Analýza a modelování vývoje důchodových systémů v ČR

Abstract

The dissertation thesis is devoted to the assessment of the financial stability of the current pension system and further to the assessment of the level of individual's retirement incomes achieved in the fully funded system including a comparison with the current system. The aim of the dissertation thesis is to create the model of the old-age pension (model 1) and the funded model (model 2) as a basis for assessing of options for the future development of the pension system in the Czech Republic, including sensitivity analysis and Monte Carlo simulation. First pillars and the basic classifications of pension systems are defined. More attention is paid to the assessment of the replacement ratio, the demographic situation in the Czech Republic and its projection to the year 2065. Further pension systems and their reforms in selected countries of the world are described. Then the social pension insurance in the Czech Republic and the system of the pension insurance with the state contribution is described. Further the thesis is focused on the description of selected methods of the risk analysis used in the dissertation. The sensitivity analysis, Single-factor and Multi-factor Scenarios, and the Monte Carlo simulation, Single-factor and multi-factor, is described. The core of the thesis is to design two models of the development of pensions. Model 1 is used to the modeling of the future development of the current PAYG defined benefit pension system; model 2 is used for the fully funded defined contribution pension system. In the model 1 there is the sensitivity of the development of the pension system balance to the development of selected macroeconomic variables and to changes in various parameters of the pension system examined. In the model 2 there are variants of the individual's retirement income due to the replacement ratio within the chosen investment strategies examined. In the conclusion there is a summary of the results obtained from model calculations made.