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/2643
URN: urn:nbn:de:bsz:180-madoc-26434
Document Type: Working paper
Year of publication: 2005
The title of a journal, publication series: Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume: 05-28
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Classification: JEL: G23 G11 ,
Subject headings (SWD): Pensionskasse , Betriebliche Altersversorgung , Portfoliomanagement , Versicherungstechnik , Wohlfahrtseffekt , Theorie
Abstract: This paper analyzes investment strategies in the context of alternative hybrid pension plans which are optimal either from the perspective of the plan sponsor or the beneficiaries. 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 beneficiaries shows substantial differences depending on the exact plan design and the beneficiaries’ 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 beneficiaries.
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