Approximation model for the additional pension capital dynamics

Andrejs Matvejevs~O. Pavlenko~V. Gribkova, Lettonie

The purpose of the article is to construct models to analyse and forecast the accumulated additional pension capital. This is necessary for estimation of parameters of pension fund’s stability. The Financial and Capital Market Commission has proposed the formula for calculation of the pension capital value for each quarter of the year. The index of R as the operation result of the pension plan was included in this formula as known value. But in a real time model this coefficient can vary by the different ways according to the pension plan conditions. So the main aims of the article are following.1. To construct the model for R as time series, to analyse it’s dynamics and to construct the appropriate forecast.2. To choose the asymptotic distribution for R and then to make interpolation of the pension capital. This analysis allows Financial and Capital Market Commission as of supervising organization to have more possibilities for control of the pension fund.
Date: 30 May - Time: 8:30 to 10:00 - Room: 242B
Theme: 1.A. Stochastic dependence