Optimization of Social Security Systems Under Uncertainty

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IR-02-077.pdf

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IR-02-077.pdf

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4817 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4817 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4817 archive 351 disk0/00/00/67/11 2016-01-15 02:14:32 2021-08-27 17:17:52 2016-01-15 02:14:32 monograph show 2 Ermolieva T.Y. 7638 Optimization of Social Security Systems Under Uncertainty pub iis_mod iis_ssr prog_ssr prog_ysp The aim of this paper is to develop optimization-based approaches for modeling multi-agent and multi-regional social security systems under demographic and economic uncertainties. Conceptually, the proposed model deals with the production and consumption processes coevolving with "birth-and-death" processes of the participating agents. Uncertainties concern fertility, life expectancy, migration and such economic and health variables as rate of return, incomes and disability rates. The goal is to satisfy a reasonable and secure consumption of agents. There is considerable similarity between the decisions involved in the optimization of social security systems and the production planning processes: in both cases "savings" are taken in periods of low demand and "dissavings" when the demand turns high. The significant difference of our problem is that decisions on savings and dissavings may have large-scale effects on the whole economy, in particular, they effect returns on savings through investments and capital formation. The model tracks incomes and expenditures of agents, their savings and dissavings, as well as intergenerational and interregional transfers of wealth. Robust management strategies are defined by using such risk indicators as ruin, shortfall and Conditional-Value-at-Risk (CVaR). The adaptive Monte Carlo optimization procedure is proposed to derive optimal decisions. Numerical experiments and possible applications to catastrophic risk management are discussed. 2002-12 published IR-02-077 IR-02-077 83 public interim_report IIASA, Laxenburg, Austria 20 FALSE info:eu-repo/semantics/book