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
| Author: | Raimond MaurerORCiDGND, Christian Schlag |
|---|---|
| URN: | urn:nbn:de:hebis:30-9932 |
| Parent Title (English): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2002,03 |
| Series (Serial Number): | CFS working paper series (2002, 03) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2002 |
| Year of first Publication: | 2002 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2005/06/13 |
| Tag: | Limited Partnership; Long Term Investment; Pension Finance; Regulation; Shortfall Risk |
| GND Keyword: | Deutschland; Private Altersversorgung; Kapitalertrag; Kapitalgewinn; Risiko; Hedging; Investmentfonds; Investmentsparen; Rentenreform; Mängelhaftung |
| Issue: | Version June 17, 2002 |
| Page Number: | 32 |
| HeBIS-PPN: | 202108287 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
