Performance Measurement of Pension Strategies: A Case Study of Danish Life Cycle Products

Guillén, Montserrat; Nielsen, Jens Perch; Pérez-Marín, Ana M.; Petersen, Kitt S.

doi:10.2139/ssrn.1612931

Cited by 19 publications

(34 citation statements)

References 36 publications

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“…These are described as less and more risky regarding the parameters in which µ = 0.0004049 and σ = 0.015, 0.025, respectively. In the analysis, we follow a performance measurement methodology similar to the methodology (PM) stated in [34]. PM aims to compare the strategies with different risk profiles.…”

Section: Comparison Of Optimal Strategy With the Strategies Used In Imentioning

confidence: 99%

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An Optimal Turkish Private Pension Plan with a Guarantee Feature

İşcanog̃lu-Çekiç

2016

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Abstract:The Turkish Private Pension System is an investment system which aims to generate income for future consumption. This is a volunteer system, and the contributions are held in individual portfolios. Therefore, management of the funds is an important issue for both the participants and the insurance company. In this study, we propose an optimal private pension plan with a guarantee feature that is based on Constant Proportion Portfolio Insurance (CPPI). We derive a closed form formula for the optimal strategy with the help of dynamic programming. Moreover, our model is evaluated with numerical examples, and we compare its performance by implementing a sensitivity analysis.

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Section: Comparison Of Optimal Strategy With the Strategies Used In Imentioning

confidence: 99%

“…PM aims to compare the strategies with different risk profiles. In PM, the risk equivalent benchmark strategy of the corresponding strategy is searched for, and then the internal returns of these two strategies are compared [19,35]. For this purpose, we follow the procedure as follows:…”

Section: Comparison Of Optimal Strategy With the Strategies Used In Imentioning

confidence: 99%

An Optimal Turkish Private Pension Plan with a Guarantee Feature

İşcanog̃lu-Çekiç

2016

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“…We, thereby, take two typical guarantees in traditional and innovative life insurance into account, which comprise cliquet-style and point-to-point guarantees. In this comparative overview, we consider the contributions by Gatzert and Schmeiser [26], Jørgensen and Linnemann [27], Faust, Schmeiser, and Zemp [28], Graf, Kling, and Russ [29], Gatzert [30], Guillé n et al [31,32], and Mahlow, Schmeiser, and Wagner [33]. Our study shows that there are two different approaches in the literature how to assess the performance of pension saving contracts with guarantees.…”

Section: Open Accessmentioning

confidence: 99%

“…In addition to this, tests for stochastic dominance are conducted (see, Gatzert and Schmeiser [26]; Graf, Kling, and Russ [29]). Guillé n et al [31] b Guillé n et al [32] a Notes: * tests for stochastic dominance are conducted; ** Faust, Schmeiser, and Zemp [36] provide a summary of Faust, Schmeiser, and Zemp [28] and thus they are omitted here; a cliquet-style guarantees are studied; b point-to-point guarantees are studied.…”

Section: Performance Measurement Of Pension Saving Schemesmentioning

confidence: 99%

“…This approach is introduced in Guillé n et al [31], where they consider a pension saving contract with its accumulation and decumulation phase. Fixed contributions during the accumulation phase and fixed annuity payments during the decumulation phase (decreasing annuity payments alternatively) are assumed, while mortality and surrender effects are ignored.…”

Section: Performance Measurement Of Pension Saving Schemesmentioning

confidence: 99%

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The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature

Bohnert

2015

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Guarantees are often seen as the key characteristics of pension saving products, but securing them can become costly and is of central relevance especially in the course of the current low interest rate environment. In this article, we deal with the question of how costly the typical types of guarantees are, in the sense that they reduce a pension saving scheme's financial performance over time. In this context, we aim to provide a presentation of insights from selected literature studying the impact of point-to-point guarantees and cliquet-style interest rate guarantees on the performance of pension contracts. The comparative analysis emphasizes that, in most cases, guarantee costs are not negligible with regard to a contract's financial performance, especially compared to benchmarks, and that customers knowingly opt for such guarantees (or not) is, thus, indispensable. To further investigate the willingness-to-pay for guarantees in life insurance is an area for future research, in particular for innovative contract design.

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Less is more: Increasing retirement gains by using an upside terminal wealth constraint

Donnelly

Gerrard

Guillén

et al. 2015

Insurance: Mathematics and Economics

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We solve a portfolio selection problem of an investor with a deterministic savings plan who aims to have a target wealth value at retirement. The investor is an expected power utility-maximizer. The target wealth value is the maximum wealth that the investor can have at retirement.By constraining the investor to have no more than the target wealth at retirement, we find that the lower quantiles of the terminal wealth distribution increase, so the risk of poor financial outcomes is reduced. The drawback of the optimal strategy is that the possibility of gains above the target wealth are eliminated.

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Performance Measurement of Pension Strategies: A Case Study of Danish Life Cycle Products

Cited by 19 publications

References 36 publications

An Optimal Turkish Private Pension Plan with a Guarantee Feature

An Optimal Turkish Private Pension Plan with a Guarantee Feature

The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature

Less is more: Increasing retirement gains by using an upside terminal wealth constraint

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