Projections of pension benefits in supplementary pension saving scheme in Slovakia

Michal Mešťan (), Ivan Králik, Matej Žofaj, Nikola Karkošiaková and Audrius Kabašinskas
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Michal Mešťan: Matej Bel University in Banská Bystrica
Ivan Králik: Matej Bel University in Banská Bystrica
Matej Žofaj: Matej Bel University in Banská Bystrica
Nikola Karkošiaková: Matej Bel University in Banská Bystrica
Audrius Kabašinskas: Kaunas University of Technology

Central European Journal of Operations Research, 2021, vol. 29, issue 2, No 16, 687-712

Abstract: Abstract 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 supply their members and savers with a Pension Benefit Statement on a regular basis. The Pension Benefit Statement should inter alia contain the projections of future pension benefits that can reasonably be expected at the moment of retirement. However, the directive does not provide any further technical specification on the methods and processes of pension benefit projections. Our motivation is to contribute to this issue and present possible approaches on pension benefit projections. The complexity of pension benefit projections requires consideration of not only expected returns on various asset categories, but also the correlation between other variables such as expected life-cycle income or decisions on the default saving strategy. Our results provide indications on the possible solutions and compare the projected pension benefits using three simulation methods with back-tested results using real supplementary pension funds operating in Slovakia.

Keywords: DC scheme; IORP II Directive; Pension Benefit Statement; Retirement; Projections (search for similar items in EconPapers)
JEL-codes: C53 E17 H75 J26 J32 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s10100-019-00669-2

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