Measuring and explaining implicit risk sharing in defined benefit pension funds

Jacob Bikker (), Thijs Knaap and Ward Romp

Applied Economics, 2014, vol. 46, issue 17, 1996-2009

Abstract: This article investigates responses to changes in solvency by occupational pension funds using a unique panel data set containing the balance sheets of all registered pension funds in the Netherlands over a period of 13 years (1993--2005). A fixed discount rate for liabilities in the supervisory framework allows us to measure the response of pension funds to solvency shocks. We find that pension rights are expanded, by e.g. indexation, or limited, by for instance setting the pension premium over its actuarially fair price, in line with the funding ratio but that the pension funds' response function exhibits two sharp and significant behavioural breaks, close to the minimum funding ratio of 105% and the target ratio of around 125%. We further find that large funds and grey funds are relatively generous to current participants.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.889804 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:46:y:2014:i:17:p:1996-2009

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2014.889804

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().