Sensitivity Analysis for a Dynamic Stochastic Accumulation Model for Optimal Pension Savings Management

Since January 2005, pensions in Slovakia are operated by a three-pillar system. This paper concentrates on the mandatory, fully funded second pillar. We recall the dynamic stochastic accumulation model proposed in [9]. Pension asset managers are very cautious and hold low stocks proportions in the pension funds. We discuss the sensitivity of the level of savings with respect to the proportion of stocks in the portfolios. Furthermore, we perform the sensitivity analysis with respect to correlation between stock and bond returns and risk aversion. Finally, we prove linearity of the level of savings with respect to the contribution rate