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Risk Optimization for Hybrid Pension Plans with ARMA and GARCH Investment Returns

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Risk Optimization for Hybrid Pension Plans with ARMA and GARCH Investment Returns

ALzahrani, Ashwag (2016) Risk Optimization for Hybrid Pension Plans with ARMA and GARCH Investment Returns. [Graduate Projects (Non-thesis)] (Unpublished)

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Abstract

The use of time series models in general, and conditional processes, in particular for modelling returns on investment, have been considered recently for pension plan funding. In this project, ARMA and GARCH models are applied to the rate of return of a hybrid pension plan. The first and second moments of the fund, contributions, and benefits are derived under both models. The aggregate risk and the optimal spread period of amortization are studied under different risk measures; Value at Risk, Coefficient of Variation, and Variance. All evaluations are done over finite as well as infinite time horizons. Finally, numerical illustrations under different investment strategies as well as different valuation interest Rates are proposed under GARCH model.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Graduate Projects (Non-thesis)
Authors:ALzahrani, Ashwag
Institution:Concordia University
Degree Name:M.A. Sc.
Program:Mathematics and Statistics
Date:15 May 2016
ID Code:982101
Deposited By: ASHWAG ALZAHRANI
Deposited On:13 Jan 2017 19:52
Last Modified:18 Jan 2018 17:54
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