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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53857


    Title: 附加年金制破產風險極小化及最適提撥率之探討
    Other Titles: Risk-minimization of Insolvency and Optimal Control of Contribution Rate for Supplementary Annuity
    Authors: 黃泓智
    Contributors: 政治大學風險管理與保險系
    行政院國家科學委員會
    Keywords: 隨禨模型;退休金計劃;最適提撥率;附加年金
    stochastic;pension plan;contribution rate;wilkie model;supplementary annuity
    Date: 2002
    Issue Date: 2012-10-22 15:43:35 (UTC+8)
    Abstract: 一般文獻對退休金計劃提撥率的研究，通常沒有考慮市場上短期利率所提供的訊息，例如一年期債券，本研究利用一年期債券每年的投資報酬率若為非獨立的情況時，在調整退休金提撥率時，可以考慮一年期債券所提供的市場訊息來降低退休基金破產風險和提撥率變動過大的風險。在本研究中，我們針對附加年金制，提供一有效的模型用來決定提撥率，同時利用市場上短期利率的訊息，以預估退休金的投資收益，並達到對退休金計劃中風險的控制。另外，為了增進此研究結果能更符合實際市場中運作的需求，本文利用隨機模擬的方法，採用較符合實際的投資模型、提撥模型及精算假設等因素，對退休金計劃的穩定性做更進一步的探討。
    The traditional approach of pension plan contribution rate does not make allowance for current market interest rates: for example, on one-year bonds where rates-of-return on fund assets are not independent from one year to the next. We consider how to make use of market information on interest rates to reduce volatility in contribution rates and funding levels. In this research we aim to propose a more general model for the adjustment of the contribution rate and focus our study on the factors when making use of market information to reduce contribution rate volatility. Furthermore, We consider more realistic assumptions (for example, stochastic salary growth) and more realistic investment models (for example, the Wilkie Model) in a pension scheme and investigate, by means of stochastic simulation, the control of the contribution rate for improving the stability of the pension scheme.
    Relation: 應用研究
    學術補助
    研究期間:9108 ~ 9207
    研究經費:278仟元
    Data Type: report
    Appears in Collections:[風險管理與保險學系] 國科會研究計畫

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