Tid: 10 november 2015 kl 10.15-11.00.Seminarierummet 3418, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 4. Karta!
Föredragshållare: Simon von Metzner
Titel: Risks and scenarios in the Swedish income-based pension system (Master's thesis)
Abstract In this master thesis the risks and scenarios in the Swedish income-based pension system are investigated. To investigate the risks one has chosen to look at a vector autoregressive (VAR) model for three variables (AP-fund returns, average wage returns and inflation). Bootstrap is used to simulate the VAR model. When the simulated values are received they are put back in equations that describes real average wage return, real return from the AP-funds, average wage and income index. Lastly the pension balance is calculated with the simulated data. Scenarios are created by changing one variable at the time in the VAR model. Then it is investigated how different scenarios affect the indexation and pension balance. The result shows a cross correlation structure between average wage return and inflation in the VAR model, but AP-fund returns can simply be modelled as an exogenous white noise random variable. In the scenario when average wage return is altered, one can see the largest changes in indexation and pension balance. Keywords: Pension, VAR, Bootstrap, Scenario.
|Sidansvarig: Filip Lindskog