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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53851


    Title: 考量收益時間差異及使用避險工具之退休基金最適資產負債動態模型(I)
    Other Titles: Dynamic Asset Liability Optimization Models in Pension Management Incorporating Time Variation in Expected Returns and Hedging Instruments (I)
    Authors: 張士傑
    Contributors: 國立政治大學風險管理與保險學系
    行政院國家科學委員會
    Keywords: 退休基金管理;避險工具;資產負債管理;時間差異;期望報酬率
    Pension management;Hedging instrument;Asset and liability management;Time variation;Expected returns
    Date: 2001
    Issue Date: 2012-10-22 15:43:25 (UTC+8)
    Abstract: 本研究應用隨機控制理論，以長期規劃之觀點，尋求各期之最適資產配置及提撥金額，為充分反映退休基金管理時所面臨的不確定因素，以隨機微分方程式描述退休基金所累積資產與應計負債的動態隨機性質，建構連續時間的隨機控制模型，並給定衡量資產負債之評估績效，求出最適的基金提撥與資產配置策略。最終以勞動基準法規範下的企業退休金計劃為實証對象，透過動態模擬與數值方法，連結控制理論與情境模擬，藉以檢視某半導體與電子公司固定給付退休基金之最適策略。
    Relation: 應用研究
    學術補助
    研究期間:9008 ~ 9107
    研究經費:580仟元
    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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