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Croatian Operational Research Review, Vol. 5 No. 2, 2014.

Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2014.0021

Stochastic programming framework for Lithuanian pension payout modelling

Audrius Kabašinskas   ORCID icon orcid.org/0000-0001-6863-5895 ; Department of Mathematical Modeling, Kaunas University of Technology
Kristina Šutienė ; Department of Mathematical Modeling, Kaunas University of Technology
Eimutis Valakevičius ; Department of Mathematical Modeling, Kaunas University of Technology
Francesca Maggioni ; Department of Management, Economics and Quantitative Methods, University of Bergamo

Puni tekst: engleski, pdf (334 KB) str. 387-399 preuzimanja: 192* citiraj
APA 6th Edition
Kabašinskas, A., Šutienė, K., Valakevičius, E. i Maggioni, F. (2014). Stochastic programming framework for Lithuanian pension payout modelling. Croatian Operational Research Review, 5 (2), 387-399. https://doi.org/10.17535/crorr.2014.0021
MLA 8th Edition
Kabašinskas, Audrius, et al. "Stochastic programming framework for Lithuanian pension payout modelling." Croatian Operational Research Review, vol. 5, br. 2, 2014, str. 387-399. https://doi.org/10.17535/crorr.2014.0021. Citirano 17.02.2019.
Chicago 17th Edition
Kabašinskas, Audrius, Kristina Šutienė, Eimutis Valakevičius i Francesca Maggioni. "Stochastic programming framework for Lithuanian pension payout modelling." Croatian Operational Research Review 5, br. 2 (2014): 387-399. https://doi.org/10.17535/crorr.2014.0021
Harvard
Kabašinskas, A., et al. (2014). 'Stochastic programming framework for Lithuanian pension payout modelling', Croatian Operational Research Review, 5(2), str. 387-399. doi: https://doi.org/10.17535/crorr.2014.0021
Vancouver
Kabašinskas A, Šutienė K, Valakevičius E, Maggioni F. Stochastic programming framework for Lithuanian pension payout modelling. Croatian Operational Research Review [Internet]. 2014 [pristupljeno 17.02.2019.];5(2):387-399. doi: https://doi.org/10.17535/crorr.2014.0021
IEEE
A. Kabašinskas, K. Šutienė, E. Valakevičius i F. Maggioni, "Stochastic programming framework for Lithuanian pension payout modelling", Croatian Operational Research Review, vol.5, br. 2, str. 387-399, 2014. [Online]. doi: https://doi.org/10.17535/crorr.2014.0021

Sažetak
The paper provides a scientific approach to the problem of selecting a pension fund by taking into account some specific characteristics of the Lithuanian Republic (LR) pension accumulation system. The decision making model, which can be used to plan a long-term pension accrual of the Lithuanian Republic (LR) citizens, in an optimal way is presented. This model focuses on factors that influence the sustainability of the pension system selection under macroeconomic, social and demographic uncertainty. The model is formalized as a single stage stochastic optimization problem where the long-term optimal strategy can be obtained based on the possible scenarios generated for a particular participant. Stochastic programming methods allow including the pension fund rebalancing moment and direction of investment, and taking into account possible changes of personal income, changes of society and the global financial market. The collection of methods used to generate scenario trees was found useful to solve strategic planning problems.

Ključne riječi
Pension modelling; scenario tree; long-term strategy; single stage stochastic programming

Hrčak ID: 133787

URI
https://hrcak.srce.hr/133787

Posjeta: 327 *