Búsqueda

Determining the pension benefit obligation of a defined benefit plan : applying a multivariate ARIMA stochastic model

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a22000004b 4500
001  MAP20220029346
003  MAP
005  20221025141330.0
008  221025e2021 usa|| p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20220009065‎$a‎Query, Jeffrey Tim
24510‎$a‎Determining the pension benefit obligation of a defined benefit plan‎$b‎: applying a multivariate ARIMA stochastic model‎$c‎Jeffrey Tim Query, Evaristo Diz
520  ‎$a‎In this study, we examine the robustness of fit for a multivariate and an autoregressive integrated moving average model to a data sample time series type. The sample is a recurrent actuarial data set for a 10-year horizon. We utilize this methodology to contrast with stochastic models to make projections beyond the data horizon. Our key results suggest that both types of models are useful for making predictions of actuarial liability levels given by PBO Projected Benefit Obligations on and off the horizon of the sample time series. As we have seen in prior research, the use of multivariate models for control and auditing purposes is widely recommended. Fast and reliable statistical estimates are desirable in all cases, whether for audit purposes or to verify and validate miscellaneous actuarial results
650 4‎$0‎MAPA20080592455‎$a‎Planes de pensiones
650 4‎$0‎MAPA20130014791‎$a‎Proyecciones
650 4‎$0‎MAPA20080604721‎$a‎Análisis multivariante
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
7001 ‎$0‎MAPA20080216702‎$a‎Diz Cruz, Evaristo
7730 ‎$t‎IRA-International Journal of Management & Social Sciences‎$g‎Vol.17, Issue 04 (Q.4 2021) ; p. 145-159