.s investment risk to estimate the prospective total assets and the conditional prospective funding rate. Both applications show …

This paper is the first that formally compares investment risk taking by pension funds and insurance firms. Using a … unique and extended dataset that covers the volatile investment period 1995-2009, we find that, in the Netherlands, insurers … take substantially less investment risk than pension funds, even though a market risk capital charge for insurers is yet …

sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for …

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and … investment decisions to firm-specific characteristics and macroeconomic variables. Overall, our results indicate that all three …

Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For …

This paper compares two different types of annuity providers, i.e. defined benefit pension funds and life insurance … consumers with different preferences. Using realistic parameters we find that under linear and quadratic utility, life insurance …

This paper assesses the sophistication of pension funds' investment policies using data on 748 Dutch pension funds … during the 19992006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments … sophisticated asset allocation rules tend to opt for investment strategies with a lower risk-return profile. …

This paper is the first that examines the impact of stock market performance on the investment policy of pension funds …, outperformance of equities over bonds and other investment categories automatically results in a higher actual equity allocation (and … vice versa), as pension funds do not continuously rebalance their investment portfolios. Each quarter, pension funds …