Bescherming tegen renterisico, inkomens- en inflatierisico in het nieuwe pensioencontract – Daniel Mantilla Garcia – After-lunch webinar

Netspar organiseert dit After-lunch Webinar voor (medewerkers van) partners. Hierin presenteren onderzoekers nieuw pensioenonderzoek, ontvangen zij feedback en worden vragen beantwoord. Zo brengen we wetenschap en praktijk dichter bij elkaar.

In dit online After-lunch Webinar vertelt Daniel Mantilla Garcia (Universidad de los Andes) meer over het onderzoek “Interest-Rate Risk Protection in the New Dutch Pension Contract Income and Inflation Risk.”

Dit webinar is in het Engels:
This paper develops a framework for managing interest-rate conversion risk in the new Dutch pension contract, a collective defined contribution system in which multiple generations share investment risk and protection objectives. We show that a simple return-protection strategy can deliver these targets even under extreme scenarios for the risky portfolio. The fund must invest in an interest-rate-hedging portfolio an amount equal to the wealth-weighted average of all cohorts’ protection levels, while surpluses and losses must be allocated proportional to each cohort’s risk exposure. Deviating from this strategy leads to systematic departures from intended protection levels: under-investing in hedging assets introduces gap risk, while distributing surpluses proportional to account size can misalign protection across cohorts. We also derive closed-form expressions for the actual protection achieved under any investment and distribution rule, providing a diagnostic tool for evaluating alternative designs and supporting transparent implementation of the new contract.

Vragen en input op dit lopende onderzoek zijn van harte welkom.
Dit onderzoek wordt uitgevoerd samen met Servaas van Bilsen (UvA) Antoon Pelsser (Maastricht University)