Simulation model to forecast the consequences of changes introduced into the 2nd pillar of the Polish pension system

Mielczarek, Bożena

doi:10.1016/j.econmod.2012.09.053

Cited by 11 publications

(9 citation statements)

References 6 publications

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“…The risk estimation is on topic within this field of interest. Many authors (Chekhlov, Uryasev, & Zabarankin, 2005;Karagiannidis & Wilford, 2015;Lohre, Neumann, & Winterfeldt, 2008;Mielczarek, 2013) examined diverse risk measures, like skewness, standard deviation, Value at Risk (VaR), Conditional Value at Risk (CVaR), maximum drawdown, and others, to evaluate the dynamic behaviour of a managed portfolio from experience or in modelling. By combining several relevant measures, the evaluation of a fund's performance is more significant.…”

Section: Related Workmentioning

confidence: 99%

“…Econometric modelling, asset-liability modelling, simulation, and similar modelling methodologies are implemented when it is needed to describe relations between relevant variables, forecasting not only pension fund's financial and monetary value in the future but also macroeconomic variables, social factors, demographic tendencies, political stability, globalisation, and external vulnerability as well (Heer & Irmen, 2014;Mielczarek, 2013;Thomas, Spataro, & Mathew, 2014). For the estimation of pension systems performance, the comparative study can be carried out in order to draw conclusions on a regional level and provide a basis for further analysis of certain countries situations.…”

Section: Related Workmentioning

confidence: 99%

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The risk–return profile of Lithuanian private pension funds

Kabašinskas

Šutienė

Kopa

et al. 2017

Economic Research-Ekonomska Istraživanja

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The introduction of a private pension funds in conjunction with the public social security system is the essence of pension system reform that was implemented in Lithuania. The performance of private funds is mainly presented by fund's net asset value and few classical risk estimates. Such evaluation shows the management company's ability to profitably invest funds, but does not give the evidential riskreturn evaluation. This paper refers to the overall statistical analysis of 26 private pension funds over a certain time period. The objective of the research is to determine the risk-return profile of pension funds and to answer the question whether the categories specified based on investment strategy in equities reflect fund's empirical behaviour. Research methodology includes the statistical analysis, risk measuring, performance ratio estimation, and K-means clustering. The conclusions obtained by the research allow determining whether the distinct pension funds have beaten a low risk reference and are adequately assigned to a certain risk category.

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Section: Related Workmentioning

confidence: 99%

Section: Related Workmentioning

confidence: 99%

The risk–return profile of Lithuanian private pension funds

Kabašinskas

Šutienė

Kopa

et al. 2017

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

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“…This paper constructs a Leslie transfer matrix [36] with fertility rate, mortality rate, and sex rate at birth, then uses the Monte Carlo stochastic simulation method to predict the evolution of the population [37,38].…”

Section: Parameter Estimationmentioning

confidence: 99%

Stochastic Forecast of the Financial Sustainability of Basic Pension in China

Tian

Zhao

2016

Sustainability

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Abstract:The paper focuses on the stochastic forecast of the financial sustainability ofbasic pension, based on predictions for the population of China. The population was calculated iteratively by using Leslie matrix. An auto-regressive moving average model was adapted for the predictions of the fertility rates and the mortality rates. The Monte Carlo stochastic method was adapted for the projections of the dynamic process of the financial sustainability of the basic pension from 2013 to 2087 by 5000 times simulation. The forecasting results show that the imbalance of basic pension will occur in 2026. If the statutory retirement age is postponed by five years, the occurrence of the financial gap of the basic pension may be delayedby about 20 years, and the median deficit of basic pension will be reduced by about 64.25% in 2087.

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“…In fact we find only one study that mimics closely the Polish conditions and addresses the problem of the overall pension from two pillars. (Mielczarek, 2013) has simulated the probability distributions of the retirement wealth of Polish pensioner according to two different scenarios. These scenarios reflected the regulatory shift regarding the division of pension contribution between the two pillars, which happened in Poland in 2011, as described in Section 2.…”

Section: Literature Reviewmentioning

confidence: 99%

“…These scenarios reflected the regulatory shift regarding the division of pension contribution between the two pillars, which happened in Poland in 2011, as described in Section 2. Using MC simulation (Mielczarek, 2013) revealed that the regulation establishing a greater contribution to the 2 nd pillar resulted in a higher terminal value of wealth and lower shortfall probability. Nevertheless we still notice a potential to develop this research further.…”

Section: Literature Reviewmentioning

confidence: 99%