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dc.contributor.authorMaurer, Raimond H.en
dc.contributor.authorSchlag, Christianen
dc.date.accessioned2009-07-24T13:34:31Z-
dc.date.available2009-07-24T13:34:31Z-
dc.date.issued2002-
dc.identifier.piurn:nbn:de:hebis:30-9932en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2002/03en
dc.subject.jelG11en
dc.subject.jelG23en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordPension Financeen
dc.subject.keywordShortfall Risken
dc.subject.keywordLong Term Investmenten
dc.subject.keywordRegulationen
dc.titleMoney-back guarantees in individual pension accounts: Evidence from the German pension reform-
dc.typeWorking Paperen
dc.identifier.ppn350999236en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200203en

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