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    题名: 彙集年金：理論、設計與定價
    其它题名: Pooled Annuity Scheme: Theory, Design, and Valuation
    作者: 謝明華
    贡献者: 風險管理與保險學系
    日期: 2012
    上传时间: 2016-04-12 17:23:18 (UTC+8)
    摘要: 近年來，通過個人退休儲蓄帳戶的引進,，公司和公共福利年金有一個重大的轉變。 確定給付制 (Defined benefit) 轉換為確定提撥制 (defined contribution)。為確保他們的退 休生活的品質, 個人變得更依賴於其退休儲蓄計畫中累積的資產價值。因此，新的處境 是由退休人員自己承擔長壽和投資風險。經由個人的風險偏好，可控制投資風險的大 小。因此，更重要的問題是解決退休人員的長壽風險。傳統的生存年金提供此問題的 解決方案之一。然而, 此解決方案的主要缺點是生存年金過於昂貴。解決由保險公司因 銷售傳統生存年金而承擔的長壽風險問題的一種可能方法是使用類似唐提聯合年金保 險計畫。然而增加被保險人的人數，通常無法減少系統性的長壽風險。因此，新的彙 集年金設計必須考慮到這些問題，以獲得唐提聯合年金保險計畫 (tontine scheme) 的預 期成效。在此專案中，我們希望提供嚴謹的定量技術分析這些問題。布朗橋近似，蒙 特卡羅模擬和變異數縮減都在技術菜單上。
    In recent years, there has been a big shift from corporate and public defined-benefit (DB) pension plans to a defined-contribution (DC) structure through the introduction of personal savings accounts. Individual become more relies on the value of assets they have accumulated in his/her savings plans to fund their retirement. Therefore, both longevity and investment risks are being borne by the retirees. Investment risks can be controlled by individuals’ risk preference. Thus, it is a more important question to choose the financial arrangements to convert accumulated lump sums into retirement incomes. Traditional life annuities provide one of such solution. The main drawback to this solution is that annuities are expensive. One possible way to alleviate the longevity risk borne by the insurance company that issues traditional life annuities is using tontine-like annuity scheme. With increased pool size, common systematic longevity risk still cannot be reduced. Therefore, new group pooling arrangement must take into account these issues to achieve the effectiveness of tontine-like schemes. In this project, we wish to provide robust quantitative techniques for analyzing these problems. Brownian bridge approximation, Monte Carlo simulation and variance reduction are on the menu.
    關聯: 計畫編號 NSC101-2410-H004-062
    数据类型: report
    显示于类别:[風險管理與保險學系] 國科會研究計畫

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