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Article
Open AccessStress testing for IInd pillar life-cycle pension funds using hidden Markov model
This paper presents a stress testing technique based on a hidden Markov regime switching model and scenario generations. Firstly, we assume that investor’s risk preferences and beliefs are primarily observed i...
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Article
Open AccessSystemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover
Pension funds are an essential part of retirement planning, and their performance and risks play a significant role in ensuring financial stability for retirees. This study aims to analyse the connectedness an...
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Article
Projections of pension benefits in supplementary pension saving scheme in Slovakia
New Institutions for Occupational Retirement Provision Directive, effective since 2019, lays down new information requirements for all pension providers across the EU. The directive requires providers to suppl...
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Article
A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
In this paper we consider the problem of choosing the optimal pension fund in the second pillar of Lithuanian pension system by providing some guidelines to individuals with defined contribution pension plans....
