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Risks and scenarios in the Swedish income-based pension system
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

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 show 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.

Abstract [sv]

I det här examensarbetet (”Risker och scenarion i Sveriges inkomstgrundande allmänna pensionssystem) undersöks risker och scenarier i inkomstpensionssystemet. För att kunna undersöka riskerna har en vector autoregressive (VAR) modell valts för tre variabler (AP-fonds avkastning, medelinkomst avkastning och inflation). Bootstrap används för att simulera VAR modellen. När värden från simuleringarna erhållits kan dessa sättas in i ekvationer som beskriver real medelinkomst avkastning, real avkastning från AP-fonderna och inkomst index. Slutligen beräknas pensionsbehållning med simulerad data.

Scenarierna utförs genom att en variabel i taget i VAR modellen störs. Sedan utreds hur denna störning påverkar resterande parametrar som beräknas. Detta görs för olika scenarion.

I VAR modellen finns korrelationer mellan medelinkomst avkastning och inflation, men AP-fonds avkastning kan ses som vitt brus. De scenarier som har störst påverkan på indexeringen ¨ar då medelinkomst avkastningen ¨andras.

2015.
Series
TRITA-MAT-E, 2015:75
Keyword [en]
Pension, VAR, Bootstrap, Scenario
National Category
Probability Theory and Statistics
Identifiers
OAI: oai:DiVA.org:kth-176100DiVA: diva2:868432
External cooperation
Pensionsmyndigheten
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Examiners
Available from: 2015-11-10 Created: 2015-11-01 Last updated: 2015-11-10Bibliographically approved

Open Access in DiVA

File information
File name FULLTEXT01.pdfFile size 2813 kBChecksum SHA-512
9a1dc7b8b5f2d69bf75845113c0f6c4988f09d5170139f1246ace7635309166c30a57fdb40db7d6fa7edb27b8ef574102078d1b4e022496a97817606b0ae616d
Type fulltextMimetype application/pdf
By organisation
Mathematical Statistics
On the subject
Probability Theory and Statistics

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Cite
Citation style
• apa
• ieee
• modern-language-association-8th-edition
• vancouver
• Other style
More styles
Language
• de-DE
• en-GB
• en-US
• fi-FI
• nn-NO
• nn-NB
• sv-SE
• Other locale
More languages
Output format
• html
• text
• asciidoc
• rtf
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