Optimal Investment Policies for Hybrid Pension Plans : Analyzing the Perspective of Sponsors and Members

Albrecht, Peter ; Coche, Joachim ; Maurer, Raimond ; Rogalla, Ralph

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URL: https://ub-madoc.bib.uni-mannheim.de/1067
URN: urn:nbn:de:bsz:180-madoc-10677
Document Type: Working paper
Year of publication: 2005
The title of a journal, publication series: Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Volume: 160
Place of publication: Mannheim
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Classification: JEL: G23 G11 ,
Subject headings (SWD): Rente , Rentenreform , Rentner , Sponsoring
Abstract: This paper analyzises investment strategies in the context of alternative hybrid pension plans which are optimal either from the perspective of the plan sponsor or the beneficaries. The focus is in particular on how the introduction of minimum and maximum limits for pension benefits as well as minimum guarantees and caps on the return of the members' individual investment accounts affect the investment decision. The study finds that portfolio choice of sponsor and beneficaries shows substantial differences depending on the exact plan design and the beneficaries' risk aversion. The introduction of caps on investment returns emerged a possible means to reduce such differences and to share investment risks and returns more equally between sponsor and beneficaries.
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