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dc.creator Schmieder, Christian
dc.creator Reinschmidt, Timo
dc.creator Mager, Ferdinand
dc.creator Gerke, Wolfgang
dc.date 2006
dc.date.accessioned 2013-10-16T07:06:41Z
dc.date.available 2013-10-16T07:06:41Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19754
dc.identifier ppn:517215586
dc.identifier RePEc:zbw:bubdp2:4772
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19754
dc.description With this paper we seek to contribute to the literature on pension insurance systems. The financial literature tends to focus exclusively on the US pension insurance system. This is the first major empirical study to address the German occupational pension insurance (PSVaG) plan in Germany. The study is based on a Merton-type one-factor model, in which we determine the credit portfolio risk profile of the occupational pension insurance plan and compare two alternative pricing plans. We find that there is a low, yet non-negligible risk of very high losses that may threaten the existence of the occupational pension insurance plan (PSVaG). While relating risk premiums to firms' default probabilities would cause them to diverge widely, a marginal risk contribution method would produce less pronounced differences compared to the current, uniform pricing plan.
dc.language eng
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2006,07
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G18
dc.subject G28
dc.subject C15
dc.subject G22
dc.subject G23
dc.subject ddc:330
dc.subject Pension insurance
dc.subject Risk-adjusted premiums
dc.subject Credit portfolio risk
dc.subject Betriebliche Altersversorgung
dc.subject Kreditrisiko
dc.subject Risikoprämie
dc.subject Pensionsfonds
dc.subject Schätzung
dc.subject Deutschland
dc.title Empirical risk analysis of pension insurance: the case of Germany
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط