In our research team, we primarily focus on the quantitative analysis of pension systems. In the case of the accumulation phase of saving systems, we study various dynamic portfolio management techniques and we also deal with the problem of finding the optimal investment strategy that maximize the future utility of savers. In the decumulation phase of pension schemes, we examine the impact of risk factors on the future old-age annuity benefits and we also analyze other possible payout products. Our goal is to advance research on mathematical modeling of funded pension schemes, develop dynamic control strategies for savings management and publish applicable results for the old-age pension scheme in Slovakia.
Selected papers published over the past 10 years
I. Melicherčík, G. Szűcs: Vplyv vybraných faktorov na zisk životnej poistovne pri doživotných dôchodkoch vyplácaných z úspor v II. dôchodkovom pilieri na Slovensku. Forum Statisticum Slovacum 10 (6), (2014), 103-114.
Cs. Krommerová, I. Melicherčík: Dynamic portfolio optimization with risk management and strategy constraints. Kybernetika, 50(6), (2014), 1032-1048.
I. Melicherčík, G. Szűcs, I. Vilček: Investment Strategies in the Funded Pillar of the Slovak Pension System. Ekonomický časopis, 63(2), (2015), 133-151.
I. Melicherčík, G. Szűcs, I. Vilček: Investment Strategies in Defined-Contribution Pension Schemes. AMUC, 84(2), (2015), 191-204.
J. Šebo, I. Melicherčík, M. Mešťan, I. Králik: Aktívna správa úspor v systéme starobného dôchodkového sporenia, Wolters Kluwer, Bratislava, (2017), ISBN 978-80-8168-692-4.
A. Černý, I. Melicherčík: Simple Explicit Formula for Near-Optimal Stochastic Lifestyling. European Journal of Operational Research, 284, (2020), 769-778.
