Allocating interest rate risk in a collective pension fund

This thesis investigates the interest rate risk participants in a pension fund with a collective investment policy are exposed to and how this interest rate risk can be allocated over the participants such that it leads to welfare improvement of the pension fund. The pension fund that is studied follows the defined ambition pension scheme, which was the aspired new pension scheme following from the pension agreement in 2019, proposed by the Dutch government.

(This thesis is not available in full due to confidentiality.)