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Chance-risk classification of pension products: Scientific concepts and challenges

: Korn, Ralf; Wagner, Andreas

Glau, K. ; TU München:
Innovations in Insurance, Risk- and Asset Management : Conference at Technical University of Munich, 5 - 7 April 2017
Singapore: World Scientific, 2018
Conference "Innovations in Insurance, Risk- and Asset Management" <2017, Munich>
Fraunhofer ITWM ()

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.