| Title |
Pensijų fondų veiklos Markovo modeliai / |
| Translation of Title |
Pension funds’ performance Markov models. |
| Authors |
Kadikinaitė, Lina |
| Full Text |
|
| Pages |
59 |
| Keywords [eng] |
pension funds ; Markov models ; customers’ migration analysis |
| Abstract [eng] |
Population ageing in Lithuania is causing serious problems for all pension funds making their analysis a foremost concern. The main objective of this thesis is the analysis of II pillar pension funds that are currently active in Lithuania. At the beginning of this thesis the reader is introduced to the classification of said pension funds as well as the analysis of the change in their net assets and number of participants during the last 5-year period. In order to estimate the risk associated with II pillar pension funds we introduce the notion of risk analysis based on participants’ migrations. These migrations are introduced as six different Markov chains. Each chain is analyzed using three of six presented methods. The best method is chosen based on prediction errors. After analyzing all Markov chains the reader is presented with safest investment strategy for year 2025. |
| Dissertation Institution |
Kauno technologijos universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2016 |
