Money-back guarantees in individual pension accounts : evidence from the German pension reform
- The German Retirement Saving Act instituted a new funded system of supplementary pensions coupled with a general reduction in the level of state pay-as-you-go old-age pensions. In order to qualify for tax relief, the providers of supplementary savings products must offer a guarantee of the nominal value at retirement of contributions paid into these saving accounts. This paper explores how this "money-back" guarantee works and evaluates alternative designs for guarantee structures, including a life cycle model (dynamic asset allocation), a plan with a pre-specified blend of equity and bond investments (static asset allocation), and some type of portfolio insurance. We use a simulation methodology to compare hedging effectiveness and hedging costs associated with the provision of the money-back guarantee. In addition, the guarantee has important implications for regulators who must find an appropriate solvency system for such saving schemes. This version June 17, 2002 . Klassifikation: G11, G23, G28
| Verfasserangaben: | Raimond MaurerORCiDGND, Christian SchlagORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30-9932 |
| Titel des übergeordneten Werkes (Englisch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,03 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2002, 03) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2002 |
| Jahr der Erstveröffentlichung: | 2002 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 13.06.2005 |
| Freies Schlagwort / Tag: | Limited Partnership; Long Term Investment; Pension Finance; Regulation; Shortfall Risk |
| GND-Schlagwort: | Deutschland; Private Altersversorgung; Kapitalertrag; Kapitalgewinn; Risiko; Hedging; Investmentfonds; Investmentsparen; Rentenreform; Mängelhaftung |
| Ausgabe / Heft: | Version June 17, 2002 |
| Seitenzahl: | 32 |
| HeBIS-PPN: | 202108287 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
