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Institute
Vorgestellt wird eine empirische Studie, welche den Zusammenhang zwischen Rendite und Risiko für ein Sample deutscher Versicherungsaktien im Zeitraum 1975-1998 untersucht. Als Methode wurde ein Multifaktorenmodell mit makroökonomischen Faktoren verwendet. Je nach Untersuchungszeitraum beläuft sich der Anteil der erklärten Varianz auf 9,29% bis 13,62%. Es konnte eine signifikanter negativer Einfluß zwischen der Veränderung des allgemeinen Zinsniveaus und den Risikoprämien von Versicherungsaktien identifiziert werden. Weiterhin ist Wechselkurses der DM zum US-Dollar signifikant.
This paper investigates whether exchanging the Social Security delayed retirement credit, currently paid as an increase in lifetime annuity benefits, for a lump sum would induce later claiming and additional work. We show that people would voluntarily claim about half a year later if the lump sum were paid for claiming any time after the Early Retirement Age, and about two-thirds of a year later if the lump sum were paid only for those claiming after their Full Retirement Age. Overall, people will work one-third to one-half of the additional months, compared to the status quo. Those who would currently claim at the youngest ages are likely to be most responsive to the offer of a lump sum benefit.
Der "Generationenvertrag" der gesetzlichen Rentenversicherung hat die Grenzen seiner Leistungsfähigkeit erreicht. Damit ist die "erste Säule" der Alterssicherung, die auf diesem Umlageverfahren basiert, ins Wanken geraten. Schuld daran ist die zunehmende Überalterung der Gesellschaft, aber auch die anhaltend hohe Arbeitslosigkeit, die zu enormen Beitragsausfällen führt. Schon heute sind die Rentenzahlungen nur noch zu rund 75 Prozent durch die Sozialversicherungsbeiträge der arbeitenden Bevölkerung gedeckt, der Rest muss – ähnlich wie bei den Beamtenpensionen – aus dem allgemeinen Steueraufkommen finanziert werden. Das birgt vor allem für die jungen Beitragszahler substanzielle Risiken. Angesichts dieser Perspektiven sind immer weniger junge Menschen bereit, steigende Rentenbeiträge bei stetig sinkenden Leistungen zu akzeptieren. Kann die kapitalgedeckte Alterssicherung diese Defizite auffangen? Wie lassen sich die vielfältigen Konzepte der privaten Alterssicherung bewerten?
Versicherungsunternehmen haben bei der Auswahl ihrer Vermögensanlagen die gesetzlichen Restriktionen des Versicherungsaufsichtsgesetzes einzuhalten. Neben einer strukturierten Darstellung der zahlreichen Regulierungstatbestände werden aus Sicht der Finanzierungstheorie sowie den empirischen Verhältnissen an den Kapitalmärkten die im VAG enthaltenen Rahmenbedingungen einer kritischen Bewertung unterzogen.
We investigate the theoretical impact of including two empirically-grounded insights in a dynamic life cycle portfolio choice model. The first is to recognize that, when managing their own financial wealth, investors incur opportunity costs in terms of current and future human capital accumulation, particularly if human capital is acquired via learning by doing. The second is that we incorporate age-varying efficiency patterns in financial decisionmaking. Both enhancements produce inactivity in portfolio adjustment patterns consistent with empirical evidence. We also analyze individuals’ optimal choice between self-managing their wealth versus delegating the task to a financial advisor. Delegation proves most valuable to the young and the old. Our calibrated model quantifies welfare gains from including investment time and money costs, as well as delegation, in a life cycle setting.
This paper examines heterogeneity in time discounting among a representative sample of elderly Americans, as well as its role in explaining key economic behaviors at older ages. We show how older Americans evaluate simple (hypothetical) inter-temporal choices in which payments today are compared with payments in the future. Using the indicators derived from this measure, we then demonstrate that differences in discounting patterns are associated with characteristics of particular importance in elderly populations. For example, cognitive deficits are associated with greater impatience, whereas bequest motives are associated with less impatience. We then relate our discounting measure to key economic outcomes and find that impatience is associated with lower wealth, fewer investments in health, and less planning for end of life care.
Public employee pension systems throughout the developed world have traditionally been of the pay-as-you-go (PAYGO) defined benefit (DB) variety, where pensioner payments are financed by taxes (contributions) levied on the working generation. But as the number of retirees rises relative to the working-age group, such systems have begun to face financial distress. This trend has been exacerbated in many countries, among them Germany, by high unemployment rates producing further deterioration of the contribution base. In the long run, public sector pension benefits will have to be cut or contributions increased, if the systems are to be maintained. An alternative path sometimes offered to ease the crunch of paying for public employee pensions is to move toward funding: here, plan assets are gradually built up, invested, and enhanced returns devoted to partly defray civil servants’ pension costs. In this study, we evaluate the impact of introducing partial prefunding, paired with a strategic investment policy for the German federal state of Hesse. The analysis assesses the impact of introducing a supplementary tax-sponsored pension fund whose contributions are invested in the capital market and used to relieve the state budget from (some) pension payments. Our model determines the expectation and the Conditional Value-at-Risk of economic pension costs using a stochastic simulation process for pension plan assets. This approach simultaneously determines the optimal contribution rate and asset allocation that controls the expected economic costs of providing the promised pensions, while at the same time controlling investment risk. Specifically, we offer answers to the following questions: 1. How can the plan be designed to control cash-flow shortfall risk, so as to mitigate the potential burden borne by future generations of taxpayers? 2. What is the optimal asset allocation for this fund as it is built up, to generate a maximum return while simultaneously restricting capital market and liability risk? 3. What are reasonable combinations of annual contribution rates and asset allocation to a state-managed pension fund, which will limit costs of providing promised public sector pensions? We anticipate that this research will interest several sorts of policymaker groups. First, focusing on the German case, the state and Federal governments should find it relevant, as these entities face considerable public sector pension liabilities. Second, our findings will also be of interest to other European countries, as most have substantial underfunded defined benefit plans for civil servants. In what follows, we first offer a brief description of the structure of civil servant pensions in Germany, focusing on their benefit formulas, their financing, and the resulting current as well as future plan obligations for taxpayers. Next, we turn to an analysis of the actuarial status of the Hesse civil servants’ pension plan and evaluate how much would have to be contributed to fund this plan in a nonstochastic context. Subsequently we evaluate the asset-liability and decision-making process from the viewpoint of the plan sponsor, to determine sensible plan asset allocation behavior. A final section summarizes findings and implications.
The paper discusses an additional reform proposal for enhancing Social Security solvency which reframes the existing debate in a different light. In our research, we focus on incentives to prolong working years and to delay benefits claiming as a way of sustaining Social Security. Specifically, we analyze how the offer of a budget-neutral, actuarially fair lump sum payment - instead of the current delayed retirement credit – would encourage people to delay claiming their OASI benefits and work longer. The results of our research will be useful for policymakers, namely in (1) measuring who would delay claiming benefits if offered a lump sum instead of higher annuity payments, (2) examining how long they would wait, and (3) how much longer, if at all, they would continue working in the interim.
Shares of open-end real estate funds are typically traded directly between the investor and the fund management company. However, we provide empirical evidence for the growth of secondary market activities, i.e., the trading of shares on stock exchanges. We find high trading levels in situations where the fund management company suspends the issue or redemption of shares. Shares trade at a discount when the fund management company suspends the redemption, whereas shares trade at a premium when the fund management company suspends the issue. We also find evidence that secondary market trading activity is increasing since German regulation introduced a minimum holding period and a mandatory notice period for open-end real estate funds.