We consider a savings plan, where the paid capital is guaranteed at time of retirement,
in the German market available as Riester-Rente and supported by federal cash payments
and tax benefits. We generalize several capital guarantee mechanisms to payment
plans and compare their distribution: the return distribution of a classical insurance
strategy with investments in the actuarial reserve fund, a CPPI strategy, and a
Stop loss strategy, in optimistic, standard and pessimistic market scenarios.
The strategies include:
- Classic life insurance
- Live insurance linked to funds
- CPPI
- Hyprid approaches
- Bank savings plan
To model the distribution we use a jump diffusion process parameterized to resemble
the MSCI World index for the stock investment and a Hull-White Extended Vasicek
process, calibrated to the euro zero-bond curve, for the risk free investment. We
also analyze how fee structures and gap risk affect the performance of these savings
plans. Additionally, we present a very simple parameter estimation method for this
kind of simulation studies.
Our Investment Simulator has been used for comparative studies ordered by DWS, AXA,
EURO-Magazin.
For a complete description, please read the paper published in the European Actuarial
Journal:
"Return distributions of equity-linked retirement plans under jump and interest rate
risk", by Nils Detering, Andreas Weber and Uwe Wystup.
Riester Rechner (pdf german)
Zusammenfassung zu Garantiemodellen auf Deutsch (pdf)
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