In this thesis the welfare properties of different pension plans have been investigated. We wanted to answer which pension plan gives the highest welfare? More specifically, does certainty in benefitor contribution give a higher welfare? The welfare has been analyzed using the Expected Utility Theory approach and the Cumulative Prospect Theory approach. Which pension plan gives the highest welfare, depends on the theory used. However, the pension plan should be a collective pension plan where certainty in the benefit is more important than certainty in the contribution.