Integrated measure of risk in a cumulated-surplus-based financial plan optimization model for a 2-person household

Radosław Pietrzyk , Paweł Rokita


Long term financial planning for a household is aimed at preservation of desired life standard in the whole life cycle, including retirement, under the constraint that realization of other goals is also provided for. The possibility of achieving this depends, however, on a number of stochastic factors. They may be of different nature, and, therefore, a household financial plan is exposed to many different types of risk (e.g., life-length risk, market risk). Measuring the risk should be treated as an important part of financial planning, allowing to better address preferences of a household. Encompassing in a measure at least the most significant types of risk is, however, a challenge. A measure of risk suited to household financial planning will not be value oriented, nor cash-flow oriented. It should rather be in a way related to the question about threats to life standard and to ability of the household to accomplish its goals. In this article, there is made an attempt to construct an original risk measure that fulfills the condition
Author Radosław Pietrzyk (MISaF / IZF / KIFiZR)
Radosław Pietrzyk,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
, Paweł Rokita (MISaF / IZF / KIFiZR)
Paweł Rokita,,
- Katedra Inwestycji Finansowych i Zarządzania Ryzykiem
Publication size in sheets0.4
Book Martincik David, Ircingova Jarmila, Janecek Petr (eds.): 33th International Conference Mathematical Methods in Economics. MME 2015. Conference Proceedings, 2015, University of West Bohemia, ISBN 978-80-261-0539-8, 953 p.
Keywords in Englishpersonal finance, household financial planning, integrated measure of risk
Languageen angielski
Score (nominal)15
Score sourceconferenceIndex
Publication indicators WoS Citations = 2
Citation count*3 (2020-07-13)
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