DCPensionVaR {Dowd} | R Documentation |

## Monte Carlo VaR for DC pension

### Description

Generates Monte Carlo VaR for DC pension in Chapter 6.7.

### Usage

```
DCPensionVaR(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 DC pension

### Author(s)

Dinesh Acharya

### References

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

### Examples

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

[Package

*Dowd*version 0.12 Index]