Using a model of a two-pillar pension system, designed after and calibrated to the Dutch situation, we explore for the funding ratio of pension funds and the welfare of individuals the implications of replacing nominal debt in the pension fund's portfolio with indexed debt. We consider...

We study the effects of macroeconomic shocks on different cohorts in the Dutch economy. From a calibrated stochastic model of macroeconomic risks, we derive typical shocks to productivity, demography and asset returns. The effects of these shocks are then simulated using an...

Rising longevity and falling fertility threaten the sustainability of pay-as-you-go pension chemes. This paper shows that maintaining the intergenerational balance in the Dutch pay-as-you-go pension scheme in the face of increased longevity since the introduction of the scheme in 1957 would have...