SENSITIVITY ANALYSIS FOR A DYNAMIC STOCHASTIC ACCUMULATION MODEL FOR OPTIMAL PENSION SAVINGS MANAGEMENT

• Authors: Jakubik Tibor , Melicherčík Igor , Ševčovič Daniel
• Languages of publication: EN

Abstracts

EN

Since January 2005, pensions in Slovakia are operated by a three-pillar system. This paper concentrates on the mandatory, fully funded second pillar. In their analysis authors follow the dynamic stochastic accumulation model proposed by the authors in (Kilianova et al., 2006). Recently pension asset managers tend to be very cautious and they hold low stock to bond proportions in the pension funds. The authors discuss the sensitivity of the level of savings with respect to the proportion of stocks in the portfolios. Furthermore, they perform the sensitivity analysis with respect to correlation between stock and bond returns and risk aversion. Finally, authors prove linearity of the level of savings with respect to the contribution rate.

Keywords

EN

BELLMAN EQUATION; CORRELATION; FUNDED PILLAR; PENSION PORTFOLIO; RISK; SLOVAK PENSION SYSTEM; SLOVAKIA; STOCHASTIC ACCUMULATION MODEL; UTILITY FUNCTION

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2009
• Volume: 57
• Issue: 8
• Pages: 756 - 771
• Document type: ARTICLE

Contributors

author

Jakubik Tibor

author

Melicherčík Igor

author

Ševčovič Daniel

• Tibor Jakubik, Allianz-Slovenska d. s. s., a. s., Allianz Asset Management, sprav. spol., a. s., Racianska 62, 831 02 Bratislava, Slovak Republic

Identifiers

CEJSH db identifier

10SKAAAA08899