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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/19754
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| Title: | | Empirical risk analysis of pension insurance: the case of Germany  |
| Authors: | | Schmieder, Christian Reinschmidt, Timo Mager, Ferdinand Gerke, Wolfgang |
| Issue Date: | | 2006 |
| Series/Report no.: | | Discussion Paper, Series 2: Banking and Financial Supervision 2006,07 |
| Abstract: | | With this paper we seek to contribute to the literature on pension insurance systems. The financial literature tends to focus exclusively on the US pension insurance system. This is the first major empirical study to address the German occupational pension insurance (PSVaG) plan in Germany. The study is based on a Merton-type one-factor model, in which we determine the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge widely, a marginal risk contribution method would produce less pronounced differences compared to the current, uniform pricing plan. |
| Subjects: | | Pension insurance Risk-adjusted premiums Credit portfolio risk |
| JEL: | | G18 G28 C15 G22 G23 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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