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Title:	死亡率模型建構及退休金資產配置之應用 Modeling Mortality and Application of Asset Allocation for Pension Fund
Authors:	莊偉柏
Contributors:	黃泓智莊偉柏
Keywords:	死亡率模型長壽債券退休金資產配置
Date:	2013
Issue Date:	2014-10-01 13:34:05 (UTC+8)
Abstract:	退休基金制度由確定給付制轉換成確定提撥制，使退休基金之投資風險改由勞工承擔。而退休基金的多寡則完全視退休基金投資績效的好壞而定，如何有效地管理退休基金儼然成為一項重要議題。本文延續Yang, Huang, and Lee(2006)之研究，改採用Mitchell et al.(2013)隨機死亡率模型，除了將股票與零息債券作為退休基金之兩項投資標的，再增加一項長壽債券作為退休基金之投資標的。透過極大化勞工之預期效用函數，探究確定提撥制下退休基金之最適資產配置策略以處理長壽風險。
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Description:	碩士國立政治大學風險管理與保險研究所 101358031 102
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1013580311
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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