (UvT and Netspar) Discussant: Nick Draper Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About It? Moshe Milevsky (York University) Discussant: Ralph Stevens Life-Cycle Portfolio Choice with a Realistic Retirement Age Distribution Fangyi Jin (Central University of Finance and Economics) Discussant: Jiajia Cui Portfolio choice under uncertain lifetime Antoine Bommier (University of Toulouse) Discussant: Bertrand Melenberg Parametric Portfolio Policies in the Surplus Consumption Ratio Joachim Inkmann (UvT and Netspar) Discussant: Arjen Siegman Parallel session Current Dutch policy issues The impact of Subjective Life Expectancies on Pension Planning Kene Henkens (NIDI and Netspar) and Hanna van Solinge (NIDI) Discussant: Margriet Adema The Macroeconomic Consequences of Recovery Premiums in Pension Plans Roel Beetsma and Ward Romp (UvA, Netspar and MnServices) Discussant: Casper van Ewijk Where to Go? Lessons and Questions Induced by the Credit Crisis Lans Bovenberg (UvT and Netspar) Discussant: Gerard Riemen Risk Sharing Using Age Dependent Indexation Rules Niels Kortleve (PGGM and Netspar) Discussant: Theo Kocken Optimal Design of Recovery Plans Theo Nijman (UvT and Netspar) Discussant: Onno Steenbeek Justice and Solidarity in Dutch Pensions: A sociological perspective Lex van Vorselen (Blue Sky Group) Discussant: Lans Bovenberg Research findings on this theme of both Netspar research fellows and other researchers, national and international, were presented and discussed. Co-organized with CPB and MinFin. Theme coordinator is Casper van Ewijk (CPB, UvA and Netspar). Introduction Casper van Ewijk (CPB, UvA and Netspar) Does Social Security Privatization Produce Efficiency Gains? Kent Smetters (Wharton) Discussant: Sweder van Wijnbergen (UvA and Netspar) Intergenerational Risk Sharing in the First- and Second Pillar Thijs Knaap (CPB and Netspar) Discussant: Joana Pereira (EUR) Funded Pension Schemes, Intergenerational Risk Sharing and Labour Supply Jan Bonenkamp (CPB and Netspar) Discussant: Theo Nijman (UvT and Netspar) The Political Economy of Intergenerational Risk Sharing David Hollanders (UvT) Discussant: Casper van Ewijk (CPB, UvA and Netspar)

62 Pensions, International and Intergenerational Risk Sharing in General Equilibrium Ward Romp (UvA and Netspar) Discussant: Ed Westerhout (CPB and Netspar) Social Security, Self-Control Problems and Unknown Preference Parameters Alessandro Bucciol (UvA and Netspar) Discussant: Ben Heijdra (RUG and Netspar) February 26, 2008 in the Hague: Seminar Indexleningen This private event discussed index-linked bonds. Paul Tang, member of the Dutch House of Representatives for CDA, opened this day. Introduction Roderick Munsters (APG) and Erik Wilders (Agentschap) March 25, 2009 in Tilburg: Netspar Anniversary Meeting On the occasion of Netspar s fourth anniversary, a special meeting was organized, opened by Jan Nijssen (Netspar). Key players in the Dutch pension and insurance sector convened to discuss innovations in pension contracts. Both the papers and the discussion were in Dutch. Zelfstandige Zonder Pensioen Fieke van der Lecq (EUR) and Alwin Oerlemans (Cordares and Netspar) Sparen en Beleggen over de Levenscyclus, mede in het licht van ZZP ers Frank de Jong (UvT and Netspar) Invoering API is een no-brainer Jacqueline Lommen (Hewitt) 61 Inflatierisicopremie Geert Bekaert (Columbia University) Discussant: Guus Boender (Ortec) Wat is de Risicovrije Rente voor het Verdisconteren van Verplichtingen? Antoon Pelsser (UvA and Netspar) Begrotingsregels en EMU-saldo Casper van Ewijk (CPB and UvA) Discussant: Roel Beetsma (UvA), followed by plenary discussion Kredietcrisis en Pensioenen: Structurele Lessen en Korte Termijn Beleid Lans Bovenberg (UvT and Netspar) and Theo Nijman (UvT and Netspar) Missing Markets Zvi Bodie (Boston University) Discussant: Niels Kortleve (PGGM), followed by plenary discussion Kredietcrisis en pensioenen: Modellen Guus Boender (Ortec)

63 List of Abbreviations 62 AOW Algemene Ouderdoms Wet (Dutch National Old Age Pensions Act) BSc Bachelor of Science CBS Centraal Bureau voor de Statistiek (Statistics Netherlands) CDA Christian Democrats (Dutch political party) CentER Center for Economic Research (at Tilburg University) CPB Centraal Plan Bureau (CPB Netherlands Bureau for Economic Policy Analysis) COMPARE Toolbox for Improving the Comparability of Cross-National Survey Data with Applications to SHARE DB Defined Benefit DC Defined Contribution DNB De Nederlandsche Bank (the Central Dutch Bank) DP Discussion Paper ECCE European Centre for Corporate Engagement EFA Economics and Finance of Aging (MSc program at Tilburg University) EUR Erasmus Universiteit Rotterdam (Erasmus University Rotterdam) EZ Ministerie van Economische Zaken (Ministry of Economic Affairs) FNV Dutch employees association GP Huisarts (General Practitioner) IZA Institute for the Study of Labor FTK Financieel Toestingskader (Dutch solvency rules) HFC Holland Financial Centre MaGW Maatschappij- en Gedragswetenschappen, NWO (Social Sciences, Dutch Research Council) MinFin Ministerie van Financiën (Dutch Ministry of Finance) MPhil MSc MTI NEA NIDI NIVRA NN NVAO NWO OCenW OECD PhD RUG SHARE SVB SZW UM Master of Philosophy Master of Science Maatschappelijk Topinstituut (Societal Top Institute) Netspar Economic Advisors Nederlands Interdisciplinair Demografisch Instituut (Netherlands Interdisciplinary Demographic Institute) Koninklijk Nederlands Instituut voor Register Accountants (Organization of Dutch Register Accountants) Nationale Nederlanden (Dutch insurance company) Nederlands-Vlaamse Accreditatieorganisatie (Dutch Accreditation Authority) Nederlandse Organisatie voor Wetenschappelijk Onderzoek (Netherlands Organisation for Scientific Research) Ministerie van Onderwijs, Cultuur en Wetenschap (Ministry of Education, Culture and Science) Organisation for Economic Co-operation and Development Doctor of Philosophy Rijksuniversiteit Groningen (University of Groningen) Survey of Health, Ageing and Retirement in Europe Sociale Verzekeringsbank (Social Insurance Bank) Ministerie van Sociale Zaken en Werkgelegenheid (Ministry of Social Affairs and Employment) Universiteit Maastricht (Maastricht University)

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

65 Colophon 64 Netspar Annual Report 2008 April 2008 April 2009 Production Netspar Editing Etc. Editing, Breda Leen Preesman, Swift Journalism Heiloo Rik Oerlemans, Breda Gaby Versmissen, Netspar Design Esther van Eeuwijk, Joost Beelenkamp, Beelenkamp Ontwerpers, Tilburg Photography Bart van Vlijmen Photography Printing Drukkerij Lecturis, Eindhoven May 2009

66 Visiting address Faculty of Economics and Business Administration Tilburg University Warandelaan AB Tilburg Postal address P.O. Box LE Tilburg The Netherlands Phone [email protected]