政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/51217
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51091701      在线人数 : 875
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/51217


    题名: 隱含流動性溢酬於退休給付選擇之研究
    The study of embedded liquidity premium in pension benefit selections
    作者: 楊舒涵
    Yang, Shu Han
    贡献者: 張士傑
    楊舒涵
    Yang, Shu Han
    关键词: 勞工保險
    一次給付
    年金
    流動性溢酬
    隱含長壽收益
    Labor Insurance
    old-age one-time benefit
    pension benefit
    liquidity premium
    implied longevity yield
    日期: 2010
    上传时间: 2011-10-05 14:33:22 (UTC+8)
    摘要: 為因應人口老化及少子化趨勢所帶來之長期經濟生活保障問題，政府於98年1月1日施行新制勞工保險，將年金給付納入保險制度。對於98年1月1日前有勞保年資且年資達十五年以上之勞工，於退休時可選擇舊制下的一次請領老年給付或是新制的老年年金給付。因此，需探討以一次請領或年金給付方式何者對勞工較為有利。本研究以流動性與內部報酬率之角度來分析探討勞工保險新制下一次給付與年金給付之差異，比較年金給付理論上須提供之流動性溢酬(liquidity premium)與勞保新制下年金給付實際上所提供的內部報酬率(隱含長壽收益，ILY)，以提供退休勞工選擇之參考。研究結果發現，在1.5到3的風險趨避係數之間，無論投保年資、平均月投保薪資與性別，年金給付之隱含長壽收益扣除無風險利率後皆高於所應提供之流動性溢酬，比例大約在2到38.9。其中最低投保年資十五年之ILY最高(1,984~2,633 b.p.)，之後隨年資遞減，年資超過三十年以上之ILY又開始遞增。在投保年資二十年以下，最低投保薪資提供較高的ILY。比較男性與女性之差異，女性之流動性溢酬與ILY皆高於男性。由以上結果顯示，勞工於退休時選擇請領老年年金給付方式較佳。
    In order to build up a complete Labor Insurance pension protection system and offer the insured person or insured person’s dependents long term living care, the system has added pension benefits on January 1, 2009. After the implementation of Labor Insurance pension program, the insured that has insurance coverage before January 1, 2009 could select the old-age one-time benefit or monthly pension benefit when they retire. Therefore, which benefit approach is better is an important concern for retiree. In this study, we take the concept of the liquidity premium and the implied longevity yield (ILY) to compare the old-age one-time benefit and pension benefit. The results show the ILY minus the risk-free rate would greater than the liquidity premium no matter what the insurance coverage years, insurance salary, gender, and the coefficient of relative risk aversion from 1.5 to 3, the ratio of the ILY to liquidity premium is about 2 to 38.9. Second, the insured with 15 coverage years has highest ILY (1,984~2,633 b.p.). Then the insured with lowest insurance salary and less than 20 coverage years could earn the highest ILY. Finally, the results indicate the female have higher ILY from annuitized pension benefit than the male. Overall, we find out that the implied longevity yield is higher than the liquidity premium under the old-age pension benefit. It would encourage insured to choose the old-age pension benefit when he/she retires.
    參考文獻: Albrecht, P. and R. Maurer, 2002, Self-annuitization, Consumption Shortfall in Retirement and Asset Allocation: The Annuity Benchmark. Journal of Pension Economics and Finance, 1, 269-288.
    Boardman, T., 2006, Annuitization Lessons from the UK: Money-Back Annuities and Other Developments. Journal of Risk and Insurance, 73, 633-646
    Brown, J.R., 2001, Private Pensions, Mortality Risk, and the Decision to Annuitize. Journal of Public Economics, 82, 29-62.
    Brown, J.R., and J. Poterba, 2000, Joint Life Annuities Demand by Married Couples. Journal of Risk and Insurance, 67, 527-554.
    Browne, S., M.A. Milevsky, & T.S. Salisbury, 2003, Asset Allocation and the Liquidity Premium for Illiquid Annuities. Journal of Risk and Insurance, 70, 509-526.
    Fischer, S., 1973, A Life Cycle Model of Life Insurance Purchases. International Economic Review, 14, 132-152.
    Friedman, B.M. and M.J. Warshawsky, 1990, The Cost of Annuities: Implications for Saving Behavior and Bequests. Quarterly Journal of Economics, 105, 135-154.
    Horneff, W.J., R.H. Maurer, O.S. Mitchell, O.S., and I. Dus, 2008, Following the Rules: Integrating Asset Allocation and Annuitization in Retirement Portfolios. Insurance: Mathematics and Economics, 42, 396-408.
    Kingston, G., and S. Thorp, 2005, Annuitization and Asset Allocation with HARA Utility. Journal of Pension Economics and Finance, 4, 225-248.
    Kotlikoff, L.J., and A. Spivak, 1981, The Family as an Incomplete Annuities Market. Journal of Political Economy, 89, 373-391.
    Kotlikoff, L.J., and L.H. Summers, 1981, The Role of Intergenerational Transfers in Aggregate Capital Accumulation. Journal of Political Economy, 89, 706-732.
    Milevsky, M.A. and C. Robinson, 2000, Self-annuitization and Ruin in Retirement. North American Actuarial Journal, 4, 113-129.
    Milevsky, M.A. and V.R. Young, 2007a, Annuitization and Asset Allocation. Journal of Economic Dynamics and Control, 31, 3138-3177.
    Milevsky, M.A. and V.R. Young, 2007b, The Timing of Annuitization: Investment Dominance and Mortality Risk. Insurance: Mathematics and Economics, 40, 135-144.
    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, 401-426.
    Mirer, T.W., 1994, The Dissaving of Annuity Wealth and Marketable Wealth in Retirement. Review of Income and Wealth, 40, 87-97.
    Mitchell, O.S., J.M. Poterba, M.J. Warshawsky, and J.R. Brown, 1999, New Evidence on the Moneys Worth of Individual Annuities. American Economic Review, 89, 1299-1318.
    Modigliani, F., 1986, Life Cycle, Individual Thrift and the Wealth of Nations. American Economic Review, 76(3), 297-313.
    Stabile, G., 2006, Optimal Timing of the Annuity Purchase: Combined Stochastic Control and Optimal Stopping Problem. International Journal of Theoretical and Applied Finance, 9, 151-170.
    Vidal-Melia, C., Lejarraga-Garcia, A., 2006. Demand for life annuities from married couples with a bequest motive. Journal of Pension Economics and Finance 5 (02), 197-229.
    Yaari, M.E., 1965, Uncertain Lifetime, Life Insurance and the Theory of the Consumer. Review of Economic Studies, 32, 137-150.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    98358007
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0098358007
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    800701.pdf880KbAdobe PDF2966检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈