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    题名: 固定給付制退休金之最佳控管：隨機模擬方法之應用
    作者: 張乃懿
    Chang, Nai Yi
    贡献者: 黃泓智
    張乃懿
    Chang, Nai Yi
    关键词: 下跌風險
    最佳化退休金基金
    隨機模擬
    downside risks
    optimal pension planning
    stochastic simulation
    日期: 2004
    上传时间: 2009-09-18
    摘要: 本研究中以隨機模擬的方法應用於退休金最佳控制理論中，並將下跌風險(Downside Risks)加入二次最佳化函數中作為最適化準則，再以英國與美加地區不同提撥率模型做為研究對象，觀察不同情境下之結果。Haberman(1994)首先提出以最適化方法應用於固定給付制退休金基金上，並具體建立二次最適化準則，以提撥與資產的變異作為控制因子。Chang(2003)以下跌風險的觀念，指出退休金基金經營時管理人常較注意提撥過多與資產不足風險，若經營時考慮下跌風險，則會產生與原來考量不同之結果。本文以Chang(2003)之研究為基礎，將其建議之最佳化函數做為考量下跌風險之依據，並提出改良英國與美加地區之提撥率模型，採模擬的方式進行最佳化，探討其對不同提撥率模型之影響。研究結果發現若以隨機模擬作為最佳控制方法，在不同人口假設及精算模型下，會產生相同之結果，且發現下跌風險對於不同提撥率模型有不同之影響，其中建議的英式模型有效降低風險，而美式提撥率模型對於提撥率比例與資產負債比例在最佳化下有較理想之結果。最重要的，退休金基金管理人可利用隨機模擬的方式進行最佳化控制，以提供決策之參考依據。
    參考文獻: 中文部分
    繆震宇，2001。台灣退休基金最適提撥與資產配置之研究，證券市場發展季刊，第十三卷第三期：101-130。
    繆震宇、邱顯比，民國92年，「固定提撥費率下退休金基金動態資產配置之探討」，台灣管理學刊，第二券第二期，頁77-98。
    繆震宇，民國93年，「確定給付制退休基金的最適資產配置」，管理學報，第二十券第一期，頁177-199。
    英文部分
    Anderson, W. (1992) Pension Mathematics for Actuaries. ACTEX Publications
    Benjamin, S. (1984) An Actuarial layman looks at control theory. Transactions of 22nd International Congress of Actuaries, 295-310.
    Benjamin, S. (1989) Driving the pension fund. Journal of Institute of Actuaries 116, 717-735.
    Cairns, A.J.G. and Parker, G. (1997) Stochastic pension fund modeling Insurance: Mathematics and Economics 21, 43-79
    Cairns, A.J.G.(1994) An introduction to stochastic pension plan modeling.
    Chang, S.C., (1999) Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system. Insurance: Mathematics and Economics 24, 187-199.
    Chang, S.C., Cheng, C.C., (2002) Allocating unfunded liability in pension valuation under uncertainty. Insurance: Mathematics and Economics 30, 371-387
    Chang, S.C., (2003) Pension funding incorporating downside risks. Insurance: Mathematics and Economics 32, 217-228.
    Dufresne, D. (1988) Moments of pension contributions and fund levels when rates of return are random. Journal of the Institute of Actuaries 115, 535-544.
    Dufresne, D. (1989b) Stability of pension systems when rates of return are random. Insurance: mathematics and Economics 8, 71-76.
    Dufresne, D. (1990) The distribution of a perpetuity, with applications to risk theory and pension funding. Scandinavian Actuarial Journal 1990, 39-79
    Haberman, S, A, Zimbidis (1993) Delay, Feedback and Variability of Pension Contributions and Fund Levels. Insurance: Mathematics and Economics 13 , 271-285.
    Haberman, S. (1993a) Pension funding with time delays and autoregressive rates of investment return. Insurance: Mathematics and Economics 13, 45-56.
    Haberman, S. (1994) Dynamic approaches to pension funding. Insurance: Mathematics and Economics 15, 151-162.
    Haberman, S., Sung, J-H (1994) Dynamic approaches to pension funding. Insurance: Mathematics and Economics 15, 151-162
    Haberman, S., Wong, L.Y., (1997) Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme, Insurance: Mathematics and Economics 20, 115-135.
    Huang, H.C. (2000) Stochastic modeling and control of pension plans. Ph.D. Thesis, Heriot-Watt University.
    Lee, E.M. (1986) An introduction to pension schemes. Institute of Actuaries, London.
    O`Brien, T. (1987) A two-parameter family of pension contribution functions and stochastic optimization. Insurance: Mathematics and Economics 6, 129-134
    Owadally, M.I., Haberman, (1997) Pension fund dynamics and surpluses/deficits due to random rates of return. Proceedings of the 7th AFIR International Colloquium, on August 14–15, 1997, in Cairns, Queensland, Australia, 1, 379–399.
    Owadally, M.I., Haberman, (1999) Pension fund dynamics and gain/losses due to random rates of investment return. North American Actuarial Journal 3, 105-117.
    Vanderbroek, M. (1990)P Pension funding and optimal control. Mitteilungen der schweizerische Vereinigung der Versicherungsmathematiker 2, 313-325.
    Wilkie, A.D., (1986) A Stochastic Investment Model for Actuarial use
    Transactions of the Faculty of Actuaries 39, 341-391.
    Wilkie, A.D., (1995) More on a Stochastic Asset Model for Actuarial Use British Actuarial Journal 1(V), 777-964.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    91358018
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0913580181
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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