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Heinz Müller
Former Member
Title
Prof. em. Dr.
Last Name
Müller
First name
Heinz
Phone
+41 71 224 2432
Homepage
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1 - 10 of 14
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PublicationOptimal Design of the Attribution of Pension Fund Performance to EmployeesThe article analyzes risk sharing in a defined contribution pension fund in continuous time. According to a prespecified attribution scheme, the interest rate paid on the employees' accounts is a linear function of the fund's investment performance. For each attribution scheme, the pension fund maximizes the expected utility and the employees derive utility from their savings accounts. It turns out that all Pareto-optimal attribution schemes are characterized by the same optimal participation rate. We derive the total welfare gain that installs from replacing no participation with optimal participation. This welfare gain can be quantified and is substantial for reasonable parameter values.Type: journal articleJournal: The Journal of Risk and InsuranceVolume: 81Issue: 2
Scopus© Citations 1 -
PublicationPension Funds as Institutions for Intertemporal Risk TransferA continuous time overlapping generation model is used to analyse defined-contribution pension plans. Without intergenerational risk transfer between employees the optimal investment strategy results from the Merton model. Introducing intergenerational risk transfer leads to an increase in the risk tolerance of future employees and allows to improve their anticipated expected utility resulting from accrued retirement benefits. Of course, this leads to a risk of temporary underfunding. But even for an underfunded pension plan one can guarantee that in the long run, the median of the funding plan exceeds one.Type: journal articleJournal: Insurance: Mathematics and EconomicsVolume: 42Issue: 3
Scopus© Citations 8 -
PublicationShortfall Minimizing PortfoliosMany institutional and private investors seek for a long run excess return relative to a reference strategy (e.g. money market, bond index, etc.) which they want to attain under a minimal shortfall probability. In this article it is shown that even in the long run in order to attain a substantial excess retum a high shortfall probability has to be accepted. In the model the prices of the assets follow geometric Brownian motions. Two types of a shortfall are distinguished. A shortfall of type I occurs, if at some point of time the investment goal is missed by a given percentage. There is a shortfall of type II, if the investment goal is missed at the end of the planning horizon. To begin with, only constant portfolio weights are admitted. For both types it can be shown that minimizing the shortfall probability under a given excess return is equivalent to the Merton problem. Under realistic parameter values moderate shortfall probabilities are only compatible with very bw excess returns. Finally, it is shown, that "Constant Proportion Portfolio Insurance" (CPPI) does not lead to a reduction of the shortfall probability.Type: journal articleJournal: SAV BulletinVolume: 02
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PublicationType: journal articleJournal: Bulletin Swiss Association of ActuariesIssue: 2
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PublicationA Fallacy in Performance Measurement and Risk Analysis(Schweizerische Vereinigung für Finanzanalyse und Vermögensverwaltung, 2000)Denzler, MatthiasType: journal articleJournal: Finanzmarkt und Portfolio ManagementVolume: 14Issue: 2
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PublicationType: journal articleJournal: Aktuelle Juristische PraxisVolume: 99Issue: 11
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PublicationOptimale Gestaltung von Kapitalschutzprodukten auf den SMI( 1998)
;Blanco, J. A. ;Guillet, P.Scherer, D.Type: journal articleJournal: Bulletin Swiss Association of ActuariesIssue: 2 -
PublicationType: journal articleJournal: North American Actuarial JournalVolume: 2Issue: 3
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PublicationType: journal articleJournal: North American Actuarial JournalVolume: 1Issue: 3
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