Opleiding: Caput Financing of Pensions

Leerdoelen

Upon completion of this course, the student will be able to:

• point out the major challenges of pension systems;
• formulate models of optimal consumption and portfolio selection over the life cycle;
• solve models of optimal consumption and portfolio selection over the life cycle;
• describe the main features of the optimal life cycle policies;
• discuss the implications of the optimal policies for pension funds;
• explain a few behavioral economic theories and principles in the context of pension system design.

Inhoud

This course provides an in-depth treatment of the funding and risk aspects of occupational and private pensions. In particular, we study optimal consumption and portfolio selection over an individual’s life cycle. 

The following topics will be studied:

• A short introduction to/recap of the three pillar pension system, the Dutch occupational pension system and its strengths and weaknesses, and current pension policy developments in an international context;
• optimal consumption and portfolio selection over the life cycle with risky stocks;
• optimal consumption and portfolio selection over the life cycle with stochastic interest rates and inflation rates;
• impact of housing and human capital on optimal life cycle strategies;
• profit-sharing in life annuity contracts;
• buffering of portfolio shocks;
• behavioral economic theories and principles in the context of pension system design.