TY - JOUR
TI - Pension Funds as Institutions for Intertemporal Risk Transfer
UR - https://www.alexandria.unisg.ch/Publikationen/40138
AU - Baumann, Roger
AU - Müller, Heinz
PY - 2008
N2 - A continuous time overlapping generation model is used to analyse defined-contribution pension plans. Without intergenerational risk transfer between employees the optimal investment strategy results from the Merton model. Introducing intergenerational risk transfer leads to an increase in the risk tolerance of future employees and allows to improve their anticipated expected utility resulting from accrued retirement benefits. Of course, this leads to a risk of temporary underfunding. But even for an underfunded pension plan one can guarantee that in the long run, the median of the funding plan exceeds one.
PB - Elsevier
SN - 0167-6687
JF - Insurance: Mathematics and Economics
VL - 42
SP - 1000-1012
ER -
TY - JOUR
TI - Shortfall Minimizing Portfolios
UR - https://www.alexandria.unisg.ch/Publikationen/35032
AU - Baumann, Roger
AU - Müller, Heinz
PY - 2006
N2 - Many institutional and private investors seek for a long run excess return relative to a reference strategy (e.g. money market, bond index, etc.) which they want to attain under a minimal shortfall
probability. In this article it is shown that even in the long run in order to attain a substantial excess retum a high shortfall probability has to be accepted. In the model the prices of the assets follow geometric Brownian motions. Two types of a shortfall are distinguished. A shortfall of type I occurs, if at some point of time the investment goal is missed by a given percentage. There is a shortfall of type II, if the investment goal is missed at the end of the planning horizon. To begin with, only constant portfolio weights are admitted. For both types it can be shown that minimizing the shortfall probability under a given excess return is equivalent to the Merton problem. Under realistic parameter values moderate shortfall probabilities are only compatible with very bw excess returns. Finally, it is shown, that “Constant Proportion Portfolio Insurance“ (CPPI) does not lead to a reduction of the shortfall probability.
PB - Stämpfli Verlag AG
CY - Bern
JF - SAV Bulletin
IS - 02
SP - 125-142
ER -
TY - BOOK
TI - Die Zukunft der beruflichen Vorsorge: Probleme und Perspektiven für Pensionskassen im Schweizerischen Drei-Säulen-System
AU - Baumann, Roger
AU - Müller, Heinz
AU - Keel, Alex
PY - 2003
T3 - ZKB Schriftenreihe Wirtschaft und Gesellschaft
PB - Zürcher Kantonalbank
CY - Zürich
SP - 124
ER -