Investment risk taking by institutional investors

J. Gorter, J.A. Bikker

    Research output: Working paperAcademic


    This paper is the first that formally compares investment risk taking by pension
    funds and insurance firms. Using a unique and extended dataset that covers the
    volatile investment period 1995-2009, we find that, in the Netherlands, insurers
    take substantially less investment risk than pension funds, even though a market
    risk capital charge for insurers is yet absent. This result can be explained from
    financial distress costs, which only insurers face. We also find that institutional
    investors’ risk taking is determined by their risk bearing capacity, where this risk
    bearing capacity depends on capital, size, reinsurance, underwriting risk and human
    and financial wealth per pension plan participant. Finally, and in line with the
    ownership structure hypothesis, stock insurers are found to take significantly more
    investment risk than mutual insurers.
    Original languageEnglish
    Place of PublicationUtrecht
    PublisherUU USE Tjalling C. Koopmans Research Institute
    Number of pages22
    Publication statusPublished - 2011

    Publication series

    NameDiscussion Paper Series / Tjalling C. Koopmans Research Institute
    ISSN (Electronic)2666-8238


    • Portfolio Choice
    • Insurance Companies
    • Pension Funds
    • Ownership Structure


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