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dc.contributor.authorMaurer, Raimond H.en_US
dc.contributor.authorSchlag, Christianen_US
dc.date.accessioned2009-07-24T13:34:31Z-
dc.date.available2009-07-24T13:34:31Z-
dc.date.issued2002en_US
dc.identifier.piurn:nbn:de:hebis:30-9932-
dc.identifier.urihttp://hdl.handle.net/10419/25381-
dc.description.abstractThe 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 moneyback guarantee. In addition, the guarantee has important implications for regulators who must find an appropriate solvency system for such saving schemes.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2002/03en_US
dc.subject.jelG11en_US
dc.subject.jelG23en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordPension Financeen_US
dc.subject.keywordShortfall Risken_US
dc.subject.keywordLong Term Investmenten_US
dc.subject.keywordRegulationen_US
dc.titleMoney-back guarantees in individual pension accounts: Evidence from the German pension reformen_US
dc.typeWorking Paperen_US
dc.identifier.ppn350999236en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200203-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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