Georgia's pension reform affects individual welfare.
problem Optimizing pension systems to ensure old age welfare and reduce budgetary pressure.
method Historical analysis, comparative international experience, and assessment of investment potential.
result Challenges and potential improvements of the mandatory funded pension system.
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is target-based. We find that it is po…
This review examines TDFs in Chile's pension reform, recommending dynamic glide paths and diversified benchmarks.
problem Chile's pension system needs to adapt to modern investment strategies.
method Comprehensive review of TDFs, highlighting challenges and opportunities for Chilean regulators and fund managers.
result Dynamic glide paths and diversified benchmarks are recommended for better retirement outcomes.
We employ stochastic dynamic microsimulations to analyse and forecast the pension cost dependency ratio for England and Wales from 1991 to 2061, evaluating the impact of the ongoing state pension reforms and changes in international migration patterns under different Brexit scenarios. To fully account for the recently …
Optimizes pension mix of PAYGO, EET, and individual savings.
problem Balancing PAYGO, EET, and individual savings in funded pension schemes.
method Solves a Nash equilibrium between pension participants and government, considering age-dependent preferences and optimal asset allocation.
result Identifies critical ages and optimal contribution rates for maximizing overall utility.
A declining CVaR glidepath framework for TDF design with Chilean pension system application
problem Designing Target-Date Funds around an explicit return objective while controlling risk
method Propose a framework for designing TDFs with a declining CVaR constraint
result Key feature: conservative evaluation of each glidepath
Study on tax administration issues and their impact on Georgia's budget revenues.
problem Problems in revenue administration and tax rates in Georgia.
method Analyzed foreign experience and proposed a progressive tax system.
result A progressive tax system would benefit Georgia's business and economy.
Research analyzes Georgia's tax system and suggests improvements.
problem Improving tax revenues in Georgia's state budget.
method Analysis of past and present tax systems, review of influencing factors, comparison of foreign models.
result Stimulating measures can increase tax revenues for Georgia's state budget.
Examines international taxation's impact on Georgian businesses.
problem Impact of international taxation on Georgian business entities.
method Analyzes types, features, and approaches of international taxation.
result Provides recommendations to correct current taxation issues.
Bangladesh's banking sector improved through financial reforms, but challenges remain.
problem Weak asset quality, inadequate provisioning, and negative capitalization of state-owned banks.
method Two phases of reforms: private ownership promotion and gradual deregulation.
result Significant improvements in asset quality and capitalization, but challenges persist.
Develops a method to optimize tax codes with practical constraints.
problem Translating optimal taxation theory into practical tax codes.
method Constrained optimization framework for piecewise linear tax functions.
result Generates reforms that meet theoretical and practical constraints.
India introduces NPS to manage pension liabilities and promote savings.
problem Managing pension liabilities and promoting savings among employees.
method Comparative analysis of NPS and OPS, addressing stakeholder claims.
result NPS reduces government pension liabilities and promotes disciplined saving.
Proposes a mixed pension system combining PAYG and funded contributions to address sustainability.
problem Sustainability of public pension systems due to declining birth rates and increasing life expectancy.
method Combines a classical PAYG scheme with a funded investment scheme to ensure financial sustainability.
result Individuals contribute to a funded part, making them active participants in addressing demographic risks.
New pension design reduces volatility without guarantees.
problem Pension volatility and guarantees issues.
method Split premium, invest in funds, redistribute to smooth volatility.
result Maximizes total accumulated capital at retirement.
The paper proposes a dynamic risk measure approach for evaluating defined-contribution pension funds.
problem Periodic evaluation of defined-contribution pension funds to manage risk and improve projections.
method Dynamic risk measure criterion, model-free reinforcement learning, Lee-Carter mortality model.
result Periodic evaluations lead to more risk-averse strategies, while mortality improvements encourage risk-seeking behaviors.
Abstracts discuss a common framework for constructing homology theories.
problem Developing homology theories in low-dimensional topology and geometry.
method Uses a common framework since the late 1980s to construct homology theories.
result Indicates the specific nature of the situation dictates the algebraic nature of chain groups.
Pension benefits in rural China lead to cognitive decline among the elderly.
problem Cognitive decline in late adulthood among rural Chinese elderly.
method Examined the effects of a new pension scheme on cognitive performance.
result Pension benefits negatively impact cognitive functioning, particularly delayed recall.
The paper optimizes pension policies with guarantees and sustainability constraints.
problem Designing optimal pension policies with guarantees and sustainability constraints.
method Dynamic utility model, stochastic domain, overlapping generations, time-consistent decision criterion.
result Optimal investment/pension policy computed for a general framework.
We study the effects of non-systematic and systematic mortality risks on the required initial capital in a pension plan, in the presence of financial risks. We discover that for a pension plan with few members the impact of pooling on the required capital per person is strong, but non-systematic risk diminishes rapidly…
Study finds risk management significantly improves pension scheme efficiency in Kenya.
problem Improving efficiency of pension schemes in Kenya.
method Panel data analysis of 128 pension schemes from 2015-2021.
result Risk management significantly mediates the relationship between corporate governance and pension scheme efficiency.
Study examines market risks on pension system sustainability.
problem Impact of market risks on pension corpus sustainability.
method Monte Carlo simulations with historical data.
result Market risks significantly impact pension corpus sustainability.
This paper simplifies the Nash Bargaining Solution for use in intellectual property cases.
problem Limited application of Nash Bargaining Solution in assigning intellectual property damages.
method Normalizes the Nash Bargaining Solution and provides a methodology for determining bargaining weight.
result Clarifies the application of Nash Bargaining Solution to specific case facts.
We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard…
These notes are an expanded version of an introductory lecture on contact geometry given at the 2001 Georgia Topology Conference. They are intended to present some of the "topological" aspects of three dimensional contact geometry.
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning that current retirees are exempt from the new changes. In 2015, two important chan…
The study uses ML and AI to forecast pension fund mortality, outperforming traditional methods.
problem Incorporating longevity risk into pension fund financial assessments.
method Employed actuarial learning with ML/AI techniques (regression trees, random forest, boosting, XGBoost, CatBoost, neural networks) on actuarial data.
result ML/AI algorithms outperform the Lee-Carter model in mortality forecasting for pension funds.
Adaptive strategies reduce pension fund costs and risks.
problem Managing longevity and volatility risks in pension funds.
method Modular simulation framework with customizable metrics.
result Substantial reduction in pension plan costs and default risk.
Investigates optimal pension policies in PAYG systems with forward utility and ageing population.
problem Optimal investment and pension policies in PAYG systems with sustainability and adequacy constraints.
method Non-zero volatility forward CRRA utilities, closed-form optimal policies, detailed numerical analysis.
result Characterization of optimal policies and detailed impact analysis under various scenarios.
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are treated differently. It…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions concerning the "average" long-time behavior of the stock market. Our aim here is to…
Paper optimizes DC pension fund management with VaR and relative performance constraints.
problem Optimizing DC pension fund performance under VaR and relative performance constraints.
method Introduced an auxiliary process to transform the problem into a self-financing problem, combined linearization, Lagrange dual, martingale, and concavification methods.
result Explicit investment strategies obtained for certain penalty and reward functions.
Study improves pension scheme efficiency in Kenya through governance and risk management.
problem Limited research on efficiency of Kenyan pension schemes under governance structures.
method Quantitative panel regression analysis on 128 Kenyan pension schemes over 7 years.
result Employee board members have a significant positive effect on pension scheme efficiency.
This paper revisits optimal investment strategies for defined contribution pension schemes using forward preferences.
problem Optimal investment strategies derived from backward models are not time-consistent and sub-optimal in real scenarios.
method Introduces forward preferences and solves optimal investment strategies for defined contribution pension schemes.
result Constructs optimal investment strategies for defined contribution pension schemes using forward preferences.
Investment strategies in occupational pension plans are optimized for non-tradable income risk.
problem Optimizing investment strategies for occupational pension plans in the presence of non-tradable income risk.
method Formulated as a stochastic optimization problem, analyzed in both constant and stochastic volatility environments.
result Random contributions induce the optimal glide path structure, influenced by initial wealth, contributions, and risk aversion.
Neural network predicts optimal pension investments based on preferences.
problem Optimal pension investment problem with varying preferences.
method Used a neural network to identify optimal solutions to a family of investment problems.
result Validated network accuracy using classical numerical methods.
This article is based on a lecture by the first author at the International Georgia Topology Conference 2001 (Athens, Georgia) and the Mathematische Arbeitstagung 2001 (Bonn, Germany). We sketch a proof of Witten's formula relating the Donaldson and Seiberg-Witten series modulo powers of degree c+2, with c = -{1/4}(7 c…
Optimizes pension fund management under funding risks.
problem Managing DB pension fund under underfunded and overfunded conditions.
method Stochastic model with Ornstein-Uhlenbeck interest rate, geometric Brownian motion for benefits, and cash, bond, stock investments.
result Optimal wealth process, portfolio, and efficient frontier obtained under various tolerance levels for solvency risk.
Mamba outperforms Reformer in minute-level stock prediction using LLM sentiment scores.
problem Improving minute-level stock market prediction accuracy in volatile markets.
method Combining sentiment scores from top LLMs with stock price data, training Mamba and Reformer models.
result Mamba achieved lower error rates across all tested LLMs, especially with LLaMA 3.3--70B.
LightGBM outperforms other models in predicting pH values in Georgia, USA.
problem Accurate water quality prediction for effective resource management and pollution mitigation.
method Five distinct predictive models (linear regression, Random Forest, XGBoost, LightGBM, MLP neural network) were assessed for pH value forecasting in Georgia, USA.
result LightGBM achieved the highest average precision in predicting pH values.
Deep neural network optimizes retirement consumption in defined contribution pensions.
problem Optimizing consumption in a defined contribution pension system.
method Formulated as a stochastic control problem, trained deep neural network policy.
result Deep neural network outperforms deterministic rules and adapts to market changes.
UK universities pension scheme valuation study shows high dependence on gilt yields.
problem High dependence of UK universities pension scheme on UK government bond yields.
method Analysis of USS valuations from 2014 to 2023, examination of self-sufficiency conditions, and evaluation of metrics.
result Second self-sufficiency condition amplifies gilt yield dependence, leading to inflated liabilities and excessive prudence.
Reformer improves Transformer efficiency for long sequences.
problem Prohibitively costly training of large Transformer models.
method Locality-sensitive hashing for attention and reversible residual layers.
result Memory-efficient and faster performance on long sequences.
This paper compares different DRO formulations for pension fund management.
problem Navigating uncertainty in asset liability management for pension funds.
method Three DRO formulations: mixture, box, and Wasserstein ambiguity sets.
result Wasserstein and box ambiguity sets outperform traditional approaches in fund performance.
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for investigating the behaviour of the demographic variable "new entrants" and the influenc…
We introduce a new pension product that offers retirees the opportunity for a lifelong income and a bequest for their estate. Based on a tontine mechanism, the product divides pension savings between a tontine account and a bequest account. The tontine account is given up to a tontine pool upon death while the bequest …
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken i…
A stochastic model helps maintain insufficiently funded pension funds.
problem Maintaining pension funds that are underfunded and require external financing.
method A time-homogeneous diffusion process with a barrier is used to model the unrestricted reserves value, and a renewal-reward process models the financing effort.
result Expected values and cost evaluations of maintenance are derived, and the approach is applied to a generalized Brownian motion process.
This paper optimizes DC pension plan investments using O-U process and loan.
problem Optimizing investment strategy for DC pension plans under specific market conditions.
method Dynamic programming and Hamilton-Jacobi-Bellman equation to derive optimal investment strategy.
result Explicit expression for optimal investment strategy derived.