Dirk Broeders

De Nederlandsche Bank

Senior Economist

P.O. Box 98

Amsterdam, 1000 AB

Netherlands

http://www.dnb.nl/en/onderzoek-2/onderzoekers/overzicht-persoonlijke-paginas/dnb257487.jsp

Maastricht University

Professor of Pension Finance and Regulation

P.O. Box 616

Maastricht, 6200MD

Netherlands

http://https://www.maastrichtuniversity.nl/about-um/faculties/school-business-and-economics

  • De Nederlandsche Bank

  • Maastricht University

SCHOLARLY PAPERS

20

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2,306

SSRN CITATIONS
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SSRN RANKINGS

Top 16,576

in Total Papers Citations

25

CROSSREF CITATIONS

33

Ideas:
“  I work on climate change uncertainty, suptech, central banking, risk management, factor investing, herding behavior in financial markets, risk sharing, illiquid assets allocations, return attribution, longevity risk.  ”

  • De Nederlandsche Bank

  • Maastricht University

Scholarly Papers (20)

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1.

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model

Downloads 352 ( 91,978)
Citation 4

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model

Number of pages: 19 Posted: 25 Aug 2009 Last Revised: 01 Oct 2011
Jacob Antoon Bikker, Dirk Broeders, David Hollanders and Eduard H.M. Ponds
De Nederlandsche Bank, De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management and Algemene Pensioen Groep (APG)
Downloads 195 (168,321)
Citation 3

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Pension funds, the Netherlands, strategic equity allocation, lifecycle saving and investing

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life-Cycle Model

Netspar Discussion Paper No. 09/2009-032
Number of pages: 20 Posted: 20 Nov 2009
Dirk Broeders, David Hollanders, Eduard H.M. Ponds and Jacob Antoon Bikker
De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management, Algemene Pensioen Groep (APG) and De Nederlandsche Bank
Downloads 157 (203,985)

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Pension funds, strategic equity allocation, lifecycle saving and investing

Pension Funds’ Asset Allocation and Participant Age: A Test of the Life‐Cycle Model

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 595-618, 2012
Number of pages: 24 Posted: 23 Aug 2012
Jacob Antoon Bikker, Dirk Broeders, David Hollanders and Eduard H.M. Ponds
De Nederlandsche Bank, De Nederlandsche Bank, Tilburg University - Tilburg University School of Economics and Management and Algemene Pensioen Groep (APG)
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2.

Pension Fund's Illiquid Assets Allocation Under Liquidity and Capital Requirements

Journal of Pension Economics and Finance, Forthcoming
Number of pages: 44 Posted: 19 Apr 2017 Last Revised: 23 Feb 2020
Dirk Broeders, Kristy A.E. Jansen and Bas J. M. Werker
De Nederlandsche Bank, Tilburg University and Tilburg University - Center for Economic Research (CentER)
Downloads 250 (132,895)
Citation 3

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Illiquid assets, asset liability management, asset allocation, liquidity constraints, capital constraints, pension funds, regulation

3.

A Utility-Based Comparison of Pension Funds and Life Insurance Companies under Regulatory Constraints

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 25 Posted: 28 Feb 2010 Last Revised: 10 Oct 2011
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, University of Ulm and University of Bonn - Department of Economics
Downloads 182 (179,311)
Citation 2

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Pension plans, barrier options, contingent claim approach, mean- variance-skewness analysis

4.

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

Downloads 151 (210,365)
Citation 5

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

Journal of Risk and Insurance, Forthcoming
Number of pages: 46 Posted: 12 Nov 2010 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 95 (298,201)
Citation 4

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Pension Plans, Regulation, Barrier Options, Rainbow Barrier Options, Guarantee Systems

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund and Sponsor Support

De Nederlandsche Bank Working Paper No. 268
Number of pages: 48 Posted: 27 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 56 (403,590)
Citation 1

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Pension plans, regulation, barrier options, rainbow barrier options, guarantee systems

Pension Benefit Security: A Comparison of Solvency Requirements, a Pension Guarantee Fund, and Sponsor Support

Journal of Risk and Insurance, Vol. 80, Issue 2, pp. 239-272, 2013
Number of pages: 34 Posted: 22 May 2013
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Bonn - Faculty of Law & Economics
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5.

Valuation of Liabilities in Hybrid Pension Plans

Downloads 146 (216,284)
Citation 2

Valuation of Liabilities in Hybrid Pension Plans

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 30 Posted: 30 Sep 2011
Dirk Broeders, An Chen and David R. Rijsbergen
De Nederlandsche Bank, University of Ulm and De Nederlandsche Bank
Downloads 79 (334,827)

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Market consistent valuation, overlapping generations, forward risk adjusted measure

Valuation of Liabilities in Hybrid Pension Plans

De Nederlandsche Bank Working Paper No. 326
Number of pages: 37 Posted: 15 Dec 2011
Dirk Broeders, An Chen and David R. Rijsbergen
De Nederlandsche Bank, University of Ulm and De Nederlandsche Bank
Downloads 67 (368,066)
Citation 2

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Market consistent valuation, overlapping generations, forward risk adjusted measure, Vasicek

6.

A Life-Cycle Approach in the Dutch Occupational Pension System?

Rotman International Journal of Pension Management, Vol. 3, No. 1, 2010
Number of pages: 9 Posted: 01 Jun 2010
Dirk Broeders and David R. Rijsbergen
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 141 (223,730)
Citation 1

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Benefit, Cost, Investment, Pension Fund, Performance Metric

7.

Valuation of Contingent Pension Liabilities and Guarantees under Sponsor Vulnerability

22nd Australasian Finance and Banking Conference 2009
Number of pages: 49 Posted: 14 Apr 2008 Last Revised: 10 Oct 2011
Dirk Broeders
De Nederlandsche Bank
Downloads 134 (231,617)
Citation 3

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Defined benefit, contingent indexation, pension put, reverse financial engineering, vulnerable options

8.

Pension Funds’ Herding

De Nederlandsche Bank Working Paper No. 503
Number of pages: 40 Posted: 02 Mar 2016
Dirk Broeders, Damiaan Chen, Peter Minderhoud and Willem Schudel
De Nederlandsche Bank, University of Amsterdam, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 128 (240,007)
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Occupational Pension Funds, Asset Allocation, Herding; Financial Stability

9.

Liability-Driven Investors

Number of pages: 85 Posted: 06 Sep 2019 Last Revised: 21 May 2020
Dirk Broeders and Kristy A.E. Jansen
De Nederlandsche Bank and Tilburg University
Downloads 127 (241,395)
Citation 1

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factor exposures, liabilities, pension funds, regulations, returns

10.

Scale Economies in Pension Fund Investments: A Dissection of Investment Costs Across Asset Classes

De Nederlandsche Bank Working Paper No. 474
Number of pages: 54 Posted: 05 Jun 2015
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 124 (245,684)
Citation 2

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pension funds, asset management, management costs, performance fees

11.

Pension Funds Interconnections and Herd Behavior

De Nederlandsche Bank Working Paper No. 612
Number of pages: 67 Posted: 06 Nov 2018
Rob Bauer, Matteo Bonetti and Dirk Broeders
Maastricht University, Maastricht University and De Nederlandsche Bank
Downloads 104 (278,846)
Citation 1

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Herd Behavior, Pension Funds, Asset Allocation, Alternative Asset Classes, Spatial Econometrics, Interconnection

12.

Utility-Equivalence of Pension Security Mechanisms

Downloads 98 (290,146)

Utility-Equivalence of Pension Security Mechanisms

Number of pages: 28 Posted: 03 Jan 2012 Last Revised: 08 Jan 2014
An Chen, Dirk Broeders and Birgit Koos
University of Ulm, De Nederlandsche Bank and University of Bonn - Department of Economics
Downloads 75 (345,439)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

Utility-Equivalence of Pension Security Mechanisms

De Nederlandsche Bank Working Paper No. 414
Number of pages: 31 Posted: 29 Jan 2014
Dirk Broeders, An Chen and Birgit Koos
De Nederlandsche Bank, University of Ulm and University of Bonn - Department of Economics
Downloads 23 (560,676)

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Pension plans, pension regulation, guarantee systems, power utility, certainty equivalents

13.

Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian Options

Journal of Banking and Finance, Vol. 34, No. 6, pp. 1201-1214
Number of pages: 34 Posted: 24 Aug 2009 Last Revised: 10 Oct 2011
Dirk Broeders and An Chen
De Nederlandsche Bank and University of Ulm
Downloads 81 (326,798)
Citation 1

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pension funds, DB and DC pension plans, barrier options, Parisian barrier options

14.

Does it Pay to Pay Performance Fees? Empirical Evidence from Dutch Pension Funds

De Nederlandsche Bank Working Paper No. 561
Number of pages: 49 Posted: 19 Jul 2017
Dirk Broeders, Arco van Oord and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 77 (336,645)

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pension funds, asset management, performance fees, investment costs

15.

The Economics of Sharing Macro-longevity Risk

De Nederlandsche Bank Working Paper No. 618
Number of pages: 43 Posted: 07 Jan 2019 Last Revised: 06 Mar 2019
Dirk Broeders, Roel Mehlkopf and Annick van Ool
De Nederlandsche Bank, Tilburg University and De Nederlandsche Bank
Downloads 67 (363,595)
Citation 1

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Macro-longevity risk, risk sharing, welfare analysis, retirement age

16.

Stability of Participation in Collective Pension Schemes: An Option Pricing Approach

Downloads 41 (453,084)
Citation 2

Stability of Participation in Collective Pension Schemes: An Option Pricing Approach

De Nederlandsche Bank Working Paper No. 484
Number of pages: 57 Posted: 23 Oct 2015
Damiaan Chen, Roel M. W. J. Beetsma and Dirk Broeders
University of Amsterdam, University of Amsterdam - Research Institute in Economics & Econometrics (RESAM) and De Nederlandsche Bank
Downloads 27 (534,523)
Citation 3

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defined-benefit and collective defined-contribution pension funds, participation decision, actuarially fair, uniform and age-dependent contribution, European, Bermuda and American option, Least Squares Monte Carlo simulations, stability

Stability of Participation in Collective Pension Schemes: An Option Pricing Approach

Netspar Discussion Paper No. 09/2015-029
Number of pages: 54 Posted: 18 Sep 2015
Damiaan Chen, Roel M. W. J. Beetsma and Dirk Broeders
University of Amsterdam, University of Amsterdam - Research Institute in Economics & Econometrics (RESAM) and De Nederlandsche Bank
Downloads 14 (624,032)

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Defined-benefit and collective defined-contribution pension funds, participation decision, actuarially fair, uniform and age-dependent contribution, European, Bermuda and American option, Least Squares Monte Carlo simulations, stability

17.

Benchmark Selection and Performance

De Nederlandsche Bank Working Paper No. 603
Number of pages: 37 Posted: 14 Aug 2018
Dirk Broeders and Leo de Haan
De Nederlandsche Bank and De Nederlandsche Bank
Downloads 36 (474,647)
Citation 1

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Pension funds, Asset allocation, Benchmark selection, Investment performance

18.

What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds

De Nederlandsche Bank Working Paper No. 368
Number of pages: 47 Posted: 19 Jan 2013
Dirk Broeders, Paul Hilbers and David R. Rijsbergen
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
Downloads 34 (483,809)
Citation 1

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Indexation, policy ladders, defined benefit plans

19.

Fair Pensions

De Nederlandsche Bank Working Paper No. 630
Number of pages: 46 Posted: 19 Apr 2019
Ilja Boelaars and Dirk Broeders
University of Chicago and De Nederlandsche Bank
Downloads 30 (503,506)
Citation 1

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Pension, Retirement, Asset Pricing, Fair value, Intergenerational risk-sharing, Funded pension systems

20.

Valuation of Contingent Pension Liabilities and Guarantees Under Sponsor Default Risk

Journal of Risk and Insurance, Vol. 77, Issue 4, pp. 911-934, December 2010
Number of pages: 24 Posted: 16 Nov 2010
Dirk Broeders
De Nederlandsche Bank
Downloads 3 (678,452)
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