Analysis of Target Benefit Plans with Aggregate Cost Method

Author: 
Date created: 
2017-04-06
Identifier: 
etd10121
Keywords: 
Target Benefit Plan
Benefit Security
Benefit Adequacy
Benefit Stability
Intergenerational Equity
Aggregate Cost Method
Multivariate Time Series
Simulation
Abstract: 

The operational characteristics of a target benefit plan based on an aggregate pension cost method are studied through simulation under a multivariate time series model for projected interest rates and equity returns. The performance of the target benefit plan is evaluated by applying a variety of performance metrics for benefit security, benefit adequacy, benefit stability and intergenerational equity. Performance is shown to improve when the economy remains relatively stable over time and when the choice of valuation rate does not create persistent gains or losses.

Document type: 
Graduating extended essay / Research project
Rights: 
This thesis may be printed or downloaded for non-commercial research and scholarly purposes. Copyright remains with the author.
File(s): 
Supervisor(s): 
Gary Parker
Barbara Sanders
Department: 
Science: Department of Statistics and Actuarial Science
Thesis type: 
(Project) M.Sc.
Statistics: