Since January 2005, pensions in Slovakia are operated by a three-pillar system proposed by the World Bank. The paper discusses and mathematically captures principles of the pension reform in Slovakia. We also discuss the impact of the reform on the deficit of the pension system. We mainly focus...

We propose a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. Stock prices are assumed to be driven by the geometric Brownian motion. Interest rates are modeled by means of the Cox-Ingersoll-Ross...

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...

In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It is well known that in the presence of credit constraints this paradigm no...

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval.The...

In this paper we generalize and analyze the model for pricing American-style Asian options due to Hansen and Jorgensen by including a continuous dividend rate q and a general method of averaging of the floating strike. We focus on the qualitative and quantitative analysis of the early exercise...

The aim of this paper is to assess the expected socio-economic impacts of various scenarios of pandemic influenza mitigation on the economy and mortality for Slovakia. The paper relies on data accessible in the literature as well as on data supplied by pharmaceutical and health insurance...

We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volatility nonlinearly depending on the interest rate itself. We derive the order of accuracy of the analytical...

In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox-Ingersoll-Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an...