Pension Day
28 November 2014
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28 November 2014
On November 28 2014 Netspar organized a Pension Day. This event took place at the Beatrix theater building in Utrecht. Presentations and papers are available via the Program.
| Session Asset Pricing: Room 311 Chairman: Zorka SimonFerenc Horvath (TiU) Robust pricing of fixed income securities Paper (not available) Presentation Discussant: Anne Balter (UM) |
| Zorka Simon (TiU) The missing piece of the puzzle: liquidity premiums in inflation-indexed markets Paper (not available) Presentation Discussant: Mukul Tyagi (UM) |
| Patrick Tuijp (UvA) Pricing effects of time-series variation in liquidity Paper (not available) Presentation Discussant: Samuel Sender (TiU) |
| Session Finance: Room 312 Chairman: Jan BonenkampServaas van Bilsen (TiU) Valuation and hedging of variable annuities in pension schemes Paper Presentation Discussant: Thomas Michielsen (CPB) |
| Hailong Bao (TiU) Multi-period risk sharing under financial fiarness Paper Presentation Discussant: Hong Li (TiU) Presentation |
| Jac Kragt (TiU) Dividend term structure Paper Presentation Discussant: Peter Schotman (UM)
Presentation
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| Session Life Cycle, Micro: Room 314 Chairman: Jim BeenEduard Suari Andreu (RUG) The effect of declining house prices on household savings: a theoretical and empirical study of the Dutch case Paper Presentation not available Discussant: Jim Been (UL) Presentation |
| Gosse Alserda(EUR) The impact of heterogeneity in pension fund participants’ risk preferences on optimal asset allocation Paper (not available) Presentation Discussant: Mitzi Perez-Padilla (TiU)
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| Jim Been (UL) Estimating a panel data sample selection model with part-time employment: selection issues in wages over the life-cycle Paper Presentation Discussant: Peter van Santen (Riksbank) Presentation |
| Session Financial Markets: Room 311 Chairman: Gosse AlserdaSally Shen (UM) How much should life-cycle investors adapt their behaviour when confronted with model uncertainty? Paper Presentation Discussant: Gosse Alserda (EUR) |
| Anne Balter (UM) Pricing and hedging in incomplete markets with model ambiguity Paper Presentation Discussant: Joost Driessen (TiU) Presentation |
| Ivo Kuiper (Tilburg University) Understanding markets reaction to economic news: the impact of the business cycle Paper (not available) Presentation Discussant: Johannes Hagen (Uppsala University) Presentation |
| Session Macro: Room 312 Chairman: Servaas van BilsenEduard Ponds (TiU) Partial annuity strategies in Dutch CDC plans – lessons from international practices Presentation not available Discussant: Ling-Ni Boon (TiU) |
| Jan Bonenkamp (CPB) Collective versus individual pension schemes: a welfare-theoretical perspective Paper Presentation Discussant: Yang Jiang (RUG) Presentation |
| Yang Jiang (RUG) Social security in an adverse selection economy Paper Presentation Discussant: Servaas van Bilsen (TiU) Presentation |
| Session Longevity: Room 314 Chairman: Thomas Post Hong Li (TiU) Dynamic hedging of longevity risk Paper Presentation Discussant: Michel Vellekoop (UvA) Presentation |
| Tim Boonen (UvA) Solvency II SCR based on expected shortfall Paper (not available) Presentation Discussant: Sally Shen (UM) Presentation |
| John Turner (Pension Policy Center) Longevity insurance annuities: International perspectives on a benefit innovation from the past Paper Presentation Discussant: Thomas Post (UM) |
| Session Investment: Room 311 Chairman: Tim BoonenLing-Ni Boon (TiU) Does regulation matter – riskiness and procyclicality in pension asset allocation Paper Presentation Discussant: Tim Boonen (UvA) Presentation |
| Mukul Tyagi (UM) Asset allocation dynamics of pension funds Paper Presentation Discussant: Ferenc Horvath (TiU)
Presentation |
| Session Micro, Wealth and Human Capital: Room 312 Chairman: Rob AlessieRaymond Montizaan (UM) Training access and retirement behavior Paper Presentation Discussant: Teresa Bago d’ uva (EUR) |
| Jordana Liberali (EUR) Designing risk communications that help consumers to make better decisions: a comparison of gist and verbatim level messages Paper (not available) Presentation Discussant: Henriette prast (TiU) Presentation |
| Session Pension Adequacy: Room 314 Chairman: Arthur van SoestPatrick Gerhard (UM) Reverse mortgages: what homeowners (don’ t) know and how it matters Paper Presentation Discussant: Danilo Cavapozzi (University of Venice) Presentation |
| Marike Knoef (UL)
Retirement savings adequacy: an international perspective
Paper |
| Session Retirement: Room 311 Chairman: Lei DelsenDidier Fouarge (UM) Do noncognitive skills affect the retirement decision? Paper (not available) Presentation Discussant: nnb |
| Tunga Kantarci (TiU) Analysis of the stated preferences for risk and uncertainity in pension plans in the Netherlands Paper Presentation Discussant: Eduard Suari Andreu (RUG) Presentation |
| Johannes Hagen (Uppsala University) The determinants of annuitization: evidence from Sweden Paper Presentation Discussant: John Turner (Pension Policy Center) Presentation |
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Session Financial Decisions: Room 312
Chairman: Samuel Sender
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| Michel Vellekoop (UvA) Term structures with converging forward rates Paper (not available) Presentation Discussant: Hailong Bao (TiU) Presentation |
| Ran Xing (TiU) Trading-cost management of mutual funds Paper Presentation Discussant: Patrick Tuijp (UvA) Presentation |
| Session Micro Decisions: Room 314 Chairman: Marike Knoef Rob Alessie (RUG)
Consumption behavior, annuity income and mortality risk of the elderly |
| Yue Li (UvA) The role of wealth in the start-up decision of new self-employed: evidence from a pension policy reform Paper Presentation Discussant: Marike Knoef (UL) Presentation |
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Meimei Dai (EUR)
Investigating value of information and information needs in pension plans within a life cycle model Paper (not available) Presentation Discussant: Arthur van Soest (TiU) Presentation |
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