Refine
Document Type
- Working Paper (6)
- Conference Proceeding (5)
- Report (1)
Has Fulltext
- yes (12)
Keywords
- Versicherungswirtschaft (5)
- Altersversorgung (3)
- Versicherungsmathematik (3)
- Deutsche Aktuarvereinigung (2)
- Kapitalanlage (2)
- Kollektive Sparprozesse (2)
- Langlebigkeitsrisiko (2)
- Lebensversicherung (2)
- Verstetigung der Kapitalmarkterträge (2)
- collective saving processes (2)
- generationsübergreifende Risikoteilung (2)
- intergenerational risk transfer (2)
- pension insurance (2)
- smoothing of capital market returns (2)
- Actuarial tontine (1)
- Aktuare (1)
- Asset Liability-Management (1)
- Asset liability management (1)
- Backtesting (1)
- Cairns-Blake-Dowd Modell (1)
- Capital market risk (1)
- DAX (1)
- Economic Value Added (1)
- Embedded Value (1)
- FH Köln (1)
- FaRis (1)
- Feldafinger Brandkasse (1)
- Finanzmathematik (1)
- Intergene (1)
- Interne Modelle (1)
- Kapitalanlagerisiko (1)
- Kapitalmarkt (1)
- Katastrophe (1)
- Lee-Carter-Modell (1)
- Longevity Swaps (1)
- Longevity risk (1)
- MCEV (1)
- Markowitz Optimierung (1)
- Methode von Heligman-Pollard (1)
- Modell (1)
- Monte Carlo Simulationen (1)
- Monte Carlo simulations (1)
- Movementanalyse (1)
- Performanceoptimierung (1)
- Rendite (1)
- Resilience (1)
- Resilienz (1)
- Risiko (1)
- Risiko-Rendite-Profile (1)
- Risikomanagement (1)
- Risk-return-profiles (1)
- Schadenversicherung (1)
- Selbstfinanzierender Pensionsfonds (1)
- Self-financing pension fund (1)
- Stochastik (1)
- Unternehmensplanung (1)
- Versicherung (1)
- Versorgungsstruktur (1)
- Zinsgarantien (1)
- backtesting (1)
- faris (1)
Institute
Collective Defined Contribution Plans – Backtesting Based on German Capital Market Data 1950 - 2022
(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.