政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53846

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Title:	退休基金評價指標的建立---考量政策干預下的控制模型
Other Titles:	Benchmarks for Pension Valuation---A Control Mechanism Incorporating Policy Interventions
Authors:	張士傑
Contributors:	政治大學風險管理與保險系行政院國家科學委員會
Keywords:	政策干預;最適化提撥;動態規劃 Policy intervention;Optimal funding;Dynamic optimization
Date:	2000
Issue Date:	2012-10-22 15:43:18 (UTC+8)
Abstract:	提撥原則是固定給付退休基金所必須重視的經營策略，本研究著重於考量政策影響下，探討如何數量化退休基金經營的穩定性與安全性，陳述隨機控制理論的觀點，應用動態規劃的結果，建立基金於離散時間的動態回饋控制模型，仔細探討基金管理者的風險測度，使退休基金最主要的兩種經營風險，亦即提撥穩定性的風險（contribution rate risk ）和財務清償的風險（ solvency risk）能夠於基金財務規劃的期限內達到最小值，風險測度可提供決策者客觀衡量基金經營時的風險指標，表達有別於會計帳面之財務數字外有效的財務資訊。利用最適化的概念與給定參數及遞迴條件的限制下，計算基金於財務規劃期間內的最適提撥金額。最後，我們以台灣公務人員退撫基金為研究對象進行數值分析，由實例分析的流程我們詳細探討最適化理論與實際財務評估的應用過程，且最適的結果可以提供退休基金決策者更詳盡且及時的財務資訊，輔助退休基金管理者於多期決策的擬定過程。 An approach combining stochastic simulations and dynamic optimization is constructed to decide the optimal funding policy of the defined benefit pension scheme. The results show a significant advantage and flexibility of this approach in projecting the optimal financial status over the traditional deterministic pension valuation. In this study, the optimal contributions are estimated through dynamic programming under the projected workforce and specified constraints. Taiwan public employees retirement system (Tai-PERS) is studied for illustration. This article outlines the procedure of building the proposed dynamic procedure and presents the empirical findings from this study.
Relation:	應用研究學術補助研究期間:8808 ~ 8907 研究經費:456仟元
Data Type:	report
Appears in Collections:	[Department of Risk Management and Insurance] NSC Projects

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