Chance-Risk Classification of Pension Products: Scientific Concepts and Challenges

Ralf Korn and Andreas Wagner

Chapter 15 in Innovations in Insurance, Risk- and Asset Management:Proceedings of the Innovations in Insurance, Risk- and Asset Management Conference, 2018, pp 381-398 from World Scientific Publishing Co. Pte. Ltd.

Abstract: We survey the underlying scientific concepts and aspects of the implementation of the classification of state-subsidized private German pension products into five different chance-risk classes. The topics range from the choice and calibration of the capital market model via simulation issues of various pension products to specific research topics such as the behavior of chance-risk curves or new valuation algorithms for cliquet-type options.

Keywords: Insurance; Actuarial Science; Risk Measure; Reinsurance; Copula; Replicating Portfolio; Bayesian Finance; Risk Classification; Stochastic Dominance; Dynamic Hedging; Autoregressive Hidden Markov Models; Exchange-Traded Funds; Uncertainty Quantification; Fixed Income; Stochastic Processes for Finance (search for similar items in EconPapers)
JEL-codes: G22 G32 (search for similar items in EconPapers)
Date: 2018
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