Session: 88

Pensions

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Summary

In the paper we would like to give two applications of mathematical programming (MP) in the field of pension funds. On pension fund we mean the funds in the Hungarian social insurance system. The first application is almost "ready-to-use" and it is entirely connected to this system. Due to its nature the other is only outlined but the idea perhaps may be applied elsewhere in insurance, too.To understand the MP models it is necessary to deal with some details of the Hungarian system. Though we try to give as few details and comments as possible these will be a larger part of the paper. In fact, we are not too much interested in the technical parts of the MP problems. (How to solve them, etc.) It can be briefly said that with the help of these models the (interpretation of the) system's legal framework could be made clearer or the models help to give a clear interpretation at all. The first model deals with certain redistribution among the fund members1 savings (and this makes the problem specific for the Hungarian case). The other one is about the determination of unisex annuities or unisex life tables (which appears in any social insurance system).As far as we know, there is not such regulation where something is defined by the solution of an MP model. It is not an impossible idea since there are many regulations where several formulae are applied.

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39/03/01, Budapest

Graduated at ROLANDO EÖTVÖS UNIVERSITY, BUDAPEST as mathematician in 1962. I have obtained academic degree candidate in mathematical sciences in 1974. (This is practically a PhD degree or somewhat more in our system at that time. The title of my thesis was 'Solving polyhedral games via decomposition' or something like that. Shortly this belongs to the field of mathematical programming.)

From 1962 till 1982 at my affiliates I was dealing with different applications of mathematics for solving mainly economic problems. This time my affiliates were state owned profit interested institutes.

1982 I moved to the Economic University of Budapest as an associate professor later professor of the Mathematical Department. I began to deal that time with mathematics of finance and insurance. So I am a rather newcomer in the field of actuarial sciences.

1992 keeping my university position I moved again. I worked both in public sphere ( chief actuary of the Insurance Supervisory Authority, later the same position at the Pension Fund Supervisory Authority) and in the private one (consultant at the Garancia Insurance Co.)

Recently I am a consultant at the State Financial Supervisory Authority and teaching optimization theory at the Economic University of Budapest.

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