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Record: oai:ARNO:630690

AuteurJ.J. Roet
TitelPersonal pensions with collective risk sharing during the decumulation phase
BegeleiderS. van Bilsen
Jaar2016
Pagina's62
FaculteitFaculteit Economie en Bedrijfskunde
OpleidingFEB MSc Actuarial Science and Mathematical Finance
SamenvattingIn this study we assess a personal pension with collective risk sharing (PPR) during the decumulation phase, as a design for the legislative proposals of Lodders (2016) and Klijnsma (2015). Performance and risk sensitivity are measured by developing
a PPR model reflecting both demographic and financial risk. The results show that expected retirement benets exceed those in a similar DC contract, while conversion risk diminishes. The results also suggest that financial risk is signicantly more important than demographic risk, for all horizons considered. Regardless of associated risks, PPR contracts are found to be a significant improvement over similar DC schemes, even for the expected average risk-averse individuals. Further enhancement of the performance is possible by smoothing returns.
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