Collective Defined Contribution Plans – Backtesting Based on German Capital Market Data 1950 - 2022
- Using historical capital market data for Germany (1950-2022) we analyze and compare (individual) defined contribution (IDC-) and collective defined contribution (CDC) pension plans. To this end we define simple asset liability management rules that govern a CDC pension plan and compare these to IDC-plans with the same asset allovation. Our main result is, that the CDC pension plans allow for a significant improvement of the risk return profile compared to individual pension plans. Hereby we consider different risk measures. This empirical study affirms the theoretical results based on stochastic CDC-models.
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| Author: | Oskar Goecke |
|---|---|
| URN: | urn:nbn:de:hbz:832-cos4-9875 |
| DOI: | https://doi.org/10.57684/COS-987 |
| Series (Serial Number): | Forschung am ivwKöln (4/2022) |
| Document Type: | Working Paper |
| Language: | English |
| Release Date: | 2022/11/07 |
| GND Keyword: | Kapitalmarkt |
| Page Number: | 45 |
| Institutes and Central Facilities: | Fakultät für Wirtschafts- und Rechtswissenschaften (F04) / Fakultät 04 / Institut für Versicherungswesen |
| Dewey Decimal Classification: | 300 Sozialwissenschaften / 330 Wirtschaft |
| JEL-Classification: | G Financial Economics / G2 Financial Institutions and Services / G20 General |
| Open Access: | Open Access |
| Licence (German): |  Creative Commons - CC BY-NC-ND - Namensnennung - Nicht kommerziell - Keine Bearbeitungen 4.0 International |
