DBPensionVaR {Dowd}

Monte Carlo VaR for DB pension

Description

Generates Monte Carlo VaR for DB pension in Chapter 6.7.

Usage

DBPensionVaR(mu, sigma, p, life.expectancy, number.trials, cl)

Arguments

mu

Expected rate of return on pension-fund assets

sigma

Volatility of rate of return of pension-fund assets

p

Probability of unemployment in any period

life.expectancy

Life expectancy

number.trials

Number of trials

cl

VaR confidence level

Value

VaR for DB pension

Author(s)

Dinesh Acharya

References

Dowd, Kevin. Measuring Market Risk, Wiley, 2007.

Examples

# Estimates the price of an American Put
   DBPensionVaR(.06, .2, .05, 80, 100, .95)