In Search of the Optimal Saving Strategy for Pan-European Pension Products

The introduction of pan-European pension products in 2020 is associated with an ongoing debate on prescribing predefined saving strategy that would both deliver adequate performance and limit the down-side risk at the end of the saving horizon. Dynamic life-cycle saving strategies are generally accepted as a good risk-mitigation tool that can be individually set. Many research papers confirm the ability of life-cycle strategies to deliver high risk-reward outcomes. Objective of our paper is to test the ability of one-factor life-cycle saving strategies based on the age and/or the remaining saving horizon to deliver the promised value for PEPP savers. We constructed 18 saving strategies divided into three groups – static saving strategies with fixed proportion of equities, dynamic life-cycle strategies based on the age and/or remaining saving horizon, and quasi-active strategies combining two factors – the remaining saving horizon and price movement. We employed the model based on moving-block bootstrapping technique and performed simulations for various economic conditions. We have tested the expected saving performance combined with the down-side risk during the saving horizon. Our findings do not confirm the general findings on life-cycle saving strategies. We claim that having the age as the only factor defining the proportion of equities in the pension saving portfolio would not be optimal. However, we found that two-factor saving strategies look promising in delivering both lower down-side risk and higher performance over the saving horizon

What is the cost of pension reform reversal in Slovakia and could the NDC scheme solve the fiscal imbalance of payg scheme?

In this study, by applying microsimulation pension model supported by statistical and administrative data on Slovak population, we analyze the fiscal and redistributive consequences of retirement age ceiling and impact of NDC scheme introduction on the Slovak pay-as-you-go pillar fiscal balance and expected pension benefits. However, we work with some limitations on the NDC set-up according to the preferences defined by the governmental institutions. The paper is organized as follows: The second section discusses current knowledge and existing papers dealing with pension reform, reform reversals supported by rising pension populism and existing experience with the introduction of NDC schemes. Third section presents more details on Slovak pension system and elaborates details on the research objective, data, and methodology with the presentation of no-policy change set-up as well as NDC scheme set-up. Fourth section presents the research results of the fiscal and redistribution implications of the policies examined and discusses the findings and potential challenges that need to be further elaborated if the NDC scheme should be implemented, especially the poverty risk for low-income cohorts and minimum retirement income granted to a retiring person regardless the level of paid contributions

Anisotropic flow of charged hadrons, pions and (anti-)protons measured at high transverse momentum in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm NN}}=2.76 TeV

The elliptic, $v_2$, triangular, $v_3$, and quadrangular, $v_4$, azimuthal anisotropic flow coefficients are measured for unidentified charged particles, pions and (anti-)protons in Pb-Pb collisions at $\sqrt{s_{\rm NN}} = 2.76$ TeV with the ALICE detector at the Large Hadron Collider. Results obtained with the event plane and four-particle cumulant methods are reported for the pseudo-rapidity range $|\eta|<0.8$ at different collision centralities and as a function of transverse momentum, $p_{\rm T}$, out to $p_{\rm T}=20$ GeV/$c$. The observed non-zero elliptic and triangular flow depends only weakly on transverse momentum for $p_{\rm T}>8$ GeV/$c$. The small $p_{\rm T}$ dependence of the difference between elliptic flow results obtained from the event plane and four-particle cumulant methods suggests a common origin of flow fluctuations up to $p_{\rm T}=8$ GeV/$c$. The magnitude of the (anti-)proton elliptic and triangular flow is larger than that of pions out to at least $p_{\rm T}=8$ GeV/$c$ indicating that the particle type dependence persists out to high $p_{\rm T}$.Comment: 16 pages, 5 captioned figures, authors from page 11, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/186

Centrality dependence of charged particle production at large transverse momentum in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm{NN}}} = 2.76 TeV

The inclusive transverse momentum ($p_{\rm T}$) distributions of primary charged particles are measured in the pseudo-rapidity range $|\eta|<0.8$ as a function of event centrality in Pb-Pb collisions at $\sqrt{s_{\rm{NN}}}=2.76$ TeV with ALICE at the LHC. The data are presented in the $p_{\rm T}$ range $0.15<p_{\rm T}<50$ GeV/$c$ for nine centrality intervals from 70-80% to 0-5%. The Pb-Pb spectra are presented in terms of the nuclear modification factor $R_{\rm{AA}}$ using a pp reference spectrum measured at the same collision energy. We observe that the suppression of high-$p_{\rm T}$ particles strongly depends on event centrality. In central collisions (0-5%) the yield is most suppressed with $R_{\rm{AA}}\approx0.13$ at $p_{\rm T}=6$-7 GeV/$c$. Above $p_{\rm T}=7$ GeV/$c$, there is a significant rise in the nuclear modification factor, which reaches $R_{\rm{AA}} \approx0.4$ for $p_{\rm T}>30$ GeV/$c$. In peripheral collisions (70-80%), the suppression is weaker with $R_{\rm{AA}} \approx 0.7$ almost independently of $p_{\rm T}$. The measured nuclear modification factors are compared to other measurements and model calculations.Comment: 17 pages, 4 captioned figures, 2 tables, authors from page 12, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/284

Charge separation relative to the reaction plane in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm NN}}= 2.76 TeV

Measurements of charge dependent azimuthal correlations with the ALICE detector at the LHC are reported for Pb-Pb collisions at $\sqrt{s_{\rm NN}} = 2.76$ TeV. Two- and three-particle charge-dependent azimuthal correlations in the pseudo-rapidity range $|\eta| < 0.8$ are presented as a function of the collision centrality, particle separation in pseudo-rapidity, and transverse momentum. A clear signal compatible with a charge-dependent separation relative to the reaction plane is observed, which shows little or no collision energy dependence when compared to measurements at RHIC energies. This provides a new insight for understanding the nature of the charge dependent azimuthal correlations observed at RHIC and LHC energies.Comment: 12 pages, 3 captioned figures, authors from page 2 to 6, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/286

A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE

In this small note we are concerned with the solution of Forward-Backward Stochastic Differential Equations (FBSDE) with drivers that grow quadratically in the control component (quadratic growth FBSDE or qgFBSDE). The main theorem is a comparison result that allows comparing componentwise the signs of the control processes of two different qgFBSDE. As a byproduct one obtains conditions that allow establishing the positivity of the control process.Comment: accepted for publicatio

Measurement of charm production at central rapidity in proton-proton collisions at s=2.76\sqrt{s} = 2.76 TeV

The $p_{\rm T}$-differential production cross sections of the prompt (B feed-down subtracted) charmed mesons D$^0$, D$^+$, and D$^{*+}$ in the rapidity range $|y|<0.5$, and for transverse momentum $1< p_{\rm T} <12$ GeV/$c$, were measured in proton-proton collisions at $\sqrt{s} = 2.76$ TeV with the ALICE detector at the Large Hadron Collider. The analysis exploited the hadronic decays D$^0 \rightarrow$K$\pi$, D$^+ \rightarrow$K$\pi\pi$, D$^{*+} \rightarrow$D$^0\pi$, and their charge conjugates, and was performed on a $L_{\rm int} = 1.1$ nb$^{-1}$ event sample collected in 2011 with a minimum-bias trigger. The total charm production cross section at $\sqrt{s} = 2.76$ TeV and at 7 TeV was evaluated by extrapolating to the full phase space the $p_{\rm T}$-differential production cross sections at $\sqrt{s} = 2.76$ TeV and our previous measurements at $\sqrt{s} = 7$ TeV. The results were compared to existing measurements and to perturbative-QCD calculations. The fraction of cdbar D mesons produced in a vector state was also determined.Comment: 20 pages, 5 captioned figures, 4 tables, authors from page 15, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/307

Transverse sphericity of primary charged particles in minimum bias proton-proton collisions at s=0.9\sqrt{s}=0.9, 2.76 and 7 TeV

Measurements of the sphericity of primary charged particles in minimum bias proton--proton collisions at $\sqrt{s}=0.9$, 2.76 and 7 TeV with the ALICE detector at the LHC are presented. The observable is linearized to be collinear safe and is measured in the plane perpendicular to the beam direction using primary charged tracks with $p_{\rm T}\geq0.5$ GeV/c in $|\eta|\leq0.8$. The mean sphericity as a function of the charged particle multiplicity at mid-rapidity ($N_{\rm ch}$) is reported for events with different $p_{\rm T}$ scales ("soft" and "hard") defined by the transverse momentum of the leading particle. In addition, the mean charged particle transverse momentum versus multiplicity is presented for the different event classes, and the sphericity distributions in bins of multiplicity are presented. The data are compared with calculations of standard Monte Carlo event generators. The transverse sphericity is found to grow with multiplicity at all collision energies, with a steeper rise at low $N_{\rm ch}$, whereas the event generators show the opposite tendency. The combined study of the sphericity and the mean $p_{\rm T}$ with multiplicity indicates that most of the tested event generators produce events with higher multiplicity by generating more back-to-back jets resulting in decreased sphericity (and isotropy). The PYTHIA6 generator with tune PERUGIA-2011 exhibits a noticeable improvement in describing the data, compared to the other tested generators.Comment: 21 pages, 9 captioned figures, 3 tables, authors from page 16, published version, figures from http://aliceinfo.cern.ch/ArtSubmission/node/308

Measurement of event background fluctuations for charged particle jet reconstruction in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm NN}} = 2.76 TeV

The effect of event background fluctuations on charged particle jet reconstruction in Pb-Pb collisions at $\sqrt{s_{\rm NN}} = 2.76$ TeV has been measured with the ALICE experiment. The main sources of non-statistical fluctuations are characterized based purely on experimental data with an unbiased method, as well as by using single high $p_{\rm T}$ particles and simulated jets embedded into real Pb-Pb events and reconstructed with the anti-$k_{\rm T}$ jet finder. The influence of a low transverse momentum cut-off on particles used in the jet reconstruction is quantified by varying the minimum track $p_{\rm T}$ between 0.15 GeV/$c$ and 2 GeV/$c$. For embedded jets reconstructed from charged particles with $p_{\rm T} > 0.15$ GeV/$c$, the uncertainty in the reconstructed jet transverse momentum due to the heavy-ion background is measured to be 11.3 GeV/$c$ (standard deviation) for the 10% most central Pb-Pb collisions, slightly larger than the value of 11.0 GeV/$c$ measured using the unbiased method. For a higher particle transverse momentum threshold of 2 GeV/$c$, which will generate a stronger bias towards hard fragmentation in the jet finding process, the standard deviation of the fluctuations in the reconstructed jet transverse momentum is reduced to 4.8-5.0 GeV/$c$ for the 10% most central events. A non-Gaussian tail of the momentum uncertainty is observed and its impact on the reconstructed jet spectrum is evaluated for varying particle momentum thresholds, by folding the measured fluctuations with steeply falling spectra.Comment: 21 pages, 5 captioned figures, 3 tables, authors from page 16, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/350

Transverse momentum spectra of charged particles in proton-proton collisions at s=900\sqrt{s} = 900 GeV with ALICE at the LHC

The inclusive charged particle transverse momentum distribution is measured in proton-proton collisions at $\sqrt{s} = 900$ GeV at the LHC using the ALICE detector. The measurement is performed in the central pseudorapidity region $(|\eta|<0.8)$ over the transverse momentum range $0.15<p_{\rm T}<10$ GeV/$c$. The correlation between transverse momentum and particle multiplicity is also studied. Results are presented for inelastic (INEL) and non-single-diffractive (NSD) events. The average transverse momentum for $|\eta|<0.8$ is $\left<p_{\rm T}\right>_{\rm INEL}=0.483\pm0.001$ (stat.) $\pm0.007$ (syst.) GeV/$c$ and \left_{\rm NSD}=0.489\pm0.001 (stat.) $\pm0.007$ (syst.) GeV/$c$, respectively. The data exhibit a slightly larger $\left<p_{\rm T}\right>$ than measurements in wider pseudorapidity intervals. The results are compared to simulations with the Monte Carlo event generators PYTHIA and PHOJET.Comment: 20 pages, 8 figures, 2 tables, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/390