With the increased emphasis on market valuation in accounting rules and solvency regulation, the proper modeling of interest rate dynamics has become increasingly important for pension funds. A number of pension fund characteristics make these models particularly demanding. First, as the...

This paper analyzes trading strategies which capture the various risk premiums that have been distinguished in futures markets. On the basis of a simple decomposition of futures returns, we show that the return on a short-term futures contract measures the spot-futures premium, while spreading...

In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate square root process to ensure that the roots have nonnegative arguments. For a discrete time...

Models which integrate various financial stability risks are still in an early stage of development. In this paper we use the Macrofinancial Risk model (MfRisk) to construct a measure for financial stability. MfRisk applies the Merton option model in a multi-sector framework. We argue that this...

In this paper we derive an analytic valuation formula for a generalized form of liabilities in hybrid pension plans taking account of both equity and interest rate risk. Comparative statistics are carried out to show the relevance of some key parameters in defining the hybrid pension plans,...

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

This paper identifies the key factors driving indexation in turbulent economic times within defined benefit plans using a unique panel dataset of 166 Dutch pension funds from 2007 to 2010. Key drivers of indexation are the funding ratio, inflation and real wage growth. The type of pension fund...

This paper empirically investigates if insurers exhibited a flight home or flight to quality during the European sovereign debt crisis and other stages of the financial crisis. Our dataset consists of over sixty insurance companies, for which we separately observe trading behaviour and portfolio...

This study presents an overview of the main characteristics of the CentERpanel as well as of the DNB Household Survey, a longitudinal database of economic and psychological aspects of financial behaviour of Dutch households run at CentERdata, Tilburg University and sponsored by De Nederlandsche...

This study investigates whether individual choices in the pension domain are vulnerable to the way alternatives are communicated to respondents. The analysis is based on a set of hypothetical questions posed in the DNB House-hold Survey as well as in the RAND American Life Panel on pension...