Collective defined contribution plans: Backtesting based on German capital market data 1950-2022

Oskar Goecke

No 4/2022, Forschung am ivwKöln from Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies

Abstract: Using historical capital market data for Germany (1950-2022) we analyze and compare (individual) defined contribution (IDC-) and collective defined contribution (CDC) pension plans. To this end we define simple asset liability management rules that govern a CDC pension plan and compare these to IDC-plans with the same asset allovation. Our main result is, that the CDC pension plans allow for a significant improvement of the risk return profile compared to individual pension plans. Hereby we consider different risk measures. This empirical study affirms the theoretical results based on stochastic CDC-models.

JEL-codes: G G2 G20 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-age and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/266196/1/1821147987.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:thkivw:42022

DOI: 10.57684/COS-987

Access Statistics for this paper

More papers in Forschung am ivwKöln from Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().