政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53851

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113311/144292 (79%)
Visitors : 50930089 Online Users : 1011

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of Risk Management and Insurance > NSC Projects > Item 140.119/53851

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53851

Title:	考量收益時間差異及使用避險工具之退休基金最適資產負債動態模型(I)
Other Titles:	Dynamic Asset Liability Optimization Models in Pension Management Incorporating Time Variation in Expected Returns and Hedging Instruments (I)
Authors:	張士傑
Contributors:	國立政治大學風險管理與保險學系行政院國家科學委員會
Keywords:	退休基金管理;避險工具;資產負債管理;時間差異;期望報酬率 Pension management;Hedging instrument;Asset and liability management;Time variation;Expected returns
Date:	2001
Issue Date:	2012-10-22 15:43:25 (UTC+8)
Abstract:	本研究應用隨機控制理論，以長期規劃之觀點，尋求各期之最適資產配置及提撥金額，為充分反映退休基金管理時所面臨的不確定因素，以隨機微分方程式描述退休基金所累積資產與應計負債的動態隨機性質，建構連續時間的隨機控制模型，並給定衡量資產負債之評估績效，求出最適的基金提撥與資產配置策略。最終以勞動基準法規範下的企業退休金計劃為實証對象，透過動態模擬與數值方法，連結控制理論與情境模擬，藉以檢視某半導體與電子公司固定給付退休基金之最適策略。
Relation:	應用研究學術補助研究期間:9008 ~ 9107 研究經費:580仟元
Data Type:	report
Appears in Collections:	[Department of Risk Management and Insurance] NSC Projects

Files in This Item:

File	Size	Format
902416H004 (1).pdf	26Kb	Adobe PDF2	904	View/Open

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.

Loading...