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    题名: 連續時間模型下退休基金最適策略之研究
    作者: 陳絳珠
    贡献者: 張士傑
    陳絳珠
    关键词: 提撥政策
    資產配置
    評估測度
    動態規劃
    最適策略
    finding policy
    asset allocation
    risk measurement
    dynamic programming
    optimal strategy
    日期: 2000
    上传时间: 2016-03-31 16:36:41 (UTC+8)
    摘要: 本研究針對退休基金管理的兩項重要議題：提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型，不若多期規劃的效率性，因此，本研究考量連續時間下，利用控制理論觀點，將提撥金額與資產配置視為可調節的因子，以風險最小化為最適定義，提供基金多期管理的有效方法。
    This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer`s contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management.
    參考文獻: 一、 中文部分
    林妙姍，確定提撥退休金計劃的應用與相關精算之研究，國立政治大學風險管理與保險研究所碩士論文，民87年。
    二、 英文部分
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    Haberman, S., “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance: Mathematics and Economics 19（1997）: 127-139.
    Haberman, S. and Sung, J. H., “Dynamic approaches to pension funding.” Insurance: Mathematics and Economics 15（1994）: 151-162.
    Haberman, S. and Wong, L. Y., “Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme,” Insurance: Mathematics and Economics 20（1997）: 115-135.
    Merton, R., Continuous-Time Finance, Blackwell, Cambridge, 1990.
    O’Brien, T., “A stochastic-dynamic approach to pension funding.” Insurance: Mathematics and Economics 5（1986）: 141-146.
    O’Brien, T., “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance: Mathematics and Economics 6（1987）: 129-134.
    Owadally, M. L. and Haberman, S., “Pension fund dynamics and gains/ losses due to random rates of investment return.” North American Actuarial Journal, Vol. 3. No. 3（1999）:105-117.
    Petit, M. L., Control Theory and Dynamic Games in Economic Policy Analysis, Cambridge University Press, Cambridge New York, 1990.
    Phillips, A. W., “The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957.” Econometrica 25（1958）: 283-299.
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    Runggaldier, W. J., “Concept and methods for discrete and continuous time control under uncertainty.” Insurance: Mathematics and Economics 22（1998）: 25-39.
    Sch l, M., “On piecewise deterministic Markov control process: Control of jumps and of risk processes in insurance.” Insurance: Mathematics and Economics 22（1998）: 75-91.
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    Simon, H. A., “Dynamic programming under uncertainty with a quadratic criterion function. ” Econometrica 24（1957）: 74-81.
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    Voelker, Craig A., “Strategic asset allocation for pension plans.” Record V24n2, Society of Actuaries,1998.
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    Winklevoss, H. E., Pension Mathematics with Numerical Illustrations, 2nd edition, Pension Research Council Publications, 1993.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002021
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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