Stabsseminar med David Blake

Det er stabsseminar med David Blake ved Birkbeck College på Institutt for foretaksøkonomi fredag 5. april.

04.04.2002 - Torunn G. Saunes

Tema: Pensionmetrics: "Stochastic pension plan design and value-at-risk during the accumulation phase" og
Pensionmetrics: "Stochastic Pension Plan Design During the Distribution Phase".

Tid: Fredag 5. april, kl. 12.15-13.30
Sted: Karl Borch's aud.

Abstract
Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
"We estimate values-at-risk (VaR) in the accumulation phase of defined-contribution pension plans. We examine a range of asset-return models (including stationary moments, regime-switching and fundamentals models) and a range of asset-allocation strategies (both static and with simple dynamic forms, such as lifestyle, threshold and constant proportion portfolio insurance). We draw four conclusions from our investigations….."

Papers er tilgjengelig på instituttets hjemmesider:

http://www.nhh.no/for/seminars/2002-spring/050402-1.pdf.

http://www.nhh.no/for/seminars/2002-spring/050402-2.pdf.

Kontaktperson: Hans K. Hvide (59283)