PENSION DAY November 28, 2014 in Utrecht Program Program Pension Day 08.45 - 09.15 Coffee and registration 09.15 - 09.50 Session Asset Pricing: Room 311 Chairman: Zorka Simon Ferenc Horvath (TiU) Robust pricing of fixed income securities Paper (not available) Presentation Discussant: Anne Balter (UM) 09.50 - 10.25 Zorka Simon (TiU) The missing piece of the puzzle: liquidity premiums in inflation-indexed markets Paper (not available) Presentation Discussant: Mukul Tyagi (UM) 10.25 - 11.00 Patrick Tuijp (UvA) Pricing effects of time-series variation in liquidity Paper (not available) Presentation Discussant: Samuel Sender (TiU) 09.15 - 09.50 Session Finance: Room 312 Chairman: Jan Bonenkamp Servaas van Bilsen (TiU) Valuation and hedging of variable annuities in pension schemes Paper Presentation Discussant: Thomas Michielsen (CPB) 09.50 - 10.25 Hailong Bao (TiU) Multi-period risk sharing under financial fiarness Paper Presentation Discussant: Hong Li (TiU) 10.25 - 11.00 Jac Kragt (TiU) Dividend term structure Paper Presentation Discussant: Peter Schotman (UM) 09.15 - 09.50 Session Life Cycle, Micro: Room 314 Chairman: Jim Been Eduard Suari Andreu (RUG) The effect of declining house prices on household savings: a theoretical and empirical study of the Dutch case Paper Presentation not available Discussant: Jim Been (UL) 09.50 - 10.25 Gosse Alserda(EUR) The impact of heterogeneity in pension fund participants’ risk preferences on optimal asset allocation Paper (not available) Presentation Discussant: Mitzi Perez-Padilla (TiU) 10.25 - 11.00 Jim Been (UL) Estimating a panel data sample selection model with part-time employment: selection issues in wages over the life-cycle Paper Presentation Discussant: Peter van Santen (Riksbank) 11.00 - 11.15 Break 11.15 - 11.50 Session Financial Markets: Room 311 Chairman: Gosse Alserda Sally Shen (UM) How much should life-cycle investors adapt their behaviour when confronted with model uncertainty? Paper Presentation Discussant: Gosse Alserda (EUR) 11.50 - 12.25 Anne Balter (UM) Pricing and hedging in incomplete markets with model ambiguity Paper Presentation Discussant: Joost Driessen (TiU) 12.25 - 13.00 Ivo Kuiper (Tilburg University) Understanding markets reaction to economic news: the impact of the business cycle Paper (not available) Presentation Discussant: Johannes Hagen (Uppsala University) 11.15 - 11.50 Session Macro: Room 312 Chairman: Servaas van Bilsen Eduard Ponds (TiU) Partial annuity strategies in Dutch CDC plans – lessons from international practices Presentation not available Discussant: Ling-Ni Boon (TiU) 11.50 - 12.25 Jan Bonenkamp (CPB) Collective versus individual pension schemes: a welfare-theoretical perspective Paper Presentation Discussant: Yang Jiang (RUG) 12.25 - 13.00 Yang Jiang (RUG) Social security in an adverse selection economy Paper Presentation Discussant: Servaas van Bilsen (TiU) 11.15 - 11.50 Session Longevity: Room 314 Chairman: Thomas Post Hong Li (TiU) Dynamic hedging of longevity risk Paper Presentation Discussant: Michel Vellekoop (UvA) 11.50 - 12.25 Tim Boonen (UvA) Solvency II SCR based on expected shortfall Paper (not available) Presentation Discussant: Sally Shen (UM) 12.25 - 13.00 John Turner (Pension Policy Center) Longevity insurance annuities: International perspectives on a benefit innovation from the past Paper Presentation Discussant: Thomas Post (UM) 13.00 - 14.00 Lunch 14.00 - 14.35 Session Investment: Room 311 Chairman: Tim Boonen Ling-Ni Boon (TiU) Does regulation matter – riskiness and procyclicality in pension asset allocation Paper Presentation Discussant: Tim Boonen (UvA) 14.35 - 15.10 Mukul Tyagi (UM) Asset allocation dynamics of pension funds Paper Presentation Discussant: Ferenc Horvath (TiU) 14.00 - 14.35 Session Micro, Wealth and Human Capital: Room 312 Chairman: Rob Alessie Raymond Montizaan (UM) Training access and retirement behavior Paper Presentation Discussant: Teresa Bago d’ uva (EUR) 14.35 - 15.10 Jordana Liberali (EUR) Designing risk communications that help consumers to make better decisions: a comparison of gist and verbatim level messages Paper (not available) Presentation Discussant: Henriette prast (TiU) 14.00 - 14.35 Session Pension Adequacy: Room 314 Chairman: Arthur van Soest Patrick Gerhard (UM) Reverse mortgages: what homeowners (don’ t) know and how it matters Paper Presentation Discussant: Danilo Cavapozzi (University of Venice) 14.35 - 15.10 Marike Knoef (UL) Retirement savings adequacy: an international perspective Paper Presentation Discussant: Theo Nijman (TiU) 15.15 - 15.30 Break 15.30 - 16.05 Session Retirement: Room 311 Chairman: Lei Delsen Didier Fouarge (UM) Do noncognitive skills affect the retirement decision? Paper (not available) Presentation Discussant: Arthur van Soest (TiU) Tunga Kantarci (TiU) 16.05 - 16.40 Analysis of the stated preferences for risk and uncertainity in pension plans in the Netherlands Paper Presentation Discussant: Eduard Suari Andreu (RUG) Presentation 16.40 - 17.15 Johannes Hagen (Uppsala University) The determinants of annuitization: evidence from Sweden Paper Presentation Discussant: John Turner (Pension Policy Center) 15.30 - 16.05 Session Financial Decisions: Room 312 Chairman: Samuel Sender Lei Shu (TiU) An Evaluation of the nFTK Presentation Discussant: nnb 16.05 - 16.40 Michel Vellekoop (UvA) Term structures with converging forward rates Paper (not available) Presentation Discussant: Hailong Bao (TiU) 16.40 - 17.15 Ran Xing (TiU) Trading-cost management of mutual funds Paper Presentation Discussant: Patrick Tuijp (UvA) 15.30 - 16.05 Session Micro Decisions: Room 314 Chairman: Marike Knoef Rob Alessie (RUG) Consumption behavior, annuity income and mortality risk of the elderly Paper Presentation Discussant: Raymond Montizaan (UM) 16.05 - 16.40 Yue Li (UvA) The role of wealth in the start-up decision of new self-employed: evidence from a pension policy reform Paper Presentation Discussant: Marike Knoef (UL) Presentation 16.40 - 17.15 Meimei Dai (EUR) Investigating value of information and information needs in pension plans within a life cycle model Paper (not available) Presentation Discussant: Arthur van Soest (TiU) 17.15 - Drinks Location Beatrix building Jaarbeurs Jaarbeursplein 3521 AL Utrecht Last updated: November 3, 2014 Program of day 2 Program of day 3 Program of day 4 Program of day 5