390210 :Investment Analysis of Pensions and Insurance


Voertaal Engels
Werkvorm: lectures (Geen informatie over collegetijden bekend)
Tentamenvorm: written exam (75%), assignments (25%) (Tentamenrooster)
Studielast:6 ECTS credits
Inschrijving:THIS COURSE IS REPLACED BY: 323076 Fixed Income Analysis, please see Transition Rule for details
Blackboard informatieniet beschikbaar in Blackboard


prof. dr. F.C.J.M. de Jong (coordinator)

prof. dr. B. Melenberg

Doel van de cursus

This course aims at understanding of the investment policy, valuation and the risk management of pension funds and insurance companies.

Inhoud van de cursus

The course is subdivided into four parts:

The first part of the course focuses on models for the term structure of interest rates. These models can be applied to value bonds and interest rate derivatives, to assess the risk exposure of interest rate sensitive positions, and to quantify the risk premia on bond investments. We discuss both the theoretical setup of the models and the empirical implementation of the models. Particular attention will be paid to modeling the term structure of real interest rates and inflation rates. We discuss the application of these models to the asset-and-liability management of pension funds and insurance companies. We also briefly discuss the modeling of life expectancy


The second part focuses on an in depth discussion of optimal portfolio choice and risk management of institutional investors. This part will be illustrated using a number of case studies.

The third part of the course deals with the use of annuities in retirement planning.

The fourth part of the course deals with the valuation of contingent claims. In their liabilities, pension funds and insurance companies have option-like elements such as rate of return guarantees, sponsor contributions, profit sharing agreements and conditional indexation. The course discusses methods for the valuation of such contingent claims, such as risk neutral valuation and deflators.

Verplichte literatuur

  1. Bodie, Kane and Marcus, Investments, McGraw Hill, Irwin, 9th edition, 2011.
  2. To be announced on Blackboard.

Verplicht voor

  • MSc Finance: track Pensions, Aging, and Retirement ( 2014, 2015 )

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