Pension fund model design and state estimation
| Authors: | Straka Ondrej, University of West Bohemia in Pilsen, Czech Republic
Simandl Miroslav, University of West Bohemia in Pilsen, Czech Republic
Lesek Marek, University of West Bohemia in Pilsen, Czech Republic |
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| Topic: | 9.1 Economic & Business Systems |
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| Session: | Economic and Business Systems |
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| Keywords: | pension funds, mathematical model, state estimation, extended Kalman Filter, stochastic system |
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Abstract
A design of the mathematical model of the contribution-defined pension fund is treated. The design respects the specific character and economical rules of supplementary pension system in the Czech Republic. The state of the new mathematical model is partly immeasurable. The immeasurable part of the state is estimated by the extended Kalman filter. The mathematical model and the designed estimator are illustrated with real data from a pension fund.
