Multivariate stochastic analysis of a combination hybrid pension plan

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(Project) M.Sc.
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Author: Lin, Luyao
A combination hybrid pension plan that consists of a defined contribution account and a final salary defined benefit guarantee is studied by using multivariate time series analysis. This time series include salary increase, inflation rate and investment return. The loss function for the plan sponsor is defined, its first three conditional moments are derived and its distribution is approximated. Different investment strategies for the DC account are compared. A simulation study is also performed for illustration and validation purposes. Finally, the concept of Economic Capital is introduced to perform risk management on this pension plan.
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