In the Netherlands, reforms to the pension system are negotiated. One of the alternatives to the current system is establishing an explicit buffer fund through setting bounds on the returns of the individual pension schemes. This Master’s Thesis proposes a solution to imposing a self-financing property on this buffer fund in order to establish the viability of this new system. The payoffs of call and put options are exploited to form this buffer fund and an analytical approximation is derived to determine the bounds, which need to be set on the returns in the pension scheme in order to ensure a self-financing buffer fund.

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

MEER OVER NETSPAR


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2019-2023           •           Onderzoeksagenda

OVER NETSPAR

Onze partners

B20180327_logo_PGB-Pensioendiensten_grijswaarden
B20160708_aegon
B20160708_maastricht university
B20160708_B20160615_Stichting-van-de-Arbeid-logo
B20160708_radboud
Bekijk al onze partners