Kies de Nederlandse taal
Course module: 390211-M-6
Life Cycle Investment and Pension Systems
Course info
Course module390211-M-6
Credits (ECTS)6
CategoryMA (Master)
Course typeCourse
Language of instructionEnglish
Offered byTilburg University; Tilburg School of Economics and Management; TiSEM: Finance; Finance;
Is part of
M Quantitative Finance and Actuarial Science
M Econometrics and Mathematical Economics
Contact personprof. dr. T.E. Nijman
dr. S. van Bilsen
Other course modules lecturer
prof. dr. T.E. Nijman
Other course modules lecturer
Coordinator course
prof. dr. T.E. Nijman
Other course modules lecturer
Academic year2019
Starting block
SM 1
Course mode
Registration openfrom 19/08/2019 up to and including 24/01/2020

After completing this course, the student will understand the implications of econometric and actuarial modeling for the investment strategies and optimal pension provision of funded pensions. The student will understand key concepts such as life cycle investing, variable annuities and interest rate hedging.  Moreover, students will become familiar with some of the many ongoing debates in the national and international pension sector, including the Dutch pension agreement (June 2019) and the welfare costs of inadequate pension contracts.


This course is sponsored by Netspar, see


Pension systems vary widely between countries. In a number of countries, including the Netherlands, pension schemes are dominant which are characterized by mandatory participation, very limited individual choice with respect to asset allocation or pay-out structure and uniform contribution and accumulation for all participants. The other extreme is individual Defined Contribution schemes such as the 401(k) scheme in the US, which have also been extensively analyzed in the literature. In these schemes participants can choose whether to save for retirement and how to invest, and pay-outs are usually not insured against longevity risk. 

Advanced econometric models are used in motivating saving, investment and dissaving in all these  pension contracts.

The course consists of the following topics: 

  • Modeling assumptions that motivate life cycle investment;
  • Factor investing and Jensen’s alpha
  • Valuation and actuarial fair choice
  • Annuity design and insurance against longevity risk
  • Stylized discussion of pension systems 
  • The implications of econometric modeling for the Dutch policy debate on pension cuts and the pension agreement (June 2019)
  • Welfare and value impacts of intergenerational solidarity;
  • Costs and performance of pension systems.

Type of instructions

3 contact hours per week

Type of exams

Written exam (80%), assignments (20%)

Course available for exchange students
Master level, conditions apply
Timetable information
Life Cycle Investment and Pension Systems
Required materials
Recommended materials
Written 80%

Final grade

2 Papers 20%

Kies de Nederlandse taal