Finanzierung der Altersversorgung des öffentlichen Dienstes

Heubeck, Klaus; Rürup, Bert

doi:10.3726/b13832

Cited by 7 publications

(3 citation statements)

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“…5 In exchange for this plan, civil servants do not participate in the national social security system nor are they covered by supplementary occupational pensions (Heubeck and Rürup, 2000). Over time, civil servant pensions have become less generous: the retirement age, which had been 65, is being raised to 67, and pension accruals have been reduced to approximately 1.79% of final salary per service year.…”

Section: Valuing Public Pension Liabilities In a Non-stochastic Framementioning

confidence: 99%

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints

Maurer

Mitchell

Rogalla

2009

Insurance: Mathematics and Economics

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JEL classification: G11 G15 G2 G23 H3 H55 H71 J26 J32 a b s t r a c t Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk (CVaR) restriction on overall plan costs into the pension manager's objective of controlling contribution rate volatility. After estimating the contribution rate that would fully fund future benefit promises for current and prospective employees, we identify the optimal contribution and investment strategy that minimizes contribution rate volatility while restricting worst-case plan costs. Finally, we analyze the time path of expected and worst-case contribution rates to assess the chances of reduced contribution rates for current and future generations. Our results show that moving toward a funded public pension system can be beneficial for both civil servants and taxpayers.

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Section: Valuing Public Pension Liabilities In a Non-stochastic Framementioning

confidence: 99%

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints

Maurer

Mitchell

Rogalla

2009

Insurance: Mathematics and Economics

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show abstract

“…German civil servants are neither offered complementary occupational pension plans nor covered by the national social security system. 2 Hence, their retirement benefits are higher than those of private sector workers who may be eligible for social security as well as supplementary occupational pension benefits (Heubeck and Rürup 2000).…”

Section: German Civil Service Pension Plan Designmentioning

confidence: 99%

Chapter 9 Reforming the German Civil Servant Pension Plan

Maurer¹,

Mitchell²,

Rogalla³

2009

The Future of Public Employee Retirement Systems

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This chapter analyzes the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for civil servants in Germany, allowing for alternative portfolio mixes using a Monte Carlo framework and a Conditional Value at Risk metric. The authors identify an investment strategy for plan assets that will minimize worst-case pension costs; this turns out to be 22 percent in equities, 47 percent in bonds, and 31 percent in real estate. The authors show that moving toward a funded pension system for German civil servants can be beneficial to both taxpayers and civil servants.

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“…German civil servants have traditionally been promised a noncontributory, taxsponsored, unfunded, and relatively generous DB-type annuity that depends on retirement age, years in civil service, and final salary. 3 In exchange for this plan, civil servants do not participate in the national social security system nor are they covered by supplementary occupational pensions (Heubeck and Rürup 2000). Over time, civil servant pensions have become less generous: the retirement age, which had been 65, is being raised to 67, and pension accruals have been reduced to approximately 1.79 percent of final salary per service year.…”

Section: Civil Servant Planmentioning

confidence: 99%

Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints

2008

View full text Add to dashboard Cite

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk (CVaR) restriction on overall plan costs into the pension manager's objective of controlling contribution rate volatility. After estimating the contribution rate that would fully fund future benefit promises for current and prospective employees, we identify the optimal contribution and investment strategy that minimizes contribution rate volatility while restricting worst-case plan costs. Finally, we analyze the time path of expected and worst-case contribution rates to assess the chances of reduced contribution rates for current and future generations. Our results show that moving toward a funded public pension system can be beneficial for both civil servants and taxpayers.

show abstract

Finanzierung der Altersversorgung des öffentlichen Dienstes

Cited by 7 publications

References 0 publications

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints

Managing contribution and capital market risk in a funded public defined benefit plan: Impact of CVaR cost constraints

Chapter 9 Reforming the German Civil Servant Pension Plan

Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints

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