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Annual Report 2006

List of abbreviations ABP AMANDA CBS CEPR CPB COMPARE DB DC DNB DP EUR FEB ICPM FTK MaGW MIT MPhil MSc MTI NEA NIDI NVAO NWO OCenW Algemeen Burgerlijk Pensioenfonds (Dutch civil service pension fund) Advanced Multidisciplinary Analysis of New Data on Aging Centraal Bureau voor de Statistiek (Statistics Netherlands) Centre for Economic Policy Research Centraal Plan Bureau (CPB Netherlands Bureau for Economic Policy Analysis) Project on improving international comparability of indexes for health, well-being, etc. Defined Benefit Defined Contribution De Nederlandsche Bank (the Central Dutch Bank) Discussion Paper Erasmus Universiteit Rotterdam (Erasmus University Rotterdam) Faculty of Economics and Business Administration International Centre for Pension Management (at the Rotman School of Management, University of Toronto) Financieel Toestingskader (Dutch solvency rules) Maatschappij- en Gedragswetenschappen, NWO (Social Sciences, Dutch Research Council) Massachusetts Institute of Technology Master of Philosopy Master of Science Maatschappelijk Topinstituut (Societal Top Institute) Netspar Economic Advisors Nederlands Interdisciplinair Demografisch Instituut (Netherlands Interdisciplinary Demographic Institute) 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) OPF PhD PvdA PGGM OECD RuG SER SHARE SVB SZW TT UCL UM UMBS USE UU UvA UVB UvT VB VSNU VU VvV Stichting voor ondernemingspensioenfondsen (Foundation of Company Pension Funds) Doctor of Philosophy Partij van de Arbeid (Dutch Labor Party) Pensioenfonds voor de Gezondheid, Geestelijke en Maatschappelijke belangen (Dutch pensionfund) Organisation for Economic Co-operation and Development Rijksuniversiteit Groningen (University of Groningen) Sociaal Economische Raad (Social Economic Council) Survey of Health, Aging and Retirement in Europe Sociale Verzekeringsbank (Social Insurance Bank) Ministerie van Sociale Zaken en Werkgelegenheid (Ministry of Social Affairs and Employment) Tenure Tracker University College London Universiteit Maastricht (Maastricht University) Universiteit Maastricht Business School (University of Maastricht Business School) Utrecht School of Economics Universiteit Utrecht (Utrecht University) Universiteit van Amsterdam (University of Amsterdam) Unie van Beroepspensioenfondsen (Association of Occupational Pension Funds) Universiteit van Tilburg (Tilburg University) Verbond van Verzekeraars (Association of Industry-wide Pension Funds) Vereniging van Universiteiten (Union of Universities) Vrije Universiteit (Free University) Verbond van Verzekeraars (Dutch Association of Insurers)

The life cycle expressed in interiors Commissioned by Netspar, Petra Stavast took a series of interior photographs depicting different life styles and sequential stages in life. On one level, the profusion of elements in the picture provides information, at another, it stimulates curiosity about the people living there. Sam Kuijer page 7 Jantje Roelfs page 8 Gabriëlla Maas page 13 M.A. Du Ry van Beest Holle page 14 Arya Malessa page 21 Jessica Joyce page 22 Mevr. Roelfs-de Vries page 27 Murat Karacoban page 28 Drs. Jongejan page 33 Mevr. De Ligt page 34 Dhr. Dinther page 41 Mevr. van Dijk page 42

Annual Report 2006 Network for Studies on Pensions, Aging and Retirement

2 netspar annual report 2006 Partners of Netspar Contents Pension funds and assett liability companies Universities Public sector Preface 5 State of affairs 9 Research on the macro, meso and micro levels 15 Thematic approaches: scope for entrepreneurship 23 The importance of data 29 Graduate and post-academic education 35 Sharing knowledge 43 Supplements 45 Insurance companies and banks Other organizations

netspar annual report 2006 preface Preface Scientific Directors Netspar Lans Bovenberg Theo Nijman Lex Meijdam Arthur van Soest During the early days of Netspar s existence, the organization managed to develop into a leading intellectual network. The growing political interest in the social and economical consequences of the ageing population offered Netspar the possibility of increasing its influence, especially in Europe. The pension sector which encompasses pension funds, banks, insurers, financial and management service organizations, supervisors and the government has a continuing need for renewal, research and education. In the past year, Netspar has tried to address this need, as is described in this report. Netspar launched an ambitious program in 2006 that will be intensified in 2007, with many more educational opportunities, such as the Netspar-UMBS Academy. Netspar is an open organization that is committed to steering a course that is recognized and supported by a broad group of sponsors. That explains why, in April 2007, an evaluation was conducted that will be completed in 2007. The list of current issues that Netspar is involved with is considerable, both in number and significance. Risk management and solvency and the optimum pension agreement were addressed, and macro themes such as the impact of aging on public budgets and the future of the welfare state in the light of the demographical development were also explored. A lot of attention was paid to the restrictions of human choice and the interest in adequate defaults. These defaults should protect participants of a pension fund against the unwanted consequences of not making any choices at all. Pension Fund Governance is more than simply the good governance of a fund. It is also a well thought-out duty to provide responsibility for participants of a pension arrangement who, especially at a young age, do not fully realize the wider significance of having a good income when their career is over. The free market process in the pension sector was discussed regularly during the last year. This discussion will be continued in greater depth in 2007. In this context, the theme Nederland Pensioenland was also put on the agenda. The Netherlands has an excellent and extensive pension sector that could play a meaningful role internationally, but the sector isn t yet sufficiently aware of the opportunities. At the European level especially, more things have become possible because of the new pension guidelines. Nevertheless, there are too few initiatives regarding the export of Dutch experience and knowledge. The drive to introduce the new Pension Act on 1 January 2007, which took a great deal of time and energy, may be the cause of this lag. It is my hope that the possibilities of stimulating an international knowledge exchange and exporting these ideas will be taken advantage of in 2007. At Netspar, this topic remains high on the agenda. It is surely no coincidence that Pensions and Social Insurances was designated by the Innovation Platform as a key area for innovation. Mission Netspar aims to build a strong network of academic researchers, financial institutions and government agencies in the Netherlands for the purpose of addressing the social and economic challenges of an aging population. Netspar draws on the expertise of both Dutch and international researchers to examine issues pertaining to pensions and retirement. The fundamental goal is to maintain and strengthen those institutional structures that support lifecycle planning, build and protect human resources, and engender intergenerational support and cooperation. Joep Schouten (Cordares) Chairman Advisory Board Netspar

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state of affairs State of affairs Netspar is running on course. The national Innovation Platform has designated pensions and insurance as one of the six key innovation areas of the Dutch economy. This has given our work a considerable boost. Among other things, it has facilitated the strengthening of a public-private network of universities, ministries and other public institutions, pension funds and insurers. a solid network established Netspar serves as an important entrepreneurial role model on how academic institutions working on the social sciences can cooperate with the public and private sectors. Netspar has created focus and mass by initiating a large network of participants from almost all major knowledge institutions that are active in this field and almost all relevant non-academic partners. Netspar cooperates with Dutch universities that work on pension and aging issues. In fact, many of the major research groups at Dutch universities that are active in this field are funded by Netspar and participate in its activities. Netspar thus encourages closer cooperation between Dutch researchers of various universities and research institutes. Indeed, Netspar experiments with new approaches to bridge the gap between practice and academia. Through its requirements for funding, Netspar has stimulated the adoption of the tenure-track system (as favored by the Innovation Platform) in the social sciences. public debate Netspar functions as a national platform for informed debate on aging and pension issues. Topics such as the life-course arrangements, the sustainability of the government budget and the future of the welfare state have played a major role in the policy debate and in the election campaigns. Several leading politicians and policymakers have presented their ideas at Netspar meetings meetings that have received wide attention in the press. For example, Wouter Bos, the leader of the labor party at the time still in opposition used Netspar as a platform to reveal his vision on the future of the welfare state and its role in securing old-age pensions in an aging society. In addition, some of our researchers commented on the projections that were made by CPB Netherlands Bureau for Economic Policy Analysis on the budgetary consequences of aging. social innovation Last year, Netspar pursued social innovation by studying innovations that allow pension funds and insurance compa- nies to better meet the needs of their members and clients. We organized meetings on optimal measurement of the indexation quality of pensions, and we explored ways in which vulnerable groups within pension schemes can best be protected against risks. The potential for successful innovation in pensions and social insurance in the Netherlands has been underscored by the decision of the Innovation Platform in the second half of 2006 to appoint Pensions and Social Insurance as one of the key areas for innovation in the Netherlands. Netspar stands ready to continue to contribute significantly to the successful development of this innovation area. The development of new insurance products that integrate pensions, housing and care was also considered. In this way, Netspar hopes to have raised awareness of the importance of these issues. Indeed, elderly people are becoming wealthier and more assertive. This creates ample scope for financial innovation. Towards that end, Netspar hopes to help pension funds and insurance companies in developing new products that suit the needs of the elderly of the future. themes Academic entrepreneurship at various universities has been successfully stimulated through theme grants. Every year, Netspar allocates 1 million to three theme-based projects; the annual awards are given for a three-year period. The theme groups include researchers from various universities and institutes. Themes involve all three pillars of Netspar: research, education and knowledge exchange. The first three themes started in April 2006, and three new ones start in 2007. research In the course of its first two years Netspar has established a solid network on a national level. Researchers from Dutch universities that work on the same topics as Netspar participate in the network, enabling Dutch universities to hire promising new junior researchers. Netspar s academic importance is therefore growing, and in the near future its potential will develop further, mostly on an international level. Last but not least, Netspar has become an entrepreneurial example of how public and private parties in the service sector can work together with academics to stimulate social innovation.

10 netspar annual report 2006 state of affairs 11 Capital flows will drastically change in the coming decades due to aging populations in developed countries nout wellink president of de nederlandsche bank (dnb) We are currently in the middle of an unprecedented demographic transition caused by lower birth rates and increased longevity. The ageing of our population will have severe consequences for the economy of our country. It will affect not only public finances and pension schemes, but also the entire economic infrastructure. For example, labor supply will shrink from 2010 onwards in absolute numbers, which is unprecedented in recent economic history. This raises the question of how to handle the increasing demand for labor from, for example, the healthcare sector. The housing market will probably also be affected by demographic changes. And it is also highly likely that capital flows will drastically change in the coming decades due to ageing populations in developed countries. Although a great deal of research has already been undertaken in these fields, many questions have yet to be answered. With its broad research agenda, Netspar can contribute to filling this gap. And we are proud that DNB contributes to Netspar s research by delivering researchers and the DNB Household Survey. DNB has been heavily involved in the pension industry since it merged in 2004 with the PVK, the former pension supervisor. The interaction of the economic and supervisory tasks of DNB has contributed to a significant deepening of our in-house knowledge of ageing and pension issues. This has become very clear for me in the past year. education Netspar has initiated an innovative Master of Science program that proceeds from a coherent set of societal questions rather than from a disciplinary toolbox, as is the case with many MSc programs. Moreover, researchers from several Dutch universities contribute to this MSc program. The program, which was accredited by the Dutch Accreditation Authority (NVAO) and approved by the Dutch Ministry of Education, started successfully in September 2006. The quality of its educational program is rooted in Netspar s intellectual credibility and visibility on the academic level, and in the power of the ideas generated by its scientific research. More than thirty students with an adequate mix of nationalities participated in the first year. This mix of nationalities stimulates discussions on the advantages and disadvantages of different pension schemes, and may in the future be instrumental in exporting pension knowledge. By serving as interns with our partners, the students are well placed to bridge the gaps between academia and the practice of the pensions and insurance sector. knowledge exchange Netspar has actively contributed to the strategic thinking in the pensions- and insurance sector through discussion papers, press publications, presentations at conferences, expertise service, etc. on many relevant topics. Examples of topics covered include the Dutch and international solvency regulation for pension funds and insurers (FTK, Solvency II), market valuation of pension and insurance contracts, the costs and benefits of DB pension schemes, generational accounting, the pros and cons of choice options in pension contracts, the sustainability of the pension system and the government budget in view of aging, the transparency of the pension contract (including the indexation label), and the life-course arrangement. Netspar s scholars are regularly asked for second opinions on policy documents by trade unions, pension funds, insurers, and ministries. Also journalists often approach Netspar scholars to ask them about their views on policy issues. Their contributions to addressing relevant policy questions are rooted in the recent literature. Netspar is already recognized as an important and influential place for strategic thinking and debate on the future of pensions in the Netherlands. This is evidenced, among other things, by the presence of the major players in the Dutch pension and insurance sector at brainstorm meetings and at the annual anniversary meeting of Netspar. In these meetings Netspar has addressed a variety of topics ranging from intergenerational risk sharing to the opportunities for export of pension products and competition in the pensions and insurance sectors, and from behavioral biases in choices related to pensions and insurance to transparency on indexation entitlements in the pension contract. data Netspar has initiated major steps forward in the availability of data for empirical research on aging and pensions. Statistics Netherlands (CBS), Netspar and its partners will collaborate further on improving the availability of micro data on pension rights. As a result, a large number of relevant new policy questions can now be addressed, and many research projects (also by international researchers) and theses will benefit from the improved data infrastructure. looking ahead expanding on an international level One of the challenges for 2007 is to further stimulate social innovation. Toward this end, we need to keep encouraging the best brains in academia to pursue cutting-edge research on pensions and aging. Furthermore, we should follow up on our commitment to promote stronger pension systems everywhere in Europe. The need for a stronger capital-funded occupational pension system in other European countries could lead to important business and investment opportunities for Dutch insurers and banks. Also, pension funds and pension administration companies are considering how they can export their considerable expertise in pensions. This will strengthen the political base for European regulations that better suit the Dutch pensions system. Although Netspar already has contacts with the foreign institutes that address related research questions, these contacts should be intensified in the near future. We plan to investigate the possibilities for setting up an international network together with similar initiatives within the EU. Expanding the network on an international level can be achieved through an active visitors program, the availability of research grants for international researchers and the organization of international academic conferences and workshops that last more than a single day. The bi-annual Pension Workshops will be extended to international conferences. More activities will be organized in cooperation with foreign partners (such as ICPM in Toronto). A number of instruments will be utilized to generate more direct contacts with partner representatives. intensifying the knowledge transfer Netspar s other key priority for the next period is to intensify and broaden the contact with the non-academic partners. Some Netspar researchers have established fruitful and lively contacts with a number of non-academic partners and professionals in the sector. More researchers should be involved, however; more individuals in the sector should be reached directly, and the contacts with others should be intensified. A number of instruments will be utilized to generate more

12 netspar annual report 2006 direct contacts with partner representatives. These include presentations by Netspar partners of their views on the most relevant research questions, small-scale thematic meetings with specialists, master theses through internships supervised by Netspar researchers on a subject directly relevant to the partner, regular visits to promote Netspar internally in the partner organizations, discussions by professionals from the sector on Netspar Economic Advisors (NEA) papers and panel papers, sounding boards linked to each of the Netspar themes, and participation of young professionals in the MSc program. Finally, the Netspar-UMBS Academy was launched in close cooperation with Maastricht University Business School, and offered its first modules of international post-academic courses in early 2007. This initiative adds an academic and international orientation to the training opportunities that are currently available in the sector. Whereas the innovation debate often focuses on technological innovation and the need for closer networking between industry and the technical sciences, Netspar links the social sciences to the financial sector and the public sector. Netspar serves as an important entrepreneurial role model on how academic institutions working on the social sciences can cooperate with the public and private sectors. Indeed, it has been named as such by NWO (MaGW), VSNU and the Innovation Platform. An agreement was made with four Dutch organizations that represent the pension funds and insurance companies (Verbond van Verzekeraars, Vereniging van Bedrijfstakpensioenfondsen, Stichting Ondernemingspensioenfondsen, Unie van Beroepspensioenfondsen). This agreement enables Netspar to disseminate knowledge to all pension funds and insurers, and will be instrumental in improving access to relevant datasets. It will also contribute, no doubt, to more intensive knowledge transfer.

research on the macro, meso and micro levels 15 Research Netspar has initiated three research programs that examine the micro-, meso- and macroeconomic aspects of pensions and aging. We explore the behavior of individual households in labor and capital markets within the context of the life cycle (micro). We investigate the role of pension funds and insurance companies in facilitating risk sharing within and between generations (meso). We analyze linkages among labor-, capital- and commodity markets including the relationship between retirement decisions, the flexibility of the labor market and incentives to accumulate human capital (macro). Every year, Netspar allocates 1 million to three theme-based projects; the annual awards are given for a three-year period. progress in 2006 In 2006, Netspar produced 99 academic publications and 58 discussion papers, which are listed in the appendix. Moreover, some ten research-oriented conferences were organized, nine students started work on their dissertation, and three more researchers were recruited on the international job market. The year was marked by the introduction of Netspar s first three research themes. Netspar has been focusing on expanding the contacts with the pensions sector, making the network visible outside Tilburg, and anchoring its research themes with the partners. As of September 2006, one of Netspar s leading research themes is valuation and risk management. The focus on valuation and risk management has shifted from the Dutch solvency rules (FTK) to the international Solvency II rules. Netspar s research also targets the optimal pension contract for different age categories, and the question of how much freedom of choice is the most beneficial to participants in pension schemes. At the micro level, Netspar is conducting a survey into if, and how, financial stimulus or health problems affect a decision to early retirement. Netspar has made considerable progress in making relevant data accessible in order to answer scientific questions. Due to cooperation from pension funds, insurers and universities, which are supplying Statistics Netherlands with data, we are able to get a much better view on issues such as the nature of the people who are taking early retirement: what is their health, what is their income, their possible pension gap and subjective life-expectancy? In addition, and due to a government grant, Netspar researchers are developing new ways of gathering data and conducting surveys. The availability of unique data is an important point of consideration for foreign researchers to participate in Netspar. It is likely that in the future more foreign scholars will work on Dutch policy issues. In order to facilitate exchange between the Dutch pensions sector and the rest of the world, Netspar has designed a visitors program that allows foreign scientists to visit Netspar. Last year, a dozen researchers from abroad visited Netspar for a couple of days. Furthermore, we are looking forward to the results of the eight foreign researchers, who were each provided by Netspar with grants of 5000 euro to study relevant pension issues in the Netherlands. results Although it is difficult to measure concretely the effects of Netspar s research, there are clear indications of results. The recovery period for pension funds as part of the FTK has been extended from one year to three years. The FTK parameters have been changed as well. Furthermore, Netspar has developed the so-called indexation label. This aims to offer workers greater insight regarding their pension prospects. Instead of the complicated indexation matrix of pensions regulator De Nederlandsche Bank, which mainly refers to expected purchasing power, Netspar has added risk considerations. Moreover, we have proposed graphical illustrations, similar to the Financiele Bijsluiter on investment risks that must nowadays accompany financial products. As a final example, the conclusion of academic research that the choice of investment by pension schemes participants must be accompanied by proper advice has now been widely accepted. Netspar has clearly contributed to a convergence of ideas. the ultimate objective In December 2006, researchers were granted subsidies for three new theme projects. They will investigate how pensions affect retirement and saving decisions, survey the development of health policy strategies to alleviate the effects of aging, and investigate the optimal design of a three-pillar pension system from a macroeconomic perspective. These themes are described on page 23 of this report. Our network is innovative by crossing interdisciplinary borders. Because Netspar gets its inspiration from questions arising from the pensions sector, we have involved the medical sector, for example, to tackle issues like life expectancy, and we have asked psychologists to find answers on choice behavior. In drawing researchers involved in diverse disciplines from all over the world to share their expertise on retirement and pensions, Netspar aims to meet the ultimate objective to stimulate prudent retirement and savings decisions and to engender cross-generational solidarity.

16 netspar annual report 2006 research on the macro, meso and micro levels 17 Richard Weurding emilie schols general director association of insurers (verbond van verzekeraars) official support of pensioenkijker.nl Netspar is conducting a survey on the public s opinions about It is reasonable to expect that the trend towards greater pensions. How does the public see the future of the AOW, and what individualization and more dominant market forces will continue over do they think of the additional pension? The survey is conducted the coming years. Still uncertain as yet, however, is whether political periodically, so that any developments can be clearly seen. This efforts to include more of the workforce in direct participation, information is interesting for Pensioenkijker.nl because it is really and therefore more support for the AOW, will succeed. The fact that useful to know what people s thoughts on their pension are so that employers want to control their pension burden is less doubtful; in we can try to make people more aware of their pensions. cases where that control is not, or is less, possible, they will place the risks with the employee. And it is quite clear that intergenerational In 2006, therefore, Pensioenkijker.nl welcomed the opportunity of solidarity will become less and less a matter of due course. Our cooperating in the survey with Netspar. The cooperation is good not attractive and solid-looking three-pillar pension system turns out only for Pensioenkijker.nl, but also for Netspar, because Pensoenkijker. to be rather vulnerable when stock market prices are disappointing nl usually generates very positive media attention: A real win-win and in those cases, too, the disappointments are being shifted to the situation! participants. In addition to the current survey, it would be useful to conduct In our country, 70 percent of the last-earned wage is the inviolable measure for the pension, as the 65th birthday was, for years and years, the date upon which one started to enjoy that pension. The pension income was collected using a particular type of solidarity that workers in the same workplace, or within the same branch of industry, had between them. The issue is how these norms and structures will be able to uphold this solidarity over the coming years. a survey to discover the level of public support for solidarity. Before this research can be undertaken, we will need to map out which redistributive mechanisms are now at work in the pension system (both the first- and the second pillars). This is especially important vis à vis the hidden rearrangements, because solidarity can be maintained in the long run only if there is enough support for it. Conducting such a survey may prove complicated, but will The discussion about a new old age should therefore be concentrated on new norms and structures The discussion about a new old age should therefore be concentrated on new norms and structures or, as one might say, the basic principles of a future-proof old-age pension. What are the standards today, vis-à-vis being reasonable? Can new solidarity play a role, and how will that role be organized? These are the important questions. Further, can the discussion on a new method of implementation be seen separately from this? This, too, is an important question, because in our country there is an ongoing discussion about whether, from a European point of view, the obligation has reached its best before date. To doctor with the implementation at this point in time dangerously resembles renovation of a house when it is not known how solid its foundations are, or who is going to live in it and what housing wishes this new owner might have. nevertheless be a valuable exercise. Pensioenkijker.nl welcomed the opportunity of cooperating with Netspar

18 netspar annual report 2006 netspar events 19 Annual Conference with CPB and SER, The Hague, April 24-26, 2006 1. L. to r. Wouter Bos (Leader Labour Party PvdA), Lans Bovenberg (Netspar) and Aart Jan de Geus (Minister of Social Affairs) 2. 2000 Nobel Prize winner James Heckman (U of Chicago) 3. Ruud de Mooij (CPB/Netspar), author of the report Reinventing the Welfare State Brainstorm meeting on Indexation Quality, Tilburg, May 10, 2006 4. Klaas Knot (DNB) Pension Day, Tilburg, May 11, 2006 5. Jan Koeman (SZW) 6. L. to r. Jan Potters, Frederic Vermeulen, Karin van der Wiel (Netspar researchers) Netspar Workshop with PGGM, June 12-13, 2006 7. Michael Hurd (RAND) 8. Peter Diamond (Harvard University) 9. Jan-Willem Oisterwijk (Mininstry of Economic Affairs), Heino van Essen (PGGM) and Lans Bovenberg (Netspar) Start Master Economics and Finance of Aging 10. Drinks with students, September 2006 Brainstorm Meeting on Aging and the Sustainability of Dutch Public Finances, The Hague, April 11, 2006 11. Panel discussion with l. to r. Harry Verbon (UvT), Casper van Ewijk (CPB), Lans Bovenberg (Netspar), Bert de Vries (former politician/ Netspar fellow) and Bas Jacobs (UvA/Netspar) 1 3 5 2 4 6 7 9 11 8 10

20 netspar annual report 2006 pieter omtzigt mp for the cda The most discussed speech in Dutch politics took place at the Netspar congress in April 2006: Wouter Bos, leader of the Dutch labor party, announced his plan to raise taxes on the AOW (social security). With this step he clearly took a position in the debate on the ageing population and started the election campaign with an academic lecture a first. It is a pity, then, that Assar Lindback s (Stockholm University) reaction during the congress to Bos argument received so little attention when he subtly explained the flaws of the Scandinavian model, to which Bos was so devoted. Unfortunately, the discussion about how to get the best out of the Dutch as well as the Scandinavian model has stagnated somewhat after that. Pension funds have become the most important capital providers by far The internationalization of pensions and the ageing population is a subject that is going to demand more and more attention. Pension funds have become the most important capital providers by far and that raises a host of questions surrounding, in particular, what investments they are allowed to make. The Zembla television broadcast in 2007 about pension fund investments in child labor and landmines is likely to be just the beginning. Although it is clear that the pressure to pursue political goals with this capital will increase, we might ask why these funds take the capital away from their homeland and invest it elsewhere? And how do we deal with a new type of international player? A fund can move around quite freely, and whereas national welfare states may be able to fight with each other about mobile capital and investments, they have, in practice, virtually immobile human resources.

thematic approaches: scope for entrepreneurship 23 Thematic approaches Scope for entrepreneurship Netspar s themes are intended to stimulate entrepreneurship (researchers initiate research projects that are both exciting from an academic point of view and are relevant to Netspar s non-academic partners), engender commitment (researchers and their universities are able to showcase themselves), and generate coherence in the overall research program (and increase in scale and intensity). Themes involve all three pillars of Netspar: research, education and knowledge exchange. This section provides an overview of the six current themes. themes 2006 The first three themes were selected in December 2005, and commenced on April 1, 2006. This section indicates the scope of each theme and provides a short impression of the initiating event. theme 1: valuation and risk management for insurance companies and pension funds coordinator: antoon pelsser (uva) Pension and insurance sectors are facing unprecedented challenges at the beginning of the 21st century: Equity markets have fallen dramatically, interest rates are at historic lows, and people are living longer than ever before. At the same time, new tools are becoming available to address these challenges. Actuaries and actuarial science therefore need to enhance their skill sets. The management of financial risks together with classical actuarial risks is an area requiring further research. This theme is designed to stimulate research precisely in the area where finance and actuarial science meet. The primary application of this theme is risk management and asset and liability management by pension funds and insurance companies, focusing on internal risk management and external supervision and regulation. To kick off this theme, the group of researchers affiliated with this theme jointly organized a seminar with the Dutch Actuarial Society, in November 2006, on market-consistent valuation of insurance contracts. The group presented their theme and provided examples of the type of research they want to do in coming years. Several speakers from academia (Hans Bühlmann and Mario Wüthrich (both Zürich), Torsten Kleinow (Edinburgh), and Antoon Pelsser (UvA) explained the cuttingedge developments in academic research. Several speakers from the pensions and insurance sectors (Guus Boender, Hens Steehouwer (both Ortec), John Hele (ING) and Niels Kortleve (PGGM)) also indicated how the new concepts of marketconsistent valuation are being applied in practice. With close to 150 participants from insurance companies, pension funds, consultancy and academia, the kick-off event was a great success. theme 2: income, health and work across the life cycle coordinators: maarten lindeboom (vu), eddy van doorslaer (eur) In recent decades, most OECD countries have achieved significant improvements in both the average lifespan and the quality of life of their populations. The growing life expectancy of most Western populations entails many new challenges. If aging simply implied an expansion of the healthy and productive lifespan, it would not be considered the challenge that it is today. Unfortunately, much of the expansion consists of an increase in the number of years in declining health, accompanied by greatly increased healthcare needs and associated expenditures. As a result, most OECD countries face formidable new challenges for their largely publicly financed healthcare systems and for the optimal balance between active working life and the post-retirement, care-dependent years. Major dilemmas with respect to the sustainability of current retirement and disability programs, and the affordability of equitable healthcare systems, must be addressed. All themes run for a period of three years. Each year, three new themes are selected. The various research projects of the senior researchers will thus become gradually more integrated into coherent research programs. As Netspar increases the funding for themes, less funding will be available for individual researchers who are not part of a theme. The theme coordinators, the intellectual leaders of Netspar, recruit senior and junior researchers and Ph.D. candidates, and provide focus and direction. By April 2008, Netspar intends to run nine themes. Every year, one-third of these themes will be replaced by new themes. Netspar will thus continuously adjust its portfolio to new developments in the academic world and the changing interests of its non-academic partners.

24 netspar annual report 2006 thematic approaches: scope for entrepreneurship 25 alexander rinnooy kan chairman of ser The year 2006 was of course the year of the new law on pensions, but it also was the year during which Netspar developed into a well-recognized and well-respected participant in the national and international pension debate. Such an institute probably does not need outside suggestions on what to put on its agenda. Nonetheless, with due modesty, I may be able to help in pointing out an opportunity out there that Netspar has not fully benefited from. The kickoff event on December 14, 2006 was labeled Health Income and Work across the Life Cycle, and was attended by 80 academics and practitioners from the Netherlands and abroad. The morning session addressed the health at old age and included internationally renowned speakers such as Adriana Lleras Muney (Princeton), Gerard van den Berg (VU) and James Banks (UCL). The session concluded with a general discussion presented by Johan Mackenbach (EUR). Health and work in the last stage of working life was the central topic of the afternoon session, which included Rena Conti (Chicago), Norma Coe (UvT) and Mark Duggan (Maryland). Arie Kapteyn (RAND) rounded off the event with a vivid discussion. of integrated financial and pension planning. Eduard Ponds (ABP) used generational accounting to show which age cohorts gained and lost from the recent changes in pension plans. Casper van Ewijk (CPB) added a macroeconomic perspective to the financial analysis. themes 2007 In December 2006, three additional themes were selected, which will commence in April 2007. There is a huge knowledge gap that needs to be bridged Most of Netspar s research is fairly abstract and complex that should come as no surprise. It concerns issues such as intergenerational risk sharing, time-varying bond risk premiums, and the impact of wealth on the job exit rates of elderly workers, to mention just a few examples. At the end of the day, however, this research has to derive part of its relevance from how it will translate into the discussions and negotiations between the representatives of employers and employees on the contents of their pension plans. And there, as demonstrated by ample evidence, the average employee has only a vague idea regarding the terminology referred to above, and more worryingly, probably has little insight regarding the relevant details as to his or her own pension plan. There is thus a huge knowledge gap that needs to be bridged, for Netspar s sophistication to yield its full return. May Netspar play a role here? Netspar, together with its partners, may be uniquely positioned to think of ways or develop tools to enable a more effective communication process between the negotiators of pension plans and the people they represent. theme 3: private retirement provision coordinator: peter schotman (um) The provision of retirement income has long been dominated by mandatory arrangements with scant room for individual choice. Individual choice, however, is becoming increasingly important within collective defined-benefit arrangements. Moreover, individual schemes with more scope for individual discretion are sometimes proposed, including private retirement and lifecycle accounts based on defined contributions. In any case, in addition to collective pension rights, households build up private savings and investments in financial assets, housing and human capital. These developments place more responsibility on individuals to make informed decisions about retirement savings and investments. People must be able to estimate not only how much wealth they will need to accumulate by the time they retire, but also what risks are involved. To execute their plans, they invest in mutual funds, or use the services of intermediaries, such as insurance companies and pension funds. During the pension day of November 22, 2006, Jiajia Cui (UvT) presented her work on longevity bonds, explaining the theoretical framework for pricing such instruments and providing initial empirical results. In his discussion, David Schrager (ING) contrasted the theoretical approach to the industry practice of pricing longevity bonds using the concept of Economic Capital. Piet Eichholtz (UM) examined the longrun relation between house prices and rents. The discussant, Clemens Kool (UU), welcomed the evidence from more than three centuries of historical data, which prompted many new economic questions. Mutual funds perform much worse than pension funds, according to Rob Bauer (UM). As a potential explanation he discussed economies of scale and misalignment of interests. Laurens Swinkels (Robeco) countered some of the differences by comparing the perspectives of pension funds and mutual funds. Theo Nijman (UvT) explained the newly developed label of indexation quality of pensions. Bad indexation does not necessarily imply poor pensions, however, replied Guus Boender (Ortec), who further argued in favor theme 4: pensions, savings and retirement decisions coordinators: rob alessie (uu), arthur van soest (uvt) Occupational pensions, third-pillar products, and social security benefits are aimed at guaranteeing sufficient income and financial security for the elderly. Policymakers, pension funds and insurance companies must know whether the financial security they provide serves the population in an optimal way. This theme focuses on the microeconomic aspects of this broad question. As in many other western countries, the Dutch population is characterized by heterogeneity in terms of skills and human capital, income, consumption, and wealth accumulation, labor market history, labor market performance, job and pension fund mobility, family composition and family and other social networks, health and health-related behavior, future expectations, preferences for consumption versus leisure, risk aversion and time preference, financial literacy and procedures for decision making, etc. This theme aims to analyze the behavior and well being of the Dutch elderly workers and retirees in relation to their pensions and social security provisions and other environmental factors. theme 5: the macroeconomics of pension reform coordinator: casper van ewijk (cpb) This research theme focuses on macroeconomic aspects of pensions. The starting point is the three-pillar pension system featuring state pensions (1st pillar), mandatory supplementary pensions (2nd pillar) and free individual savings (3rd pillar). Key questions are what weight should be given to each of the pillars, what is the optimal pension contract in each of these pillars, and what is the government s role in shaping the pension system. In order to answer these questions, attention will be given to the optimal pension contract in each of these pillars, the interrelationship between the pillars and the impact of the pension system on the economy as a whole. The theme integrates results from microeconomic analysis into macroeconomic models, and applies these models to analyze relevant policy issues. The analysis will be carried out on both a theoretical level and

26 netspar annual report 2006 an empirical level using applied general-equilibrium models for the Netherlands. These models build on the model used previously by CPB in its work on aging and pensions, but will extend it in two important directions. First, risk and the valuation of risk will be introduced in macroeconomic models, thereby building on the results of other Netspar themes. Second, the models in this theme will extend the analysis of general equilibrium effects of shocks in pensions on labor markets and financial markets, on both a national and an international level. Netspar s position As a public-private partnership, Netspar is uniquely positioned to build links within the pension and insurance sectors. By enabling the various participants to network with each other and to discuss longer-term strategic issues, Netspar aims to strengthen mutual trust, open channels of communication, and build common visions. theme 6: living longer in good health: prospects, strategies, and consequences coordinator: johan mackenbach (EUR) The 20th century rise in life expectancy is one of the great successes of public health, but has contributed importantly to the aging of western populations. Aging poses great challenges to the modern welfare state, not only by threatening the sustainability of pension systems, but also by inducing a greater demand for social services, including healthcare. There is an urgent need for developing strategies that can help to alleviate the societal consequences of the aging of populations. Unfortunately, the ill health that tends to accompany aging is often seen as only an independent variable, leading to higher rates of morbidity, work disability, and demand for health- and social care services. Substantial evidence suggests that many manifestations of ill health at advanced ages are amenable to intervention e.g. prevention by lifestyle improvement or early detection, treatment by drugs or surgery, and functional rehabilitation by training and devices. The healthcare system should therefore not only be seen as part of the problem, but also be used as part of the solution. Developing a strategy to alleviate the societal consequences of aging of the population is no easy task, however. The main challenge is to delay morbidity and/or its consequences (functional decline, disability, dependence on health- and social care services) until a later moment in the human lifespan.

the importance of data 29 The importance of data One of Netspar s goals is to provide the best possible data infrastructure for public policy research. A crucial element is the availability of empirical micro data, which can be used to test and either falsify or confirm hypotheses and theories about the labor of individuals and households, socioeconomic position, health, and well being of individuals. Such data are particularly crucial to achieve the goals of Netspar s micro-research program, which focuses on individual labor issues such as savings for retirement, portfolio choice, health, labor supply and retirement. Netspar is involved in several projects to obtain facilities for researchers to access relevant micro data. cooperation with dnb and centerdata: dnb household survey and centerpanel CentERpanel is an ongoing socioeconomic survey with a sample of about 2,500 households that are representative for the Dutch population. Interviews are held via the Internet, and each participating household gets questions every weekend. Participants who do not have Internet are provided with the necessary equipment (a set-top box, and, if necessary, a television set). The DNB Household Survey (DHS), derived from annual interviews with participants in the CentERpanel, has collected data since 1993 on the financial behavior of households. Areas covered include demographics and work; housing and mortgages; health and income; assets and liabilities; and a large number of economic psychology topics. The rich questionnaire has resulted in a unique amount of information on a wide variety of topics. The technology also allows easy addition of new modules in separate weekends; this information can be combined with the DHS data. Several researchers use CentERpanel for their Netspar research, exploiting existing data or fielding their own modules and experiments. Jan Potters and Eline van der Heijden carried out an experiment on time preference, loss aversion and myopic decision making, relevant for how households invest in third-pillar pensions. In the same line of research, Johannes Binswanger and Daniel Schunk (Mannheim) will do an experiment on satisfying labor in choice of pension plan. In cooperation with Pensioenkijker.nl, Arthur van Soest and Jan Nelissen (CentERdata) will set up the Pension barometer, measuring individual satisfaction with the pension- and old-age social security system and confidence in its long-run future. cooperation with statistics netherlands (cbs and netspar partners): register data on income, wealth, pensions and retirement plans A category of data that is gradually becoming more common and more popular is register data (also called administrative data). These data are collected for administrative purposes (e.g. by the tax authorities or the employment office). In the Netherlands, several sources of administrative data with rich information on households and individuals on, for example, income sources, labor market histories and wealth components, are managed by Statistics Netherlands (CBS) and made available to researchers under stringent (security) restrictions. Since 2005, Netspar cooperates with CBS to give remote access to this type of data to Netspar researchers. Klaas de Vos, for example, used this data to compare income and wealth holdings with DHS; Jannes de Vries is using it to study income mobility. The new theme project Pensions Savings and Retirement Decisions, led by Rob Alessie and Arthur van Soest, will, in addition, use register data from pension funds to analyze future entitlements to pensions and social security, and to forecast the future distribution of income among the elderly, as a whole, and vulnerable groups, in particular. In the same spirit, Rob Euwals will use administrative data to analyze early retirement decisions. Gerard van den Berg and Maarten Lindeboom work with historical administrative data on health and socioeconomic status, going back to the previous century. They will use this to analyze the long-run causal relationship between socioeconomic status and health. Since administrative data typically do not contain all of the information a researcher would like to use, linking survey data to administrative data is an attractive option. Until now, this has rarely been achieved, but this is something Netspar researchers will also pursue in the future. Arie Kapteyn has done pioneering work in this field, but until now has used only Swedish data. share europe: a survey of health, ageing and retirement in europe Netspar has continued to be pivotal in its involvement in the international Survey of Health, Ageing and Retirement in Europe (share) through several EU-funded projects (share, amanda, share-i3, compare). The projects are contracts with the European Commission, which has identified population aging and its social and economic challenges to growth and prosperity as one of the most pressing challenges of the 21st century in Europe.

30 netspar annual report 2006 netspar events 31 Brainstorm meeting on the 12th report of the Studiegroep Begrotingsruimte, The Hague, October 11, 2006 1. From left to right: Syp Wynia (columnist Elsevier), Frank Kalshoven (columnist De Volkskrant and director Argumentenfrabriek), and Coen Teulings (CPB/Netspar) debating 2. Discussion with the audience 3. Sweder van Wijnbergen (UvA/Netspar) Workshop Micro-economics of Aging in Europe, November 16-18, 2006 4. Gerard van den Berg (UvA/Netspar) addressing a complicated issue 5. James Banks (Institute for Fiscal Studies) Pension Day with UM, Maastricht, November 23, 2006 6. Rob Bauer (UM/Netspar) in his presentation Economies of Scale, Lack of Skill or Misalignment of Interest? 7. Piet Eichholz (UM/Netspar) explains why 8. Lunch in the chapel: why not? Nederland Pensioenland II, November 29, 2006 9. Debate over diner, l. to r. Jacqueline Lommen (DNB), Richard Venniker (Min. of Finance) and Harry van Dalen (NIDI) 10. Inge van Hoek (Sterreborg) pointing out 11. Lans Bovenberg (Netspar) reflecting 1 4 5 2 3 9 6 7 10 8 11

32 netspar annual report 2006 During 2004, the first wave of share recorded health, work, economic status and family and social networks of over- 50s in eleven countries in continental Western Europe, from Scandinavia to the Mediterranean. The multidisciplinary survey recorded the situation on national differences and its implications on healthy and active aging. In the Netherlands, some 2,700 respondents took part in the study. Netspar researchers involved in the project are Arthur van Soest (Dutch team coordinator) in Tilburg, Johan Mackenbach at Rotterdam s Erasmus Medical Centre, and Rob Alessie of Utrecht School of Economics. The results thus far have led to the international report 50+ in Europe. The report showed, for example, that ties between parents and their children are particularly close in the Mediterranean countries, and that people who enjoy their work retire later. And whilst almost two-thirds of retirees in the Netherlands and Sweden have an additional occupational pension, the European average is 20%. The share data are freely available to the entire research community. indicators for key concepts of EU policy such as pension replacement rates, retirement incentives, savings adequacy, disability rates, health status, prevalence of health conditions, and well-being of the elderly. Within the Netherlands, the data collected in 2004 are being analyzed by approximately fifty researchers from most Dutch universities and several national institutions, such as the Social and Cultural Planning Office (SCP) and the National Institute for Public Health and the Environment (RIVM). Amongst the users of share data are the Netspar researchers Frederic Vermeulen and Gema Zamarro. The data gathering for the second wave of share will be completed in the summer of 2007. The information will become available in the autumn of this year. Netspar researchers were involved in the preparations for the second wave of share, which commenced on 1 November 2006. The project aims specifically at the changes over time, using the data gathered earlier for comparison. It will also look for answers to related hypotheses on labor such as, for example, will people save more when tax-friendly ways of retirement savings are introduced? And will they retire later if early retirement arrangements are made less generous? Arthur van Soest coordinates the compare project, which aims mainly to develop standardized tools for EU-wide research. compare is part of the second wave of share, and uses brief descriptions of hypothetical people to determine the differences in evaluation norms across different countries. compare thus develops anchors that can be used in several domains, addressing crucial domains of European public policy. A total of twenty-one European universities, including Tilburg University and Erasmus Medical Centre, are taking part in the share s second wave. share has been extended from the initial eleven European countries, to the new EU countries Poland and the Czech Republic, as well as Ireland and Israel. Similar existing data from research in England (the English Longitudinal Study of Ageing, ELSA) and the United States (the Health and Retirement Study, HRS) will enable comparative studies that also include these countries. benefits of a sound data infrastructure The resulting new data infrastructure will enable researchers from a very broad set of disciplines to analyze the Europe-wide aging process. It will provide better insight into adaptive labor in retirement, saving and health service use, and will allow researchers to develop cross-nationally comparable

graduate and post-academic education 35 Graduate and postacademic education As far as Netspar s educational program is concerned, the most exciting event has been the start of the Master s program Economics and Finance of Aging at Tilburg University. The program is meant for students who have completed a Bachelor s in economics, econometrics or business administration. It is also open to young professionals at the Netspar partners. Furthermore, the Netspar-UMBS Academy, a cooperative effort of Netspar with Maastricht University Business School, offered its first modules of international post-academic courses in March 2007. This initiative adds an academic and international orientation to the training opportunities that are currently available in the sector. graduate program: master of economics and finance of aging The program started in September 2006 with 30 students. The subdivision amongst them is excellent: approximately onethird are Dutch, one-third are from other European countries and one-third are non-european. In addition, several students from other Master s programs have chosen courses from the Netspar Master s program as electives. The students from abroad make a unique contribution with their specific knowledge, enthusiasm and talents. The infusion of new academic talent not only benefits Netspar and the Dutch pensions sector, but also helps other countries to build up a robust pensions system in the process. Netspar s aim for 2007 is to intensify our contacts with universities abroad. evaluation Throughout the first year the program was evaluated extensively, in order to gain insight into the students experiences and to become aware of issues that should be addressed. At the end of the first semester the students completed a questionnaire. The main conclusion was that the expectations of most students were met in the first semester of the program. 71% of the students considered their choice for this program as a good choice. The majority of the students (88%) found the program interesting and challenging. The most important complaints about the program, which almost all students agreed upon, were related to the amount and level of difficulty of mathematics in the program. internships Internships are a unique and important part of the Netspar Master s program. Most students will conclude the program by writing a Master s thesis, based on an internship with a Netspar partner institution, and supervised by a Netspar researcher. The internship process begins with the partners submitting specific and relevant issues to be researched. The students and their supervisors are then selected. This set-up ensures that students write their thesis on a subject that is relevant to the sector. It also stimulates interaction between Netspar researchers and the partners. The added value for the students is that they become more familiar with the pensions and insurance sector. The hosting companies are divided up quite evenly among the institutions in the sector. They include insurance companies, pension funds, government ministries and institutions such as the Sociale Verzekeringsbank SVB. During their internships, the students may, for example, investigate the costs of raising children in terms of human capital lost by the mother, or study whether housing wealth can be used to finance old-age health expenditures, or research to what extent pension contributions distort the labor market. The students began their internships at the end of March 2007. partner participation Apart from revealing the usual teething problems, the evaluation showed that the students are very satisfied and enthusiastic in general about the Netspar Master s program. The number of participating young professionals from the Netspar partner organizations is, however, not yet as large as we would like. Practice has shown that some participants have difficulties in combining a fulltime job and lectures. Netspar is therefore investigating how the program can be adapted to make it more attractive to young professionals. thesis award To encourage a wider interest among students in pensions and aging-related subjects, Netspar has introduced 3000 thesis prizes for the best Bachelor s and Master s thesis on subjects related to Netspar s research topics. Students from all participating universities can apply for these prizes.

36 netspar annual report 2006 graduate and post-academic education 37 erik van houwelingen board member aegon nederland nv member advisory board & partner council netspar Life insurance and pension companies are increasingly being faced with new external supervisory and regulatory requirements. As this requires further development of competencies within both risk- and asset and liability management, we are very interested in research ideas and results relating to this topic. More specifically, how can a life insurer reconcile its long-term investment horizon with its required short-term economic capital horizon? And can the fair value of certain insurance and pension products be valued using new valuation methodologies and financial instruments? We would like to focus considerable attention on the practical implementation of research results that deal with these types of questions. An additional area of interest to us, and to the industry as a whole, is obtaining a better understanding of how people make their investment choices with regard to securing sufficient income after retirement. Further development will aid us in guiding our clients when they make their personal choices in an increasingly complex pension environment. The Netspar Editorial Board selects the prizewinners. On January 26, 2007, during the ABP/VU/Netspar workshop, the first three Netspar thesis awards were presented. ABP chairman Dick Sluimers handed the award for best BSc thesis to Lisanne Sanders, the award for best MSc thesis to Ralph Stevens, and the award for best MPhil thesis to Jérémie Lefebvre. post-academic training for professionals: netspar-umbs academy Together with Maastricht University s Business School, Netspar has been preparing the post-academic college for professionals and decision makers. It is meant to become a permanent educational facility on all relevant issues on pensions, aging and retirement. The Academy will be Netspar s overall responsibility. Rob Bauer, of Maastricht University Business School, will run the day-to-day business. The Netspar/UMBS Academy is a unique combination of a multidisciplinary approach and interactive lecturing, based on themes, a balanced link between practice and science. Netspar has been developing three-day courses during which top lecturers from a variety of countries will present their views on relevant topics. One of the experts who has already been contracted for future courses is Roderick Munsters, chief investment officer of the 209 bn Dutch civil service pension fund ABP. included the start of the first module: Fair valuation and pension management. Canadian pensions authority Keith Ambachtsheer gave a presentation on pension fund governance. Further modules might focus on annuity markets (November 2007), life-cycle investing, international comparison of pension systems, and solvency risks for insurers and pension funds. Themes such as behavioral aspects in the choice of retirement provisions and early retirement policies are also possible. Important to remember, however, is that the curriculum of the Academy is responsive to our partners and the market. The partners can indicate their wishes via a special sounding-board committee. We are very interested in research ideas and results on external supervision and regulation The Netspar agenda in 2006 included numerous workshops and conferences where a wide range of research topics, both theoretical and practical, were covered. We were able to learn more about the progress and results of the extensive Netspar research program. These highly productive meetings gave us the opportunity as a Netspar partner to enter into discussions with researchers, gain new insights and implement new methodologies in practice. In my opinion, this has been a very successful year for Netspar and its partners. Every course will focus on a specific theme for the target groups: managers and policymakers at pension funds, insurance companies, public sector and supervisory boards, on the one hand, and professionals from the financial and the public sector, on the other hand. Each course will offer space for 45 participants. Netspar s partners can claim 25 places. The Netspar-UMBS Academy helps insurance companies, pension funds and the public sector to take advantage of the many opportunities offered by this exciting but challenging time by treasuring their most important resource: the human and intellectual capital of their professionals, managers and board members. The Netspar-UMBS Academy brings together people from different backgrounds and countries to learn from each other. Networking will go hand-inhand with lifelong learning. unique in the world Due to the level of the courses, and their international and interactive character, the Netspar/UMBS Academy is probably unique in the world. On March 19, 2007, the official launch also

38 netspar annual report 2006 netspar events 39 Netspar Workshop with ABP and VU Amsterdam, January 24-26, 2007 1. Christian Gollier (University of Toulouse) 2. Gur Huberman (University of Columbia) 3. Mark Rutte (Dutch Liberal Party VVD) in conversation with Theo Nijman (Netspar, l.) and Lex Meijdam (Netspar) 4. Edith Snoey (ABVAKABO FNV), Dick Sluimers (ABP) and Mark Rutte (VVD) Official opening of the Netspar-UMBS Academy, March 19, 2007 5. Keynote speaker Keith Ambachtsheer (ICPM/Univ. of Toronto) 6. Dirk Witteveen (DNB) Annual Conference with DNB and IOPS, March 22-23, 2007 Frontiers in Pension Finance and Reform 7. Svi Bodie in lively debate (Boston University) 8. Keynote speaker Lucas Papademos (ECB) 9. The organization committee, l. to r. Aerdt Houben (IOPS), Dirk Broeders (DNB) and Sylvester Eijffinger (UvT/Netspar) Winners Netspar Thesis Awards 2006 10. ABP chairman Dick Sluimers hands the awards to Ralph Stevens, Master of Science Stakeholders meeting, March 29, 2007 11. Representatives of Verbond van Verzekeraars, Vereniging van Bedrijfstakpensioenfondsen, Stichting Ondernemingspensioenfondsen and Unie van Beroepspensioenfondsen have just signed the agreement with Netspar 12. Kees Koedijk (l, UvA) in discussion with Coen Teulings (CPB/Netspar) 1 3 5 2 4 6 7 9 11 8 10 12

40 netspar annual report 2006 coen teulings director cpb netherlands bureau for economic policy analysis scientific advisor netspar The most beautiful flowers grow on the edge of the cliff. This saying is a good metaphor for the economists insight into the relationship between benefits and risk. The person who wants to get the highest return must be willing to take high risks. This relationship plays a crucial role in the investment of our pension capital, and consequently for the design of pension contracts and the supervision of pension funds. In research conducted in cooperation with Casper de Vries, I examined what the optimum pension contract looks like assuming that every generation invests for its own benefit and risk. This analysis led to the identification of a number of reasonable guidelines for achieving an optimum contract but they are not always evident in the present contracts. Young people should take high risks when they invest; older people should follow a much more conservative investment rule. Each generation only wants to accept the good risks, and will reject the bad ones An identical shock in the investments value would, in terms of percentage, have exactly the same effect on the future consumption of every generation. These rules differ from the classically defined rights regulations, where the pension claim is carved in granite, and the premium payment is the place where all of the flexibility is sought. New research attempts to generalize these results across a number of fields for instance, by looking not only at the investment risks, but also at the wage risks, or by taking into account habit formation in consumer behavior. An important new line is the research into the dispersal of risks between generations i.e., what is the surplus value of intergenerational solidarity? In most cases there is no such surplus value. Solidarity between generations can be organized perfectly via normal capital market transactions. One generation buys risk (read: shares), the other buys security (read: stocks). However, generations can hardly participate in risks that take place before their birth, simply because they are not yet capable of deciding about whether to accept these risks. The problem is that afterwards each generation only wants to accept the good risks, and will reject the bad ones. An optimal dispersal of the risks makes participation in the risks before birth, however, desirable. This is exactly what pension funds implicitly realize. The aim of the research is to gain an understanding of the conditions under which it will, nevertheless, be possible to commit future generations to their obligation to share the current risks.

sharing knowledge 43 Building links with the pensions and insurance sectors Sharing knowledge In 2006, Netspar organized a variety of activities to share knowledge with its partners and to stimulate discussions aimed at encouraging social innovation in the pensions and insurance sectors. knowledge sharing and networking through events Netspar anticipated developments in public policy by, for example, offering Wouter Bos, the leader of the labor party (PvdA) at the time still in the opposition the platform to reveal his vision on the future of the welfare state and its role in securing old-age pensions in an aging society. Netspar, CPB and SER brought together a group of top economists and policymakers in a two-day conference in April, to discuss the future of the European welfare state. In addition, some of our researchers commented on the projections carried out by CPB on the budgetary consequences of aging. Netspar s scientists exchanged expertise with representatives of our partners during a dozen Pension Days strategic meetings with the pensions sector by presenting and discussing papers from both sides. Netspar researchers also participate in study groups, in which they respond to specific ideas from the sector. At the moment, we are arranging the first internships for Netspar Msc students with our partners. Another highlight was the pension workshop in Maastricht on longevity risk, with international top contributors, such as annuities expert Jeffrey Brown. Based on our experiences during the past year, we have extended our workshops from two to three days, and have decided to include an academic conference. The available time for the presentation of relevant issues and questions from the sector will be doubled to a whole day. Moreover, we will increasingly target specific groups for our meetings, and provide more clarity on the themes in advance. In conjunction with the Dutch pensions regulator De Nederlandsche Bank, Netspar hosted a large international conference in March 2007 that focused on the future of pension supervision and pension finance around the world. This successful conference featured the contributions of a great number of international experts. In order to raise the profile of the Dutch pensions sector, we are seriously considering organizing a conference in Zurich. A number of closed informal meetings have proven to be very useful. Out of the limelight, participants feel free to discuss issues more openly. This makes it much easier to understand the real arguments. In these meetings we addressed topics such as transparency on indexation of entitlements, the sustainability of the government budget and the proposals for revised legislation on the role of insurers and pension funds (IORP directive). Netspar has been able to extend the knowledge sharing by involving the four pension umbrella organizations in its network. The Association of Industry-wide Pension Funds (VB), the Foundation of Company Pension Funds (Opf), the Association of Occupational Pension Funds (UvB) and the Dutch Association of Insurers (VvV) will have access to our informal theme meetings. In exchange, the umbrella organizations will promote Netspar and make their data available for our research as well. As a public-private partnership, Netspar is uniquely positioned to build links within the pensions and insurance sectors. By enabling the various participants to network with each other and to discuss longer-term strategic issues, Netspar aims to strengthen mutual trust, open channels of communication, and build common visions. discussion through papers In addition to publishing reference papers containing literature surveys for the sector Netspar has introduced Netspar Economic Advisors (NEA) papers, in which researchers state their views in order to encourage debate. NEA papers will be presented on two Debate Days. The results will be published afterwards. Netspar also commissions research papers on a variety of topics. Partners are invited to comment on some of these papers before they are published. Another project in the works is the set-up of a pensions barometer to be updated every half year that indicates the expectations of the Dutch citizens on their future pensions. training human and intellectual capital The pensions and insurance sectors benefit also from Netspar s education programs. The Master of Science program and the recently launched academy for professionals, the Netspar-UMBS Academy, bring people from different backgrounds and countries together to learn from each other. This mix of nationalities and backgrounds stimulates discussions on the advantages and disadvantages of different pension schemes, and could in the future be instrumental in exporting pension knowledge. By serving as interns with our partners, the MSc students will be well placed to bridge the gaps between academia and the practice of the pensions and insurance sectors.

44 netspar annual report 2006 45 Supplements luis viceira associate professor, graduate school of business administration, harvard university member scientific council netspar I think that Netspar has made substantial contributions to our understanding of pensions and pension financing. By sponsoring fundamental research, Netspar is helping its partners to think very carefully about issues such as risk management, performance evaluation, asset liability management, and the valuation of pension liabilities. Going forward, I think that pension governance is an important topic in pension research. Pension fund management is becoming increasingly professional throughout Europe, particularly in the Netherlands. The importance of good governance in achieving the objectives of ensuring financial protection for people after retirement is gaining wider attention. Netspar is playing a leading role in this and that s good. Pension reform is another topic on Netspar s agenda that I consider to be important. I am most familiar with Netspar s output on issues such as pension asset liability management. This output is very high quality and is making a real impact on the world. The research that Netspar is funding is well received throughout the world. It is published in the most highly respected journals and is having a direct impact on practitioners. Pension governance is an important topic in pension research In addition, Netspar s educational contribution is highly significant. The Masters program in Pension Finance Management is very interesting definitely a positive development. Likewise, the Netspar-UMBS Academy is an important initiative, as it brings together academics and practitioners and helps to establish a link by which basic research translates into practice in the pension finance industry, and by which the issues and questions faced by pension fund managers translate into compelling academic research. The mutual feedback that takes place through these programs enhances both practice and research. These are all important steps, and very welcome.

46 netspar annual report 2006 about netspar 47 Organization Governance in 2006 Scientific Advisors Program Coordinators Faculty Theme Coordinators Scientific Council Editorial Board Advisory Board Board of Scientific Directors MSc Program Director Partner Council Sounding Board Netspar-UMBS Academy Netspar-UMBS Academy Director Fellows Managing Director Staff Advisory Board Hans Bosselaar, Stichting Instituut GAK Dick den Hertog, UvT Carel Hooghiemstra, ABN AMRO Theo Langejan, SZW Erik van Houwelingen, AEGON Franz Palm, UM Joep Schouten, Cordares Dick Sluimers, ABP Roeland van Vledder, Fortis Fons van de Vijver, UvT Tom Wansbeek, RuG Partner Council Jan Marc Berk, DNB Merel van Bevervoorde, ING Karin Bitter, Interpolis Hans Bosselaar, Stichting Instituut Gak Gerard Bosman, MN Services Maarten Camps, SZW Heino van Essen, PGGM Erik van Houwelingen, AEGON Robert Olieman, SVB Tom Steenkamp, ABP Adri van der Wurff, Cordares Jan Tamerus, PGGM Willem van der Vorm, Fortis ASR Guus Wouters, Achmea Scientific Council David Blake, City University London Richard Blundell, University College London Zvi Bodie, Boston University Tito Boeri, University of Bocconi Axel Borsch-Supan, University of Mannheim Paul Embrechts, ETH-Zentrum (Zürich) Olivia Mitchell, University of Pennsylvania Luis M. Viceira, Harvard University David Wise, Harvard University Scientific Directors Lans Bovenberg, UvT Arie Kapteyn, UvT and RAND Corporation (until October 2006) Lex Meijdam, UvT (as of April 2006) Theo Nijman, UvT Arthur van Soest, UvT and RAND Corporation (as of October, 2006) Scientific Advisors Coen Teulings, CPB Kees Koedijk, EUR Arie Kapteyn, RAND Fellows Dick de Beus, ex-pggm Jean Frijns, ex-abp Jan Nijssen, ex-ing Jan Overmeer, ex-aegon Bert de Vries, ex-minister of Social Affairs Editorial Board Karin Bitter, Interpolis Maarten Camps SZW Henk Don, EUR Peter Kooreman, UvT Rick van der Ploeg, European University Institute (chair) Tom Steenkamp, ABP Marno Verbeek, EUR Sounding Board Netspar-UMBS Academy Else Bos, PGGM Gordon Clark, Oxford University Sven Hougaard Jensen, Copenhagen Business School Klaas Knot, DNB Theo Langejan, SZW Maarten Lindeboom, VU Jan Overmeer, Netspar fellow, chairman Antoon Pelsser, UvA Peter Schotman, UM Program Coordinators Macro program: Ben Heijdra, RuG Meso program: Frank de Jong, UvA and UvT Micro program: Ron Alessie, UU and Matthijs Kalmijn, UvT Theme Coordinators Themes 2005-2006 Maarten Lindeboom, VU and Eddy van Doorslaer, EUR Peter Schotman, UM Antoon Pelsser, UvA Themes 2006-2007 Rob Alessie, UU and Arthur van Soest, UvT Johan Mackenbach, EUR Casper van Ewijk, UvA/CPB MSc Program Director Bertrand Melenberg, UvT Netspar-UMBS Academy Director Rob Bauer, UM Managing Director Mylène Zwaans support staff Communications Officer Margreet Punt-van der Beek EU-Liaison Officer Marie-Louise Kemperman Policy Officers Martijn van Gruijthuijsen Fred Hoogeland Ilse Souhail-van der Pol Teamleader Secretarial Office / Coordinator Conferences & Events Lenie Laurijssen-Leenheer Personal Assistants Mirjam van der Poel Sylvia Geurdes-Hanhart Secretaries Sabrina Corsen-de Smet Sylvia van Drogenbroek

48 netspar annual report 2006 about netspar 49 Researchers Income and expenses 2004-2011 Micro Meso Macro Budget Netspar total (including contributions in kind) Senior researchers Alessie, R. UU Berg, G. van den VU Bleichrodt, H. EUR Bloemen, H. VU Doorslaer, E. van EUR Heijden, E. van der UvT Henkens, K. NIDI Kalmijn, M. UvT Kapteyn, A. UvT Klaauw, B. van der VU Kooreman, P. RuG Lindeboom, M. VU Mastrogiacomo, M. CPB O Donnell, O. EUR Potters, J. UvT Raaij, F. van UvT Rooij, M. van DNB Rouwendal, J. VU Soest, A. van UvT Junior researchers Binswanger, J. UvT* Carman, K. UvT* Coe, N. UvT* Hochguertel, S. VU Lundborg, N.P. VU * Marreiros Baog d Uva, T. EUR * Monden, C. UvT * Ourti, T. van EUR Teppa, F. EUR Vermeulen, F. UvT * Vries, J. de UvT Zamarro, G. UvT * Senior researchers Bauer, R. UM Driessen, J. UvA Eicholtz, P. UM Goovaerts, M. UvA Jong, F. de UvT / UvA Kaas, R. UvA Melenberg, B. UvT Nijman, T. UvT Pelsser, A. UvA Prast, H. UvT Schotman, P. UM Schumacher, H. UvT Verbeek, M. EUR Vlaar, P. DNB Waegenaere, A. de UvT Werker, B. UvT Junior researchers Baele, L. UvT* Inkmann, J. UvT* Mahieu, R. EUR PhD students Dai, R. UvT Diris, B. UM Frehen, R. UM Nies, K. UM Shi, Z. UvT Weidenmuller EUR Senior researchers Beetsma, R. UvA Boone, J. UvT Bovenberg, L. UvT Broer, P. UvT Eijffinger, S. UvT Euwals, R. CPB Heeringa, W. DNB Heijdra, B. RuG Hek, P. de CPB Huizinga, H. UvT Jongen, E. CPB Koedijk, K. EUR Kool, C. UU Meijdam, L. UvT Mooy, R. de CPB Perotti, E. UvA Ponds, E. ABP Teulings, C. CPB / UvA Verbon, H. UvT Wijnbergen, S. van UvA Junior researchers Jacobs, B. UvT / UvA* PhD students Hollander, D. UvA all amounts in k 2004 2005 2006 2007 2008 2009 2010 2011 Total actual actual budget budget budget budget budget budget income cash flows Tilburg University 168 852 860 830 808 755 760 426 5.459 Other Universities 0 316 717 1.063 1.489 1.752 1.556 1.527 8.420 NWO Spinoza 53 125 250 250 250 250 250 72 1.500 Government Funding 0 1.970 1.970 1.970 3.000 3.000 3.000 3.000 17.910 GAK Institute Foundation 0 250 250 250 250 250 250 0 1.500 Private Partners 300 1.250 1.300 1.600 1.300 1.300 1.300 50 8.400 Public Institutions 0 329 370 380 360 370 361 140 2.310 Other 45 94 366 569 610 485 455 340 2.964 Total income 566 5.185 6.084 6.912 8.067 8.162 7.931 5.555 48.463 costs cash flows Scientific Directors & Coordination 135 381 534 541 555 568 583 597 3.894 Themes 0 0 1.150 2.395 3.618 4.448 3.944 3.847 19.403 Senior Faculty 102 1.266 1.215 962 747 661 609 486 6.048 Junior Faculty 0 147 425 599 600 605 618 489 3.481 PhD & MPhil Students 0 23 208 396 577 638 497 428 2.767 Education 0 21 210 194 154 134 124 86 923 Visitors 0 0 120 120 120 120 120 120 720 International Grants 0 0 55 80 80 80 80 80 455 Panel Papers 0 0 142 105 105 105 105 105 667 Conferences & Workshops 0 74 165 150 145 145 145 145 969 PhD students Operation Costs & Miscellaneous 117 547 819 1.154 1.059 860 871 828 6.255 Bolhaar, J. VU Data 0 30 100 100 100 100 100 100 630 Erdogan-Ciftci, E. EUR Kippersluis, J. van EUR Knoef M. UvT Vonka, D. UvT Wiel, K. van der UvT Unforeseen 0 0 375 375 375 375 375 375 2.250 Reservation Personnel Fund 0 250 800 800 0-600 -600-650 0 Total costs 354 2.739 6.318 7.972 8.235 8.238 7.571 7.036 48.463 * Tenure Tracker

50 netspar annual report 2006 netspar output 51 Output Published and forthcoming papers (April-December 2006) Alessie, R.J.M., Brugiavini, A., & Weber, G. Saving and cohabitation: The economic consequences of living with one s parents in Italy and the Netherlands. In Clarida, R. H., Frankel, J.A., Giavazzi, F., & West, K.D. (Eds), NBER International Seminar on Macroeconomics 2004 (pp. 413-441). MIT Press. Alessie, R.J.M., Hochguertel, S., & Soest, A.H.O. van Non-take-up of tax-favored savings plans: evidence from Dutch employees. Journal of Economic Psychology, 27, 483-501. Bauer, R., Clark, G., & Wojcik, D. Corporate governance, cross-listing, and managerial response to stock price discounting: Royal Ahold and market arbitrage Amsterdam and New York, 1973 2004. Journal of Economic Geography, 6 (3), 303-322. Bauer, R., Hoevenaars, R., & Steenkamp, T. Asset liability management. In Clark, G., Munnell, A. & Orszag, M. (Eds.), The Oxford Handbook of Pensions and Retirement Income. Oxford University Press. Bauer, R., & Hummels, H. Van Stille Kracht Naar Stille Macht: Pensioenfondsen in Gesprek met Ondernemingen over Corporate Governance en Maatschappelijk Handelen. Van Gorcum. Bauer, R., Otten, R., & Tourani Rad, A. Ethical investing in Australia: Is there a financial penalty? Pacific Basin Finance Journal, 14 (1), 33-48. Bauer, R., Otten, R., & Tourani Rad, A. New Zealand mutual funds: Measuring performance and persistence. Accounting and Finance, 46 (3), 347-363. Bauer, R., Sprinkhuizen-Kuyper, I., & Nalbantov, G. Style timing using support vector regressions. Applied Financial Economics, 16, 1095-1111. Beetsma, R.M.W.J., & Debrun, X. The new stability and growth pact: A first assessment. European Economic Review, 51 (2), 453-477. Berg, G.J. van den, Lindeboom, M., & Dolton, P. Survey non-response and unemployment duration. Journal of the Royal Statistical Society, Series A, 169 (3), 585-604. Berg, G.J. van den, Lindeboom, M., & Portrait, F.R.M. Economic conditions early in life and individual mortality. American Economic Review, 96 (1), 290-302. Bettendorf, L.J.H., & Heijdra, B.J. Population ageing and pension reform in a small open economy with non-traded goods. Journal of Economic Dynamics and Control, 30 (12), 2389-2424. Bovenberg, A.L. Verzekerde vergrijzing. Economenblad, 29 (april/mei), 7-9. Bovenberg, A.L. De toekomst van de levensloopregeling. In Kaverlaars, P. & Albrechtse, D. (Eds.) Maatschappelijk Heffen, Liber Amicorum Leo Stevens (pp. 101-116). Kluwer. Bovenberg, A.L. Levensloop als Proeftuin voor een Economische Bril. Stichting Landelijke Werkgroep Economie Onderwijs. Bovenberg, A.L., Boender, C.F.E., Hoogdalem, S. van, & Nijman, T.E. Optimale risicodeling in individuele en collectieve pensioencontracten. In Lecq, S.G. van der & Steenbeek, O. (Eds.), Kosten en Baten van Collectieve Pensioensystemen (pp. 97-118). Kluwer. Bovenberg, A.L., Boeri, T., Coeuré, B., & Roberts, A. Dealing with the New Giants: Rethinking the Role of Pension Funds. International Center for Monetary and Banking Studies. Bovenberg, A.L., & Boone, J. Optimal welfare and in-work benefits with search unemployment and observable abilities. Journal of Economic Theory, 126, 165-193. Bovenberg, A.L., & Jacobs, B. Voortschrijdend inzicht in de vergrijzing. Tijdschrift voor Openbare Financiën, 38 (2), 62-79. Bovenberg, A.L., Mackenbach, J.P., & Mehlkopf, R.J. Een eerlijk en vergrijzingbestendig ouderdomspensioen. Economische Statische Berichten, 91 (4500), 648-651. Bovenberg, A.L., & Teulings, C.N. Vlaktaks: Voor- en nadelen. In Kam, C.A. de & Ros, A.P. (Eds.), De Vlaktaks: Naar een Inkomstenbelasting met een Uniform Tarief? (pp. 79-88). Wim Drees Stichting voor Openbare Financiën. Dalen, H.P. van, & Henkens, K. Vertrouwen in pensioenfondsen: Wie kennis vermeerdert Economisch Statistische Berichten 91 (4499), 616-618. Dalen, H.P. van, & Henkens, K. De vloek van de keuzevrijheid. Pensioen Bestuur & Management, 3 (1), 32-35. Dalen, H.P. van, & Henkens, K. When the Quality of a Nation Triggers Emigration. Tinbergen Institute Discussion Paper TI 2006-026/1. Tinbergen Institute. Dalen, H.P. van, Henkens, K., Henderikse, W., & Schippers, J. Dealing with an Ageing Labour Force: What do European Employers Expect to Do?, NIDI report no. 73. Netherlands Interdisciplinary Demographic Institute. Dalen, H.P. van, Henkens K., & Hershey, D.A. Keuzevrijheid pensioen: Vloek voor de één, zegen voor de ander. Demos, Bulletin over Bevolking en Samenleving 22 (1), 1-4. Decamps, M., Schepper, A. de, & Goovaerts, M.J. A path-integral approach to asset-liability management. Physica A, 363 (2), 404-416. Doorslaer, E. van, Balia, S., Bago d Uva, T., Gambin, L., Hernandez Quevedo, C., Jones, A.M., Koolman, X., & Rice, N. Health and wealth: Empirical findings and political consequences. Perspektiven der Wirtschaftpolitik, 7, 93-112. Doorslaer, E. van, & Bleichrodt, H. A welfare economics foundation for health inequality measurement. Journal of Health Economics, 25 (5), 945-957. Dykstra, P. A., Kalmijn, M., Knijn, T.C.M., Komter, A.E., Liefbroer, A.C., & Mulder, C.H. (Eds.) Family Solidarity in the Netherlands. Dutch University Press, 157 pp. Eichholtz, P.M.A. The real liquidity of European real estate shares. Europe Real Estate Yearbook. Eichholtz, P.M.A. Demographics and the demand for alternative property products. IPE Real Estate, September. Eichholtz, P.M.A., Clayton, J., Geltner, D., & Miller, N. Commercial Real Estate Analysis and Investments, 2nd Edition. Southern Publishing. Eichholtz, P.M.A., & Kok, N. Demographics and the demand for Belgian real estate. Belgium Real Estate Yearbook. Eichholtz, P.M.A., & Theebe, M. Housing Market Rents in the Long Run, Amsterdam, 1550-1850. Maastricht University. Ekamper, P., & Henkens, K. Vergrijzing: Kansen en knelpunten op de arbeidsmarkt. Demos, Bulletin over Bevolking en Samenleving, 22 (6), 57-60. Ekamper, P., & Henkens, K. Werkgevers zien oudere werknemer nog vooral als kostenpost. Arbeidsmarkt Journaal 6 (1), 9-11. Euwals, R., & Hogerbrugge, M. Explaining the growth of part-time employment: Factors of supply and demand. Labour, 20 (3), 533-557. Ewijk, C. van, Jacobs, B., & Mooij, R.A. de Doelmatigheidswinst van minder hypotheekrenteaftrek. Economisch Statistische Berichten, 91 (4489), 292-295. Heijdra, B.J., Kooiman, J.P., & Ligthart, J.E. Environmental quality, the macro economy, and intergenerational distribution. Resource and Energy Economics, 28 (1), 74-104. Heijdra, B.J., & Ligthart, J.E. The macroeconomic dynamics of demographic shocks. Macroeconomic Dynamics, 10 (3), 349-370. Henkens K., & Kalmijn, M. Labor market exits of older men in the Netherlands: An analysis of survey data 1979-1999. In Blossfeld, H.P., Buchholz, S., & Hofäcker, D. (Eds.), Globalization, Uncertainty and Late Careers in Society (pp. 79-100). Routledge. Henkens, K., & Solinge, H. van Oudere werkt langer door; arbeidsdeelname van 65-plussers: Feiten, motieven en draagvlak. Gids voor Personeelsmanagement, 85 (2), 22-24. Henkens, K., & Solinge, H. van Werken na 65 jaar; aanbod stijgt maar vraag blijft achter. Demos, Bulletin over Bevolking en Samenleving, 22 (4), 39-40. Hoevenaars, R.P.M.M., & Ponds, E.H.M. Waardeoverdrachten tussen generaties binnen een bedrijfstakpensieonfonds. In Lecq, S.G. van der & Steenbeek, O. (Eds.), Kosten en Baten van Collectieve Pensioensystemen. Kluwer. Huizinga, H.P., & Nicodème, G. Foreign ownership and corporate income taxation: An empirical evaluation. European Economic Review 50 (5), 1223-1244. Huizinga, H.P., & Nicodème, G. Deposit insurance and international bank liabilities. Journal of Banking and Finance 30 (3), 965-987. Hershey, D.A., K. Henkens, & van Dalen, H.P. Mapping the minds of retirement planners; a cross-cultural perspective, Tinbergen Institute Discussion Paper TI 2006-038/1, Tinbergen Institute, 35 pp. Jacobs, B. De Scandinavische mythe. Economisch Statistische Berichten, 91 (4490). Jacobs, B. Experiment open bestel gedoemd te mislukken. Economisch Statistische Berichten, 91 (4500). Jacobs, B. Over de politieke economie van de vergrijzing en het conflict tussen de generaties. In Brink, D. van den & Heemskerk, F. (Eds), De Vergrijzing Leeft. Bert Bakker. Jacobs, B., & Bovenberg, A.L. Voortschrijdend inzicht in de vergrijzing. Tijdschrift voor Openbare Financiën, 38 (2), 62-79. Jacobs, B., & Bovenberg, A.L. Redistribution and Education Subsidies are Siamese Twins (Part II) Comment and Extensions. Mimeo: University of Amsterdam/Tilburg University. Jacobs, B., Mooij, R.A. de, & Folmer, C. Vlaktaks en arbeidsparticipatie. In Kam, C.A. de & Ros, A.P. (Eds.), De Vlaktaks: Naar een Inkomstenbelasting met een Uniform Tarief? Wim Drees Stichting voor Openbare Financiën. Jacobs, B., & Ploeg, F. van der Guide to reform of higher education: A European perspective. Economic Policy, 47, 537-592. Jacobs, B., & Ploeg, F. van der Getting European universities into shape. European Political Science, 5, 288-303.

52 netspar annual report 2006 netspar output 53 Published and forthcoming papers (January-March 2007) Jacobs, B., & Webbink, D. Het rendement op onderwijs blijft stijgen. Economisch Statistische Berichten, 90 (4492), 405-407. Jong, C. de, Koedeijk, K., & Schnitzlein, C. Stock market quality in the presence of a traded option. Journal of Business, 79 (4), 2243-2274. Kalmijn, M. Educational inequality and family relationships: Effects on contact and proximity. European Sociological Review, 22, 1-17. Kalmijn, M., & Clara, H. Geographical distances between family members. In Dykstra, P.A., Kalmijn, M., Knijn, T.C.M., Komter, A.E., Liefbroer, A.C. & Mulder, C.H. (Eds.), Family Solidarity in the Netherlands (pp. 43-62). Dutch University Press. Kalmijn, M., & Dykstra, P.A. Differentials in face-to-face contact between parents and their grown-up children. In Dykstra, P.A., Kalmijn, M., Knijn, T.C.M., Komter, A.E., Liefbroer, A.C. & Mulder, C.H (Eds.), Family Solidarity in the Netherlands (pp. 63-88). Dutch University Press. Kalmijn, M., & Luijkx, R. Changes in women s employment and occupational mobility in the Netherlands: 1955 to 2000. In Blossfeld, H.-P. & Hofmeister, H. (Eds.), G lobalization, Uncertainty, and Women s Careers: An International Comparison (pp. 84-115). Edward Elgar. Kalmijn, M., Luijkx, R., & Muffels, R.J.A. The impact of globalization on job and career mobility of Dutch men: Life-history data from the mid-1950s to the year 2000. In Blossfeld, H.-P., Mills, M. & Bernardi, F. (Eds.), Globalization, Uncertainty, and Men s Careers: An International Comparison (pp. 117-145). Edward Elgar. Kalmijn, M., & Monden, C.W.S. Are the effects of divorce on well-being dependent on marital quality? Journal of Marriage and Family, 68 (5), 1197-1213. Knaap, T., & Grotenhuis, M. Vergrijzing in de regio: Een projectie van de regionale gevolgen van de vergrijzing. Kwartaalschrift Economie, 3 (4), 445-458. Kole, E., Koedijk, K., & Verbeek, M.J.C.M. Portfolio implications of systemic crises. Journal of Banking and Finance, 30 (8), 2347-2369. Kortleve, N., Nijman, T.E., Ponds, E.H.M. (Eds.) Fair Value and Pension Fund Management. forthcoming, Elsevier Science. Kortleve, N., Nijman, T.E., & Ponds, E.H.M. Marktwaardering van Pensioenverplichtingen en het Beleid van Pensioenfondsen. Stichting Pensioenwetenschap. Mooij, R.A. de Reinventing the Welfare State. CPB Special Publication no. 60. CPB Netherlands Bureau for Economic Policy Research. Nijman, T.E. Strengths and weaknesses of the Dutch standardized approach to measure solvency risk for pension plans. Life and Pensions, April, 34-40. Nijman, T.E., & Koijen, R.S.J. Valuation and risk management of inflation sensitive pension rights. In Kortleve, N., Nijman, T.E., & Ponds, E.H.M. (Eds.), Fair Value and Pension Fund Management. Elsevier Science. Perotti, E.C., & Thadden, E. von The political economy of corporate control and labor rents. Journal of Political Economy, 114 (1), 145-175. Ponds E.H.M., Deken, J. de, & Riel, B. van Social solidarity. In Clark, G., Munnell, A. & Orszag, M. (Eds.), Oxford Handbook of Pensions and Retirement Income. Oxford University Press. Ponds E.H.M., & Kortleve, N. Pension deals and value-based ALM. In Kortleve, forthcoming N., Nijman, T.E., & Ponds, E.H.M. (Eds.), Fair Value and Pension Fund Management. Elsevier Science. Rooij, M.C.J. van, Els, P.J.A. van, & Schuit, M.E.J. Nut en noodzaak van verplicht pensioensparen. In Lecq, S.G. van der & Steenbeek, O. (Eds.), Kosten en Baten van Collectieve Pensioensystemen (pp. 191-220). Kluwer. Rouwendal, J., & Meijer, E. Measuring welfare effects in models with random coefficients. Journal of Applied Econometrics, 21, 227-244. Schotman, P.C., & Zalewska, A. Non-synchronous trading and testing for market integration in Central European emerging markets. Journal of Empirical Finance, 13, 462-494. Teulings, C.N., & Vries, C.G. de Generational accounting, solidarity and pension losses. De Economist, 127 (1), 63-83. Velladics, K., Henkens, K., & Dalen, H.P. van Do different welfare states engender different policy preferences? Opinions on pension reforms in Eastern and Western Europe. Ageing & Society, 26 (3), 475-495. Verbon, H.A.A. Vergrijzing, activerende sociale zekerheid en solidariteit: Een reactie op Overmoed en Onbehagen door Bert de Vries. In Schiks, J.A. (Ed.), Economie, Ideologie en Verzorgingsstaat. Tilburg University Press. Verbon, H.A.A., Guth, W., & Sutter, M. Voluntary versus compulsory solidarity: theory and experiment. Journal of Institutional and Theoretical Economics, 162 (2), 347-363. Vrugt, E., Bauer, R., Molenaar, R., & Steenkamp, T. Dynamic commodity timing strategies. In Till, H. & Eagleeye, J. (Eds.), Intelligent Commodity Investing. Risk Books. Alessie, R.J.M., Mastrogiacomo, M., & Schors, A. van der Home and mortgage ownership of the Dutch elderly, explaining cohort, time and age effects. Forthcoming in De Economist. Baele, L., Pungulescu, C., & Horst, J.R. ter Model uncertainty, financial market integration, and the home bias puzzle. Forthcoming in the Journal of International Money and Finance. Binswanger, J. Risk management of pensions from the perspective of loss aversion. Forthcoming in Journal of Public Economics. Broer, D.P. Computable general equilibrium models in policy analysis: Future directions. Forthcoming in Alho, J. M., Lassila, J. & Jensen, S.E.H. (Eds.), Uncertain Demographics and Fiscal Sustainability. Cambridge University Press. Derwall, J., Bauer, R., & Otten, R. The ethical mutual fund performance debate: New evidence from Canada. Journal of Business Ethics, 70 (2), 111-124. Doorslaer, E. van, Jones, A.M., & Koolman, X. The impact of supplementary private health insurance on the use of specialists in selected European countries. Forthcoming in Annales d Economie et de Statistique. Driessen, J.J.A.G., Cremers, M., & Maenhout, P. Explaining the level of credit spreads: Optionimplied jump risk premia in a firm value model. Forthcoming in Review of Financial Studies. Drost, F.C., Werker, B.J.M., & Boes, M.J. The impact of overnight periods on option pricing. Forthcoming in Journal of Financial and Quantitative Analysis. Eichholtz, P.M.A., Brounen, D., & Ling, D. Trading intensity and real estate performance. Forthcoming in Journal of Real Estate Finance and Economics. Eichholtz, P.M.A., Clapp, J., Geltner, D., & Peng, L. Four centuries of location value: Implications for real estate capital gain in central places. Forthcoming in Journal of Housing Economics. Eichholtz, P.M.A., & Kok, N. How does the market for corporate control function for property companies. Forthcoming in Journal of Real Estate Finance and Economics. Eichholtz, P.M.A., Kok, N., & Wolnicki, B. Who should own senior housing? Forthcoming in Journal of Real Estate Portfolio Management. Goovaerts M.J., Vanduffel, S., & Dhaene, J. On the evaluation of saving-consumption plans. Forthcoming in Journal of Pension Economics and Finance. Groezen, B.J.A.M., & Meijdam, A.C. Growing old and staying young: Population policy in an ageing closed economy. Forthcoming in Journal of Population Economics. Groezen, B.J.A.M. van, Meijdam, A.C., & Verbon, H.A.A. The case for Pay-As-You-Go pensions in a service economy. Forthcoming in Scottish Journal of Political Economy. Groezen, B.J.A.M. van, Meijdam, A.C., & Verbon, H.A.A. Increased pension savings: Blessing or curse? Social security in a two-sector economy. Forthcoming in Economica. Heckman, J.J., & Jacobs, B. Policies to create and destroy human capital in Europe. Forthcoming in Sinn, H.-W. & Phelps, E. (Eds.), Perspectives on the Performance of the Continent s Economies. MIT Press. Heijden, E.C.M. van der, Nelissen, J.H.M., & Potters, J.J.M. Opinions on the tax deductibility of mortgages and the consensus effect. Forthcoming in De Economist. Heijdra, B.J., & Ligthart, J.E. Fiscal policy, monopolistic competition, and finite lives. Journal of Economic Dynamics and Control, 31 (1), 325-359. Jacobs, B. Optimal tax and education policies and investments in human capital. Forthcoming in Hartog, J. & Maassen van den Brink, H. (Eds.), Human Capital: Moving the Frontier. Cambridge University Press. Jacobs, B., & Wijnbergen, S.J.G. van Capital market failure, adverse selection and optimal financing of higher education. Forthcoming in Finanz Archiv. Jong, F.C.J.M. de Pension fund investments and the valuation of liabilities under conditional indexation. Forthcoming in Insurance: Mathematics and Economics. Kalmijn, M. Gender differences in the effects of divorce, widowhood, and remarriage on intergenerational support: Does marriage protect fathers? Forthcoming in Social Forces. Kalmijn, M., Loeve, A., & Manting, D. Income dynamics in couples and the dissolution of marriage and cohabitation. Forthcoming in Demography. Kapteyn, A., Smith, J.P., & Soest, A.H.O. van Vignettes and self-reports of work disability in the US and The Netherlands. Forthcoming in American Economic Review. Koijen, R.S.J., Binsbergen, J.H. van, & Brandt, M. Optimal decentralized investment management. Forthcoming in The Journal of Finance.

54 netspar annual report 2006 netspar output 55 Discussion Papers and NEA Papers (April-December 2006) Kuijpers, B., & Schotman, P.C. Optimal prepayment of Dutch mortgages. Statistica Neerlandica, 61 (1), 137-155. Meijdam, A.C., & Verbon, H.A.A. Too many migrants, too few services: A model of decision making on immigration and integration with cultural distance. Forthcoming in Journal of Population Economics. Melenberg, B., Hari, N., Nijman, T.E., & De Waegenaere, A.M.B. Estimating the term structure of mortality. Forthcoming in Insurance: Mathematics and Economics. Melenberg, B., Hari, N., Nijman, T.E., & De Waegenaere, A.M.B. Longevity risk in portfolios of pension annuities. Forthcoming in Insurance: Mathematics and Economics. Monden, C.W.S. Partners in health? Exploring resemblance in health between partners in married and cohabiting couples. Forthcoming in Sociology of Health & Illness. Nijman, T.E., & Swinkels, L.A.P. Strategic and tactical allocation to commodities for retirement savings schemes. Forthcoming in Fabozzi, F., Fuess, R. & Kaiser, D. (Eds.), Handbook of Commodity Investments. Wiley Publishers. Prast, H.M., Kool, C.J.M., & Rooij, M.C.J. van Risk return preferences in the pension domain: Are people able to choose? Forthcoming in Journal of Public Economics. Roorda, B., & Schumacher, J.M. Time consistency conditions for acceptability measures, with an application to tail value at risk. Insurance: Mathematics and Economics, 40 (2), 209-230. Soest, A.H.O. van, Andreyeva, T., & Michaud, P.C. Obesity and health in Europeans ages 50 and above. Forthcoming in Public Health. Soest, A.H.O. van, & Hurd, M. A test for anchoring and yea-saying in experimental consumption data. Forthcoming in Journal of the American Statistical Association. Verbeek, M.J.C.M., & Horst, J.R. ter Fund liquidation, self-selection and look-ahead bias in the hedge fund industry. Forthcoming in Review of Finance. Verbeek, M.J.C.M., & Huij, J. Cross-sectional learning and short-run persistence in mutual fund performance. Forthcoming in the Journal of Banking and Finance. Vermeulen, F.M.P., Cherchye, L., & Rock, B. de The collective model of household consumption: a nonparametric characterization. Forthcoming in Econometrica. Werker, B.J.M., Boes, M.J., & Drost, F.C. The impact of overnight periods on option pricing. Forthcoming in Journal of Financial and Quantitative Analysis. Alessie, R.J.M., Crossley, T.F., & Hildebrand, V. Estimating a collective household model with survey data on financial satisfaction. Baele, L., & Inghelbrecht, K. Time-varying integration, interdependence, and contagion. Bauer, R., Cosemans, M., & Schotman, P.C. Conditional asset pricing and stock market anomalies in Europe. Bauer, R., Frehen, R., Lum, H., & Otten, R. The equity performance of U.S. pension funds. Berg, G.J. van den, Lindeboom, M., & Lopez, M. Inequality in mortality and economic conditions early in life. Berg, G.J. van den, Lindeboom, M., & Portrait, F.R.M. Conjugal bereavement effects on health and mortality at advanced ages. Bovenberg, A.L., & Beetsma, R.W.J. Pensions, intergenerational risk sharing and inflation. Bovenberg, A.L., & Sorensen, P.B. Optimal taxation and social Insurance in a lifetime perspective. Bovenberg, A.L., Sorensen, P.B., & Hansen, M.I. Individual savings accounts and the life-cycle approach to social insurance. Bovenberg, A.L., & Uhlig, H.F.H.V.S. Pension systems and the allocation of macroeconomic risk. Cui, J., Jong, F.C.J.M. de, & Ponds, E.H.M. The value of intergenerational transfers within pension funds. De Waegenaere, A.M.B., & Hest, T. Optimal robust and consistent active implementation of a pensions fund s benchmark investment strategy. Doorslaer, E. van, Bago D Uva, T., & Jones, A.M. The dynamics of socioeconomic inequality and horizontal inequity in health care utilisation in Europe. Doorslaer, E. van, Lindeboom, M., & O Donell, O. Does reporting heterogeneity bias the measurement of health disparities? Driessen, J.J.A.G., Lin, T.C., & Phalippou, L. Estimating the risk of private equity funds: A new methodology. Eichholtz, P.M.A., Ambrose, B., & Lindenthal, T. House prices and fundamentals: Evidence from the very long run. Eichholtz, P.M.A., Brounen, D., & M. Theebe, M. The inflation protection from home ownership: Evidence for two centuries. Eichholtz, P.M.A., & Wit, I. de Rent indexation and inflation hedging in global office markets. Hershey, D.A., Henkens, K., & Dalen, H.P. van Mapping the minds of retirement planners: A crosscultural perspective. Huizinga, H.P., Laeven, L., & Nicodème, G. Capital structure and international debt shifting. CEPR Working Paper 5882. Inkmann, J. Compensating wage differentials for defined benefit and defined contribution occupational pension scheme benefits. Jacobs, B., Mooij, R.A. de, & Folmer, C. Analyzing a flat tax in the Netherlands. Submitted to Applied Economics. Kalmijn, M. Father child contact and divorce in comparative perspective. Kalmijn, M., Liefbroer, A.C., & Vries, J. de Intergenerational transmission of norms of filial responsibility: Evidence from sibling data. Kalmijn, M., & Monden, C.W.S. The division of labor and mental health outcomes at the couple level: Effects of equity or specialization? Kalmijn, M., & Saraceno, C. A comparative perspective on intergenerational support: Responsiveness to parental needs in individualistic and familialistic countries. Kalmijn, M., & Vries, J. de Levensloopveranderingen in economisch welzijn: Analyses van dynamische registerdata vergeleken met analyses van cross-sectionele surveys. Kool, C.J.M., & HadziVaskov, M. The importance of interest rate volatility in empirical tests of uncovered interest rate parity. Melenberg, B., Adriaens, H.P.J.M., & Donkers, A.C.D. Finance under ambiguity as benchmark. Melenberg, B., Adriaens, H.P.J.M., & Donkers, A.C.D. Behavioral finance under ambiguity. Monden, C.W.S., & Kalmijn, M. The division of labor and mental health outcomes at the couple level: Effects of equity or specialization? Nijman, T.E., Hari, N., & Koijen, R.S.J. The determinants of the money s worth of participation in collective pension schemes. Nijman, T.E., Werker, B.J.M., & Goeij, P. de Een alternatieve maat voor de indexatiekwaliteit van pensioenen

56 netspar annual report 2006 netspar output 57 Discussion Papers and NEA Papers (January-March 2007) Ourti, T. van, Doorslaer, E. van, & Koolman, X. The effect of growth and inequality in incomes on health inequality: Theory and empirical evidence from the European Panel. Pelsser, A.A.J., & Laeven, R. Optimal dividend & ALM under unhedgeable risk. Ponds E.H.M., Cui, J., & Jong, F.C.J.M. de Intergenerational risk sharing within funded pension schemes. Ponds, E.H.M., & Hoevenaars, R.P.M.M. Valuation of intergenerational transfers in collective funded pension schemes. Schotman, P.C., & Lutgens, F. Robust portfolio optimization with multiple experts. Soest, A.H.O. van, Kapteyn, A., & Zissimopoulos, J. Using stated preferences data to analyze preferences for full and partial retirement. Soest, A.H.O. van, & Michaud, P.C. How did the elimination of the earnings test above the normal retirement age affect retirement expectations and behavior of younger workers? Verbeek, M.J.C.M., & Baquero, G. Do sophisticated investors believe in the law of small numbers. Werker, B.J.M., Koijen, R.S.J., & Nijman, T.E. When can life-cycle investors benefit from timevarying bond risk premia? Werker, B.J.M., Koijen, R.S.J., & Nijman, T.E. Optimal portfolio choice with annuitization. Wijnbergen, S.J.G. van Macroeconomic prerequisites for successful pension reform. Baele, L., Bekaert, G., & Inghelbrecht, K. The determinants of stock and bond return comovements. Baele, L., Bekaert, G., & Schoors, K. The development and integration of central and Eastern European equity markets. Baele, L., & Soriano, P. Increasing equity market correlations: Economic versus financial integration. Bloemen, H.G. The impact of wealth on job exit rates of elderly workers in the Netherlands. Kooreman, P., & Prast, H.M. What Does Behavioral Economics Mean for Policy? Challenges to Savings and Health Policies in the Netherlands. Panel Paper. Mahieu, R.J., & Huang, X. Pension fund investment management: An analysis of the funding. Melenberg, B., & De Waegenaere, A.M.B. Potential hedging effects of partner pensions in pension liabilities. Perotti, E.C. The political origins of pension funding. Ponds E.H.M., & Riel, B. van The recent evolution of pension funds in the Netherlands. The trend to hybrid DB-DC and beyond. Verbeek, M.J.C.M., & Huij, J. On the use of multi-factor models to evaluate mutual fund performancer. Boot, A. Modernisering van het uitvoeringsmodel voor pensioenregelingen. NEA Paper. Portrait, F.R.M., Berg, G.J. van den, & Lindeboom, M. The effect of conjugal bereavement on health status and mortality of older individuals. Portrait, F.R.M., Alessie, R.J.M., & Deeg, D. Do early-life conditions explain health status at older ages? An application to Dutch trends in functional limitations. Romp, W.E., & Heijdra, B.J. Ageing and growth in the small open economy. CESifo Working Paper no. 1740. Rouwendal, J. Mortgage interest deductibility and homeownership in the Netherlands. Schotman, P.C., Budek, J., & Tschernig, R. Long memory and the term structure of risk. Schotman, P.C., Hoevenaars, R.P.M.M., Molenaar, R., & Steenkamp, T. Strategic asset allocation for long-term investors: Parameter uncertainty and prior information. Schotman, P.C., & Kuijpers, B. Valuation and optimal exercise of Dutch mortgage loans with prepayment restrictions. Verbon, H.A.A., Adema, Y., & Meijdam, A.C. Beggar thy thrifty neighbour (The international spillover effects of pensions under population ageing). Verbon, H.A.A., Adema, Y., & Meijdam, A.C. The international spillover effects of pension reform. Vermeulen, F.M.P., & Cherchye, L. Nonparametric analysis of household labour supply: Goodness-of-fit and power of the unitary and the collective model. Vermeulen, F.M.P., & Kalwij, A. Health and labour force participation of the elderly in Europe: What do objective health measures add to the analysis. Vermeulen, F.M.P., & Michaud, P.C. A collective labor supply model: Identification and estimation in the presence of externalities by means of panel data. Vlaar, P.J.G. Term structure modeling for pension funds: What to do in practice. Bovenberg, A.L., & Jacobs, B. Human capital and optimal positive tax on capital income. Bovenberg, A.L., & Maatman, R. Een 10 voor governance. NEA Paper Bovenberg, A.L., Nijman, T.E., Teulings, C.N., & Koijen, R.S.J. Saving and investment over the life cycle: The role of individual and collective pensions. Panel Paper. Bovenberg, A.L., & Sorensen, P.B. Individual savings accounts for social insurance: Rationale and alternative designs. Damme, E. van, & Boone, J. Marktwerking in de pensioensector? NEA Paper Huizinga, H.P., & Laeven, L. International profit shifting within European multinationals. CEPR Working Paper 6048. K. Koedijk, Slager, A., & Dalen, H. van Blinde vlekken van de denkers en doeners in de pensioensector. NEA Paper. Romp, W.E., & Heijdra, B.J. Retirement, pensions and aging. Rooij, M.C.J. van, Alessie, R.J.M., & Lusardi, A. Financial literacy and stock market participation. Rouwendal, J. Aging and home ownership in the Netherlands. Teulings, C.N., & Ewijk, C. van Doorsneepremie en indexatiebeleid van pensioenfondsen onder randvoorwaarde van continuïteit. NEA Paper. Vos, M.L., & Pikaart, M. Jongeren met pensioen. En nu echt intergenerationele solidariteit. NEA Paper. Vries, J. de, & Kalmijn, M. Life-course changes in economic well-being: Evidence from register and tax data in the Netherlands. Vries, J. de, Kalmijn, M., & Liefbroer, A.C. Intergenerational transmission of norms of filial responsibility: Evidence from sibling data.

58 netspar annual report 2006 netspar output 59 Theses 2006 Students enrolled in any of the educational programs offered by universities that participate in Netspar have written their thesis on topics related to the Netspar research program. These theses can either be based on academic literature or can be written during an internship with one of Netspar s partners. We present an overview of the the written during the academic year 2005-2006 that were submitted by Netspar researchers for the Netspar Thesis Awards 2006. Esen Erdogan Ciftci Self-reported probabilities on health problems: a panel databased analysis. Master of Philosophy, UvT Renxiang Dai Design of defined-contribution pension schemes: an options perspective. Master of Philosophy, UvT Marita van Gessel and Thijs Weistra De welvaartsstaat onder druk; Master in Economics and Social Sciences, UU Ryan van Gils Multi-dimensionality in an IAS 19 valuation. Master in Business Economics, VU Johan Janssen De overgangsregeling van VUT naar Keuzepensioen bij het Algemeen Burgerlijk Pensioenfonds. Bachelor in Economics, UvT Pascal Janssen Welfare effects and robustness of generation specific pension deals. Master in Quantitative Finance and Actuarial Sciences, UvT Jérémie Lefebvre Pricing of pension annuities in a context of decreasing mortality: assessing the Lee-Carter model. Master of Philosophy, UvT Daniel van Maanen The syndication gap between Europe and the United States. Bachelor in Economics, UvT Roel Mehlkopf A comparative study of pension savings. Master in Quantitative Finance and Actuarial Sciences, UvT Gerda Polman The measurement of volatility risk in solvency tests. Bachelor in Econometrics and Operations Research, UvT Mark Prins Market Risk Regulation: value-at-risk with exponential weighting schemes and antithetic permutation. Master in Economics, UvA Lisanne Sanders Modeling solidarity in pension funds. Bachelor in Economics, UvT Anne van de Schors Housing behaviour of the elderly: explaining generational differences in home ownership and mortgage ownerschip. Master in Economics and Social Sciences, UU Stephan van Sonderen Wat zijn de gevolgen van de nieuwe IFRS accountingregels op het managen van een ondernemingspensioenfonds. Bachelor in Economics, UvT S.H. van Tol Should pension funds hedge interest rate risk? Master in Finance, VU Luc Verschuren Aanvullende pensioenen en inkomensongelijkheid onder ouderen. Master in Economics, UvT Simon van Wetten The relationship between options and the variance of their underlying stocks: theoretical and empirical evidence from the Dutch exchange. Bachelor in Economics, UvT Oliver Weidenmueller The Style of (funds of) hedge funds indices. Master of Philosophy, EUR Tim Willems Optimal intergenerational risk sharing in a funded pension scheme context. Bachelor in Economics, UvT Lin Zheng Long-term portfolio choice problem: using empirical evidence from VAR model. Master in Finance, UvT Winners Netspar Thesis Awards 2006 On January 26, during the ABP/VU/Netspar workshop, the Netspar Thesis Awards of 3.000 Euro each were presented for the best Bachelor, Master of Science and Master of Philosophy theses of 2005-2006 in the area of pensions and aging. ABP chairman Dick Sluimers handed the award for best BSc thesis to Lisanne Sanders, the award for best MSc thesis to Ralph Stevens and the award for best MPhil thesis to Jérémie Lefebvre. Ting Jiang Long-march in aging China s pension reform - a two-edged approach in achieving efficiency and equity. Bachelor in Economics, UvT Loes Koster Het deeltijdpensioen. Bachelor in Economics, UvT Guido van Spellen Ouderenmigratie: een onderzoek naar de budgettaire gevolgen. Master in Economics, UvT Ralph Stevens Forecasting mortality rates. Master in Quantitative Finance and Actuarial Sciences, UvT

60 netspar annual report 2006 netspar events 61 April 2006 April 2007 Conferences, workshops & other events Workshops Anniversary Meetings Netspar Workshop with PGGM, Zeist, June 12-13, 2006 Netspar/CEPR, London, Sept. 29-30, 2006 Transforming European Pension Systems Netspar Workshop with ABP and VU Amsterdam, January 24-26, 2007 Netspar Anniversary Meeting, Tilburg, March 29, 2007 This bi-annual Pension Workshop combined scientific research with discussions of the potential impact on societ y and the implications for public policy on retirement and pensions. The two-day event, jointly sponsored by Netspar and PGGM, was attended by nearly 100 pension scholars and practitioners from across the country. June 12 Peter Diamond (Harvard University), Retirement Incentives, Funding Pensions Michael Hurd (RAND), The life-cycle model (LCM): theory, The life-cycle model: empirical evidence June 13 Peter Diamond, Sharing Pension Risk, The Public Pension Reform Debate in the United States and International Experience Michael Hurd, The life-cycle model: Applications, The impact of demographic changes Jan-Willem Oisterwijk (Secretary General Ministry of Economic Affairs), Social benefits: the role of the government Panel discussion with Michael Hurd, Peter Diamond, and René van de Kieft (CFO of PGGM) The Centre for Economic Policy Research (CEPR) and Netspar jointly organized a conference with the principal objective of promoting research on the effect of the aging population in Europe, the transformation of the pension system and bringing together academics and practitioners in the field. David Blake (Cass Business School), Policy lecture on UK pension reform Tito Boeri (Bocconi University/CEPR) and Lans Bovenberg (Netspar, UvT and CEPR), European Pensions Tito Boeri (Bocconi University/CEPR), Security in aging societies Henrik Cronqvist (Ohio State University), European pension reform Some evidence from Sweden Vincenzo Galasso (Bocconi University/CEPR), The political future of social security in aging societies Roy Hoevenaars (UM/ABP), Strategic asset allocation for long-term investors: Parameter uncertainty and prior information Theo Nijman (Netspar/UvT) Dynamic asset allocation with annuity risk Maarten van Rooij (Netspar/DNB), Planning financial literacy and household wealth: Evidence from the US and the Netherlands Dick Sluimers (ABP), Dutch pension reform This bi-annual workshop (organized by ABP, VU Amsterdam and Netspar) took place at the VU in Amsterdam and covered 3 days. On Friday afternoon Mark Rutte (VVD), Edith Snoey (ABVAKABO FNV) and Dick Sluimers (ABP) gave lectures about choice options in pension schemes and debated with students. January 24 Christian Gollier (University of Toulouse), Lecture 1: Optimal portfolio management for individual pension plans Lecture 2: Portfolio choices with regret, disappointment, anxiety, myopia and envy Gur Huberman (University of Columbia), Lecture 1: Familiarity and ambiguity aversion in personal accounts Lecture 2: Characteristics of actual choices of a larger sample of DC plan participants January 25 Julie Agnew (Mason School of Business), Personalized retirement advice and managed accounts: Who uses them and how does advice affect behaviour in 401 (k) plans? Katherine Carman (Netspar/UvT), How do widowhood and divorce affect economic well-being? Evidence from the health and retirement survey Joost Driessen, Tse-Chung and Ludovic Phalippou (Netspar/UvA), Assessing the Risk Exposure of Private Equity Funds Christian Gollier (University of Toulouse), Intergenerational risk sharing and risk taking of a pension fund Wolfram Horneff, Raimond Maurer, Olivia Mitchell and Ivica Dus (University of Frankfurt (jointly with Jürgen Maurer)), Optimizing the retirement portfolio: Asset allocation, annuitization and risk aversion Gur Huberman (Columbia Business School), Turnover and volatility Fangyi Jin (University of Konstanz), Can social welfare explain the non-participation puzzle in asset markets? Tomi Kyyrä, Ralf Wilke and Vivre Ollikainen (Government Institute for Economic Research, Helsink), Extended UI benefits and labour market withdrawal of older workers via unemployment Kasper Meisen Nielsen (Copenhagen Business School), The return to pension funds private equity investments: new evidence on the private equity premium puzzle Francesco Menonicin (University of Brescia), The role of longevity bonds in optimal portfolios Alex Michaelides, Paula Lopes and Joachim Inkmann, (LSE/UvT/Netspar), How deep is the annuity market participation puzzle? Helge Nordahl and Trond Døkseland (Norwegian School of Economics), Intergenerational effects of guaranteed pension contracts Cristina Rossi, (University of Tor Vergata), Examining the interaction between saving and contributions to Personal Pension Plans: Evidence from the BHPS Peter Vlaar (Netspar/DNB), Term structure modeling for pension funds: What to do in practice January 26 Research questions and discussion Albert Mentink (AEGON) Olaf Sleijpen (ABP) Jan Koeman (Ministry of Social Affairs and Employment and on behalf of Ministry of Finance) Robert Olieman (SVB) Policy relevant papers Jaap Bikker and Jan de Dreu (DNB), Management costs of pension providers Dick Boeijen (PGGM), Developments in Pension Contracts Lans Bovenberg, Ralph Koijen, Coen Teulings and Theo Nijman (Netspar), Intergenerational Risk Sharing Peter van Els, Maarten van Rooij and Margreet Schuit (DNB), Mandatory participation in pension funds Christian Gollier (University of Toulouse), Pension reforms in France Gur Huberman (Columbia University), Experience with individual pension choice in the US Award Ceremony Netspar Theses Awards The Netspar Thesis Awards of 3.000 Euro each were presented for the best Bachelor, Master of Science and Master of Philosophy thesis of 2005-2006 in the area of pensions and aging. Policy lectures (in Dutch) Edith Snoey (ABVAKABO FNV), Keuzes bieden met beleid Mark Rutte (Leader Dutch Conservative Party VVD), Keuzevrijheid in pensioensystemen Dick Sluimers (ABP), Collectief opgebouwd, individueel aangewend Debate with students The debate with Edith Snoey, Mark Rutte, Dick Sluimers and a number of students was the interactive wrap up of the conference. Arnoud Boot (UvA), Marktwerking en pensioenen Lans Bovenberg (Netspar/UvT) and Rene Maatman (Radboud University Nijmegen/ABP), Een 10 voor governance Eric van Damme (UvT) Marktwerking in de pensioensector? Kees Koedijk (Netspar/EUR), Blinde vlekken van de denkers en doeners in de pensioensector

62 netspar annual report 2006 netspar events 63 Annual Conferences Specialized Pension Days Pension Days Brainstorm Meetings Netspar Annual Conference with SER and CPB, The Hague, April 27-28, 2006 Reinventing the Welfare State Torben Andersen (University of Aarhus), The Scandinavian model Tony Atkinson (Oxford University), The welfare state in a global market Tito Boeri (Bocconi University), Migration policy and the welfare state Wouter Bos (Leader Dutch Labour Party), Lessons from the Nordic countries (Why size doesn t matter) Aart Jan de Geus (Minister of Social Affairs and Employment), Untitled Gosta Esping-Andersen (Pompeu-Fabra), The Anglo-Saxon, continental European, Scandinavian and Mediterranean welfare states and the labor market Kees Goudswaard (Leiden University/SER), Recommendations on Dutch welfare state policies: work in progress James Heckman (University of Chicago) and Bas Jacobs (Netspar/UvA), Policies to create and destroy human capital in Europe Arie Kapteyn (Netspar/RAND), Early retirement policies and patterns Assar Lindbeck (Stockholm University), Sustainable social spending Ruud de Mooij (CPB), Reinventing the welfare state Peter Sorensen (Copenhagen University) and Lans Bovenberg (Netspar/UvT), Individual savings accounts and the lifecycle approach to social insurance Ed Westerhout (CPB), Aging & pension reform in the Netherlands Netspar Annual Conference with DNB and IOPS, Amsterdam, March 22 & 23, 2007 Frontiers in Pension Finance and Reform Keith Ambachtsheer (University of Toronto), The ideal pension delivery organization: theory and practice David Blake (Cass Business School), It s all back to front: critical issues in the design of defined contribution pension plan Zvi Bodie (Boston University), International risk sharing, modern financial technology, and pension guarantees Axel Börsch-Supan (University of Mannheim), Productivity in an ageing society Lans Bovenberg (Netspar/UvT), Optimal risk sharing in collective pension schemes Jon Exley (Barclays Capital), Is market valuation fair? Jeremy Gold (Jeremy Gold Pensions), The intersection of pensions and enterprise risk management Richard Hinz (The Worldbank), Risk based supervision of pensions: The experience of early adopters Raimond Maurer (Goethe Universität), The victory of hope over angst? Funding, asset allocation, and risk-taking in German public sector pension reform Lucas Papademos (European Central Bank), Key note speech: Population ageing, financial markets and monetary policy Luis Viceira (Harvard University), Global currency hedging for pension funds June 27, 2006: Second annual empirical asset pricing retreat (with Finance Group of UvA Business School) Organized by The Finance Group of the UvA Business School and Netspar. The objective of the meeting was to bring together a group of academic researchers in a stimulating and pleasant atmosphere. The conference generated convivial interaction between academic researchers on all continents who share an interest in empirical asset pricing and to give young researchers an opportunity to present their research and get feedback on their work. November 16-18, 2006: Micro-economics of aging in Europe (with UU) This workshop was organized by Netspar as a follow-up to the meetings of the RTN-AGE network on the Economics of Aging in Europe. The research network on the Economics of Aging in Europe wants to improve our understanding of economic decisions of the elderly, e.g. on saving, portfolio choice, retirement, health expenditures, or intergenerational transfers. It focuses on empirical modelling of household and individual decisions in an intertemporal framework. The workshop consisted of some invited lectures and a larger number of contributed papers, with formal discussants. Particularly young researchers (postdocs and PhD students) were invited to present their work. March 9, 2007: Professional asset management (with EUR) This conference was jointly organized by Netspar and the Department of Financial Management of RSM, EUR. The main objective was to present and discuss recent advances in academic research on mutual funds, hedge funds, pension funds, and other forms of delegated portfolio management. The conference hosted a limited number of paper presentations with designated discussants and ample time for discussion and interaction. The invited speakers were: Vikas Agarwal (Georgia State University), Nick Bollen (Vanderbilt University), and Robert Kosowski (Imperial College). Between April 2006 and April 2007 six Pension Days were held to exchange knowledge between academic researchers and non-academic partners. Representatives of non-academic partners participated in the Pension Days, which enables them to play an active role in the research program. The full programs are available at the website: www.netspar.nl/events April 11, 2006: Aging and the sustainability of Dutch Public Finances CPB and Netspar organized this workshop to discuss this important CPB study Ageing and the Sustainability of Dutch Public Finances. Casper van Ewijk (CPB), Berthold Leeftink (Min. of Economic Affairs), Bert de Vries (former Minister), Harry Verbon (Netspar/UvT) and Bas Jacobs (Netspar/UvT/UvA) were the keynote speakers. May 10, 2006: Indexatiekwaliteit van pensioenregelingen In many pension systems the indexation of pension rights depends on the achieved returns on investment. Legislation puts a high value on the transparency of pension funds, to the extent of indexation. On May 10, Netspar organized a brainstorm session on this current issue. Representatives of two supervisors: DNB (De Nederlandse Bank) and AFM (Autoriteit Financiële Markten), a pension fund (PGGM) and a researcher from Netspar gave their views on measuring the indexation quality of pension systems, which was followed by discussion. October 5, 2006: Nederland Pensioenland The meeting discussed the desirability of future pension forms of organizations in the pensions sector, from both a national and a European (export) perspective. Among the speakers were René Maatman (Radbout University Nijmegen), Merel van Bevervoorde (Nationale-Nederlanden division of ING) and Ivo van Es (European Commission DG Internal Market and Services). There was ample opportunity for discussion. Chairman for this afternoon was Kees Koedijk (EUR). October 11, 2006: Studiegroep Begrotingsruimte: Vergrijzing en houdbaarheid An animated discussion took place at the Rijksacademie voor Financiën en Economie. Netspar and the Academy jointly organized an event with reference to the publication of the 12th report of the Studiegroep begrotingsruimte Laura van Geest (Treasurer, Ministry of Finance) summarized the results of the report prepared by the study group on fiscal policy, which consists of high-ranking civil servants of various ministries and representatives of the Dutch central bank and CPB. November 29, 2006: Nederland Pensioenland II A follow-up of the meeting on October 5th.

64 netspar annual report 2006 Colophon Netspar Annual Report 2006 April 2006 April 2007 Production Netspar Editing Clemens van Diek, Tilburg University Etc. Editorial Services, Breda Kavanagh B.R.I., Nijmegen Leen Preesman, Essex, UK Margreet Punt, Netspar Translation pp 5, 16, 17 and 20 Derksen Vertaaldiensten, Amsterdam Design Herald Boer, Beelenkamp Ontwerpers, Tilburg Photography Life Cycle Series Petra Stavast, Amsterdam Portraits Dolph Cantrijn, Tilburg Rob Meulemans (portrait Wellink), DNB, Amsterdam Events and thumbs pages 18-19, 30-31, 38-39 Patrick Belgareh, Rothem Erik van der Burgt, Verbeeld!, Tilburg Dolph Cantrijn, Tilburg Dirk Hol, Dordrecht Rob Meulemans, DNB, Amsterdam Hassan Souhail, Alief Fotografie, Tilburg Ton Toemen Photography, Tilburg Printing Drukkerij Lecturis, Eindhoven May 2007

Visiting address Faculty of Economics and Business Administration Tilburg University Warandelaan 2 5037 AB Tilburg Postal address P.O. Box 90153 5000 LE Tilburg The Netherlands Phone +31 13 466 2109 Fax +31 13 466 3066 E-mail: info@netspar.nl www.netspar.nl