Doorbeleggen met garanties?

We consider two extensions of a standard contract under the Dutch Wvp regulation. These contracts allow for limited investment risk after retirement. One extension is interest rate risk. The standard contract specifications assume a constant flat term structure. We introduce interest rate risk and show how interest rate shocks affect pension payments and how this risk can be partially hedged. The other extension concerns a minimum payout guarantee. The Wvp contract resembles a variable annuity with time-varying exposure to investment risk. Combining it with elements of a fixed annuity creates a lower bound on pension payments, for example at 75% of a fixed annuity. This provides a robust payoff function when risk aversion and time preference of participants in the pension scheme cannot be measured accurately.