English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113648/144635 (79%)
Visitors : 51689999      Online Users : 652
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49684


    Title: 退休基金之策略性資產配置
    Asset allocation of optimal strategy in pension management
    Authors: 楊凱勛
    Contributors: 張士傑
    楊凱勛
    Keywords: 動態規劃
    提撥政策
    資產配置
    最適策略
    Date: 2009
    Issue Date: 2010-12-08 16:41:09 (UTC+8)
    Abstract: 本研究討論以負債導向之退休基金的資產配置模型,並以股票型風險性資產為主要配置標的。隨機控制模型在推導過程中相當繁瑣,經常得不到封閉解,本研究之優點為,實際導出多項資產標的下之一般化封閉解,可進行財務經濟推論,直接得到不同參數對基金之影響,輔以台灣公務人員退撫基金第4次精算報告,為實證研究對象,接著加入投資限制之情境分析與模擬,得到結論。最適提撥隨著正常成本及給付上升而提高,若退休基金於當期有殘餘基金,則可因由投資獲利而少提撥部分資金。回饋函數之最適解同時權衡反應未來之精算正常成本與當期給付,正常成本上升而增加風險性投資,而因當期給付上升而減少風險投資趨於保守。若股票市場報酬率大於利率,投資者將增加股票之比例,以增加投資效果,投資者將對市場股票型資產同時做多空操作,進行避險。反之,隨著短期利率上升後,投資於股票部位將會漸漸移入現金持有,減少股票型風險性資產佔總資產之比例。
    Reference: Anderson, A.W. Pension Mathematics for Actuaries, 3rd ed. Winsted, Conn.: Actex Publication, 2006.
    Bacinello, A. R. (1988), A Stochastic Simulation Procedure for Pension Scheme, Insurance: Mathematics and Economics 7, pp.153-161.
    Bellman, R. (1957), Dynamic Programming, Princeton, N.J. Princeton University Press.
    Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. and Nesbitt, C. J. (1982), Notes on the Dynamics of Pension Funding, Insurance: Mathematics and Economics 1, pp.261-270.
    Brennan, M. J., and Schwartz, E. S. (1980), “Analyzing Convertible Bonds,” Journal of Financial and Quantitative Analysis, 15, pp.907–929.
    Cairns, A. J. G. (2000), “Some Notes on The Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time,” ASTIN Bulletin, 30, pp.19-55.
    Cairns, A. J. and Parker, G. (1997), “Stochastic Pension Fund Modeling.” Insurance : Mathematics and Economics, 21, pp.43-79.
    Chang, S. C. (1999), “Optimal Pension Funding Through Dynamic Simulations: the Case of Taiwan Public Employees Retirement System,” Insurance: Mathematics and Economics, 24, pp.187-199.
    Chang, S. C. (1999), “Stochastic Analysis of the Solvency Risk for TAIPERS Using Simulation-based Forecast Model,” Singapore International Insurance and Actuarial Journal, 3(1), pp.65-81.
    Chang, S. C. (2000), “Realistic Pension Funding : A Stochastic Approach,” Journal of Actuarial Practice, 8, pp.5-42.
    Chang, S. C. and Chen, C. C. (2001), “Multi-period Optimal Funding and Investment Strategy in Occupational Pension Management,” Management Review, 20, pp.21-52.
    Chang, S. C., Tsai, C. H., Tien, C. J. and Tu, C. Y. (2002), ”Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria.” Journal of Actuarial Practice, 10, pp.131-154.
    Chang, S. C., Tu, C. Y. and Deng Y. S. (2003), “Speculating and Hedging in Optimal Investment Strategy for Multi-period Fund Management.” Insurance Monograph, 19, pp.1-21.
    Chang, S. C. and Li, Y. F. (2004), “Optimal Portfolio Decisions in Pension Fund Management.” Journal of Management, 21, pp.279-290.
    Cox, J. C., Ingersoll, J. E., and Ross, S. A. (1985), “A Theory of the Term Structure of Interest Rates,” Econometrica, 53,pp.385-407.
    Cox, J. C. and Huang, C. F. (1989), “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process.” Journal of Economic Theory, 49, 33-83.
    Cox, J. C. and C. F. Huang, C. F. (1991), “A Variational Problem Arising in Financial Economics.” Journal of Mathematical Economics, 20, 465-487.
    Dothan, L. (1978), “On the Term Structure of Interest Rates,” Journal Financial Economics, 6, pp.59-69.
    Dufresne, D. (1988), Moments of Pension Fund Contributions and Fund Levels When Rates of Return are Random, Journal of the Institute of Actuaries ,115,pp. 535-544.
    Dufresne, D. (1989), Stability of Pension Systems When Rates of Return are Random, Insurance: Mathematics and Economics, 6,pp.129-134.
    Haberman, S. (1992), Pension Funding With Time Delays : A Stochastic Approach, Insurance: Mathematics and Economics, 11, pp.179-89.
    Haberman, S. (1993), Pension Funding with Time Delays and Autoregressive Rates of Investment Return, Insurance: Mathematics and Economics, 13, pp.45-56.
    Haberman, S. (1994), Autoregressive Rates of Return and the Variability of Pension Contributions and Fund Levels for A Defined Benefit Pension Scheme, Insurance: Mathematics and Economics, 14, pp.219-240.
    Haberman, S. And Sung, J. H. (1994), Dynamic Approaches to Pension Funding, Insurance: Mathematics and Economics, 15, pp.151-162.
    Haberman, S. And Wong, L. Y. (1997), “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, pp.115-135.
    Haberman, S. and Owadally, M. L. (1999), “Pension Fund Dynamics and Gains/ Losses Due to Random Rates of Investment Return,” North American Actuarial Journal, 3 , pp.105-117.
    Liao, S. L., Lee, C. F. and Lien, C. H. (2005), “Empirical Comparison of Interest Rate Models: The Case of Taiwan Commercial Paper Rate,” Management Review, 24, pp.29-54.
    Merton, R. C. (1969), “Lifetime Portfolio Selection Under Uncertainty : The Continuous-Time Case.” Review of Economic and Statistics, 51, 247-257.
    Merton, R. C. (1971), “Optimal Consumption and Portfolio Rules in a Continuous-Time Model.” Journal of Economic Theory, 3, 373-413.
    Merton, R. C. (1973), “Rational Theory of Option Pricing.” Bell Journal of Economics and Management Science, 4, pp.141-183.
    Merton, R. (1990), Continuous-Time Finance, Blackwell, Cambridge.
    O`Brien, T. (1986), A Stochastic-Dynamic Approach to Pension Funding, Insurance: Mathematics and Economics, 5, pp.141-46.
    O`Brien, T. (1987), A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization, Insurance: Mathematics and Economics, 6, pp.129-134.
    Scha ̈l, M. (1998), “On Piecewise Deterministic Markov Control Process : Control of Jumps and of Risk Processes in Insurance,” Insurance : Mathematics and Economics, 22, pp.75-91.
    Vasicek, O. A. (1997), “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, 5, pp.177-188.
    Winklevoss, H. E. (1982), Plasm: Pension Liability and Asset Simulation Model, Journal of Finance, XXXVII No. 2, pp.585-594.
    公務人員退休撫卹基金第4次精算報告
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    97358024
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097358024
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    802401.pdf3917KbAdobe PDF21665View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback