Essays on the valuation of discretionary liabilities and pension fund investment policy

D.W.G.A. Broeders

Research output: ThesisDoctoral Thesis

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Abstract

The four essays collected in this dissertation serve as a contribution to the broad field of pension finance. They focus on the economic understanding of liability valuation on the one hand and investment policy for pension funds on the other. The first article concerns the impact of the sponsor’s creditworthiness on the valuation of contingent pension liabilities and optimal investment policy. The second article considers the relationship between investment policy, regulatory environment and the valuation of contingent pension liabilities. The third article describes how pension funds adjust their asset allocation in reaction to the performance of the stock market. The final article tests how pension funds account for the age of the participants in choosing their investment strategy.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Nijman, Theo, Promotor
  • de Roon, Frans, Promotor
  • (RUG) Knot, K., Promotor, External person
Award date22 Jun 2010
Place of PublicationTilburg
Publisher
Print ISBNs9789056682545
Publication statusPublished - 2010

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    Broeders, D. W. G. A. (2010). Essays on the valuation of discretionary liabilities and pension fund investment policy. CentER, Center for Economic Research.