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2019
1 Downloads (Pure)

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Gertsman, G., Frehen, R. & Werker, B., Nov 2019, (In preparation) SSRN, 49 p. (SSRN Journal).

Research output: Working paperOther research output

File
Uncertainty
Hedge
Investors
Equity markets
Derivatives

Baten van slimme toedeling rendementen hoger dan van intergenerationele risicodeling

Muns, S. & Werker, B., 25 Sep 2019, In : Economisch Statistische Berichten. 4777, p. 427-429

Research output: Contribution to journalArticleProfessional

2016
64 Downloads (Pure)

Linear Factor Models and the Estimation of Expected Returns

Sarisoy, C., de Goeij, P. & Werker, B., Mar 2016, Tilburg: NETSPAR, 48 p. (Netspar Academic Paper; vol. DP 03/2016-020).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Assets
Expected returns
Factors
Risk premium
Generalized method of moments estimator
34 Downloads (Pure)

De Meerwaarde van Risicodeling met Toekomstige Generaties Nader Bezien

Boeijen, D., Bonenkamp, J., Bovenberg, L., Frehen, L., de Haan, J., Joseph, A., Lever, M., Loois, M., Michielsen, T., Nijman, T., Ponds, E. & Werker, B., Nov 2016, Tilburg: NETSPAR, (Netspar Industry Paper; vol. Occasional 07/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
2017
2019
14 Downloads (Pure)

De Bepaling van de Marktwaarde van Bestaande Aanspraken in een Uitkeringsovereenkomst

Nijman, T., Bovenberg, L., Werker, B., Lever, M., Kocken, T., van Hoogdalem, S., Bouwman, K., Bonenkamp, J., Balter, A. & Boeijen, D., 2019, Tilburg: NETSPAR. 34 p. (Netspar Occasional Paper; vol. 2019, no. 03)

Research output: Book/ReportReport

Open Access
File
2018
11 Downloads (Pure)
File
2017
7 Downloads (Pure)

Overgangseffecten bij Afschaffing Doorsneesystematiek: Een Gezamenlijk Rapport van CPB en Netspar

Lever, M., van Ewijk, C., Werker, B. & van Wijnbergen, S., 2017, Tilburg: NETSPAR. 14 p. (Netspar Occasional Paper ; vol. 03/2017)

Research output: Book/ReportReport

Open Access
File
2016

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, M., van den Akker, R. & Werker, B., 1 Jan 2016, In : Journal of Econometrics. 190, 1, p. 46-61 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Cointegration
Error correction model
Innovation
Semiparametric efficiency bound
Asymptotic analysis
2017

The composite iteration algorithm for finding efficient and financially fair risk-sharing rules

Pazdera, J., Schumacher, H. & Werker, B., Oct 2017, In : Journal of Mathematical Economics. 72, p. 122-133

Research output: Contribution to journalArticleScientificpeer-review

Risk Sharing
Fairness
Pareto Efficiency
Composite
Iteration
2016

Cooperative investment in incomplete markets under financial fairness

Pazdera, J., Schumacher, H. & Werker, B., Nov 2016, In : Insurance: Mathematics & Economics. 71, p. 394-406

Research output: Contribution to journalArticleScientificpeer-review

Incomplete Markets
Fairness
Risk Sharing
Contingent Claims
Expected Utility
2019

Semiparametrically point-optimal hybrid rank tests for unit roots

Zhou, B., van den Akker, R. & Werker, B. J. M., Oct 2019, In : The Annals of Statistics. 47, 5, p. 2601-2638

Research output: Contribution to journalArticleScientificpeer-review

2017
179 Downloads (Pure)

Health cost risk: A potential solution to the annuity puzzle

Peijnenburg, J. M. J., Nijman, T. & Werker, B., Aug 2017, In : The Economic Journal. 127, 603, p. 1598-1625

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Retirement
Annuities
Health costs
Annuitization
Time to build
2016

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen vanuit Vermogens per Horizon

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 15 p. (Netspar Industry Paper; vol. Occasional 11/2016).

Research output: Working paperDiscussion paperOther research output

Open Access

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen Vanuit Aanspraken

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 6 p. (Netspar Industry Paper; vol. Occasional 06/2016).

Research output: Working paperDiscussion paperOther research output

18 Downloads (Pure)

Herverdelingseffecten van Verschillende Projectierentes in Verbeterde Premieregelingen

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 8 p. (Netspar Industry Paper; vol. Occasional 13/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
17 Downloads (Pure)

Projectierentes in Verbeterde Premieregelingen

Bovenberg, L., Nijman, T. & Werker, B., May 2016, Tilburg: NETSPAR, 22 p. (Netspar Industry Paper; vol. Occasional 12/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
2017

Efficient estimation of integrated volatility and related processes

Renault, E., Sarisoy, C. & Werker, B., Apr 2017, In : Econometric Theory. 33, 2, p. 439-478

Research output: Contribution to journalArticleScientificpeer-review

public opinion
efficiency
Efficient estimation
Integrated volatility
Nonparametric bounds
2016

Is macroeconomic announcement news priced?

de Goeij, P., Hu, J. & Werker, B., 2016, In : Bankers, Markets and Investors. 143, p. 4-17

Research output: Contribution to journalArticleScientificpeer-review

News
Macroeconomic news announcements
Cross-section of stock returns
Price of risk
Contraction
10 Downloads (Pure)

The annuity puzzle remains a puzzle

Peijnenburg, K., Nijman, T. & Werker, B. J. M., Sep 2016, In : Journal of Economic Dynamics and Control. 70, p. 18-35

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Pensioendebat gebaat bij eenheid in verscheidenheid

Bovenberg, L., Lever, M., Nijman, T. & Werker, B., 21 Dec 2016, In : Pensioen Pro.

Research output: Contribution to journalArticleProfessional

72 Downloads (Pure)

Heldere en Harde Pensioenrechten Onder een PPR

Heemskerk, M., Maatman, R. M. & Werker, B., Jan 2016, Tilburg: NETSPAR, 62 p. (Netspar Industry Paper; vol. Design 46).

Research output: Working paperDiscussion paperOther research output

Open Access
File
157 Downloads (Pure)

Robustness for Asset-Liability Management of Pension Funds

Horváth, F., de Jong, F. & Werker, B., 2016, Tilburg: NETSPAR, 46 p. (Netspar Industry Paper; vol. Survey 47).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Asset-liability management
Pension funds
Robustness
Dynamic asset allocation
Uncertainty

Asymptotic inference for jump diffusions with state-dependent intensity

Becheri, G., Drost, F. & Werker, B., 1 Jun 2016, In : Scandinavian Journal of Statistics. 43, 2, p. 520-542

Research output: Contribution to journalArticleScientificpeer-review

Asymptotic Inference
Jump Diffusion
Volatility
Local Asymptotic Normality
Jump-diffusion Process
26 Downloads (Pure)

Welke Vaste Dalingen en Welk Beleggingsbeleid Passen bij Gewenste Uitkeringsprofielen in Verbeterde Premieregelingen?

Bonekamp, J., Bovenberg, L., Nijman, T. & Werker, B., Oct 2016, Tilburg: NETSPAR, 11 p. (Netspar Industry Paper; vol. Occasional 14/2016).

Research output: Working paperDiscussion paperOther research output

Open Access
File
2017

The Effect of the Assumed Interest Rate and Smoothing on Variable Annuities 2

Balter, A. & Werker, B., 2017, Tilburg: NETSPAR. (NETSPAR Design Paper; vol. 81)

Research output: Book/ReportReport

Open Access
Variable annuities
Retirement
Interest rates
Smoothing
Pensions
2020

The effect of the assumed interest rate and smoothing in variable annuities

Balter, A. G. & Werker, B. J. M., Jan 2020, In : ASTIN Bulletin. 50, 1, p. 131-154

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Variable annuities
Interest rates
Smoothing
Black-Scholes
Deviation