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    題名: 退休後之理財規劃
    Financial planning in the post-retirement period
    作者: 許依萍
    Hsu, Yi Ping
    貢獻者: 黃泓智
    許依萍
    Hsu, Yi Ping
    關鍵詞: 自我資產配置
    退休後
    年金化
    退休金
    格子點分析
    self-annuitization
    post-retirement
    annuitize
    pension
    brick analyzing method
    日期: 2008
    上傳時間: 2010-12-09 15:59:16 (UTC+8)
    摘要: 近年來，由於醫學技術進步使世界各國人民帄均壽命延長，加上通貨膨脹的影響，使得老年人在退休時是否擁有充足的財富來因應生活支出成為退休規劃中的重要議題。而由於年金兩難(Annuity Puzzle)的問題，個人積蓄在退休時點就立即用於購買年金保險是否為一個好的退休規劃仍有待考慮。故本文中提出遞延購買年金策略，退休人可考慮進行自我資產配置一段期間後再年金化，並進一步分析資產配置期間長度改變或消費水準改變時的影響。
    本文為退休者建立兩種效用函數，第一種為未來單一時點之效用、第二種為多期折現之加總效用，並分別探討由各效用求出的退休後最適資產配置。本文並參考Lee, Yung-Tsung (2009)推導出兩效用函數之理論值，以取代模擬值，並利用格子點分析縮小求解的範圍。
    第一種效用關注於每一給定的未來時點上，我們可用於推估最佳年金化時點及其資產配置。由類似mean-variance的形式組成此效用函數，並考慮隨年紀增長而提高風險趨避程度。令最適投資之效用與一完全購買年金者之帳戶價值於各個時點上相比，便可決定何時為最佳年金化時點。我們並分析不同風險態度的退休者的結果，越風險趨避者越適宜較早年金化。
    第二種效用則先決定資產配置計畫的長度，所求得之最適投資將考慮到計畫過程中的要求，而非只有最後一點的目標。我們將分析資產配置計畫過程中、不同計畫長度下，以及不同消費水準時最適投資比例的變化。
    兩種效用函數下皆有採用Regular Rebalance及Multiple Period Rebalance的投資策略。Multiple Period Rebalance並未明顯帶來更好的效用，因此選擇以Regular Rebalance進行各項參數敏感度的格子點分析。
    When people retire, purchasing the annuity insurances using their retirement fund is one way against the longevity risk. However, it has some shortcoming; the annual payment may be insufficient for daily life consumption, can’t be adjusted for any urgent need (liquidity risk), and moreover, if the policyholders unfortunately pass away early, they couldn’t leave the rest policy account value as bequest. Under these considerations, many people won’t purchase the annuity insurances right away at retirement; they can do their consumption choices and do asset allocation at the mean time like as ―self-annuitization‖(the ―investment/consumption plan‖, 2006, Gerrard, Haberman and Vigna), and then convert their portfolios into annuity pension on an adequate moment post-retirement to solve the longevity problem.
    This paper constructs two kinds of retiree’s utility functions according a time-series of safety level. The first one focuses on one future timing, and we use it to investigate the adequate annuitization timing. The more risk taker a retiree is, the later he annuitizes. The second one summarizes the utilities each timing during a period after retirement, and we use it to analysis the sensitivities for the optimal asset allocation. Both of the two analyses are discussed under two investment strategies, regular rebalance and multiple-period rebalance.
    參考文獻: Albrecht, P., Maurer, R., 2002, “Self-annuitization, consumption shortfall in retirement and asset allocation: The annuity benchmark,” Journal of Pension Economics and Finance 1 (3), 269–288.
    Brown, J. R., 1999 ,“Private pensions, mortality risk, and the decision to annuitize,” NBER Working Paper #7191.
    Brown, J.R., Poterba, J., 2000, “Joint life annuities and annuity demand by married couples,” Journal of Risk and Insurance 67 (4), 527–554.
    Brown, J.R., 2001a, “Are the elderly really over-annuitized? New evidence on life insurance and bequests,” In: Wise, D. (Ed.), Themes in the Economics of Aging. University of Chicago Press, Chicago, IL, pp. 91–124.
    Brown, J.R., 2001b, “Private pensions, mortality risk, and the decision to annuitize,” Journal of Public Economics 82 (1), 29–62.
    Davidoff, T., J. Brown and P. Diamond, 2003, “Annuities and individual welfare”, M.I.T. Department of Economics Working Paper Series, Working Paper 03-15.
    Dus, I., Maurer, R., Mitchell, O.S., 2005, “Betting on death and capital markets in retirement: A shortfall risk analysis of life annuities versus phased withdrawal plans,” Financial Services Review 14, 169–196.
    Friedman, B., Warshawsky, M., 1990, “The cost of annuities: implications for saving behavior and Bequests,” Quarterly Journal of Economics 105 (1), 135–154.
    Gerrard, R., Haberman, S., Vigna, E., 2006, “The Management of Decumulation Risks in A Defined Contribution Pension Plan”, North American Actuarial Journal, 10, 1; ABI/INFOEM Global, p.84.
    Horneff, W. J., Maurer, R. H., Mitchell, O. S., Dus, I., 2008, “Following the rules: Integrating asset allocation and annuitization in retirement portfolios”, Insurance: Mathematics and Economics 42, 396–408.
    Huang, H. C., Cairns, A. J. G., 2006,“On the control of defined-benefit pension plans”, Insurance: Mathematics and Economics 38, 113–131.
    Huang, H. C., Lee, Y. T., 2008, “Optimal Asset Allocation Incorporating Longevity Risk in Defined Contribution Pension Plans”, The 4th International Longevity Risk and Capital Markets Solutions Conference.
    Lee, Yung-Tsung, 2009, “Optimal Fund Management under the Mean-Variance Approach”, 國立政治大學風險管理與保險研究所博士學位論文。
    Mitchell, O.S., Poterba, J.M., Warshawsky, M.J., Brown, J.R., 1999, “New evidence on the moneys worth of individual annuities,” American Economic Review 89 (December 5), 1299–1318.
    Milevsky, M. A., 1998, “Optimal Asset Allocation towards the End of the Life Cycle: To Annuitize or Not to Annuitize?”, Journal of Risk and Insurance 65 (3).
    Milevsky, M. A. and V. R. Young, 2003, “Annuitization and asset allocation”, working paper, Schulich School of Business, York University.
    Milevsky, M. A., Moore, M. S., and Young, V. R., 2005, “Optimal Asset Allocation and Ruin-Minimization Annuitization Strategies”, ARCH Table of Contents 2005.1,
    Russell Gerrard a, Steven Habermana, Elena Vigna, 2004, “Optimal investment choices post-retirement in a defined contribution pension scheme” , Insurance: Mathematics and Economics 35, 321–342.
    T. Davidoff, J. R. Brown and P. Diamond, 2003, “Annuities and individual welfare,” NBER Working Paper #9714.
    Yaari, M.E., 1965, “Uncertain lifetime, life insurance and the theory of the consumer,” Review of Economic Studies 32, 137–150.
    陳俊宇，2008年，「退休後最適投資策略及年金化時點」，國立政治大學風險管理與保險學系碩士論文。
    描述: 碩士
    國立政治大學
    財政研究所
    96358007
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096358007
    資料類型: thesis
    顯示於類別:[財政學系] 學位論文

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