This thesis investigates the effect on the Regulatory Capital Requirement for a pension fund under the Financial Assessment Framework and under Solvency II. We also test whether the Regulatory Capital Requirements which we find under the Financial Assessment Framework and Solvency II are indeed sucient according to models based on historical data. This means that the probabilityof a funding ratio below 100% should be 2.5% under the Financial Assessment Framework and 0.5% under Solvency II. The result of the investigation is that replacing the current legislation with Solvency II, leads to an increase in the Regulatory Capital Requirement of about 10% for our specific pension fund. In order to test the probabilities of a funding ratio below 100%, 10,000 possibledevelopments of the required funding ratio have been simulated for two different ALM models: the Hoevenaars model and GAM model. After reducing the risks in the legislations to the risks which are present in the ALM models, we find that both the Financial Assessment Framework and Solvency II, underestimate the total risk according to both ALM models for our specific pension fund. However, the GAM model is more prudent than the Hoevenaars model. The results of the Hoevenaars model are more in line with both legislations. We concludethat according to the Hoevenaars model, the Financial Assessment Framework slightly overestimates the risk for stocks and slightly underestimates the risk for government bonds and corporate bonds. Finally, we find that according to the Hoevenaars model, the risk for commodities is underestimated under the Financial Assessment Framework and Solvency II.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.

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