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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.

Place, publisher, year, edition, pages
TRITA-MAT-E, 2015:75
Keyword [en]
Pension, VAR, Bootstrap, Scenario
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-176100OAI: diva2:868432
Subject / course
Mathematical Statistics
Educational program
Master of Science - Applied and Computational Mathematics
Available from: 2015-11-10 Created: 2015-11-01 Last updated: 2015-11-10Bibliographically approved

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