Mathematical Modeling of the Operation of Pension Funds in Order to Assess Their Sustainability

Abstract

The problem of modeling the operation of pension funds and assessing their financial sustainability is addressed. The classical Cramér–Lundberg model is modified by setting the parameters of revenues and payments to the fund in the form of random variables. The simulated solution to the problem of the operation of the pension plan and the assessment of its sustainability is considered based on the actual Russian data, where the initial demographic values are assumed to be equal to the corresponding values for 2018, and the forecast data and results of operation of the pension plan, including the analysis of its sustainability, from 2018 to 2036. Simulation modeling is carried out taking into account the projected dynamics of expected mortality rates, as well as the age and sex structure of the population.