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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70272


    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。
    Reference: 1. Bellman, R., 1957, “Dynamic programming, ”Princeton University Press.
    2. Daniel Mitchell, Patrick Brockett, Rafael Mendoza-Arriaga, Kumar Muthuraman, 2013, “Modeling and forecasting mortality rates,” Insurance: Mathematics and Economics.
    3. Dimitris Karlis, 2000, “An EM type algorithm for maximum likelihood estimation of the normal–inverse Gaussian distribution,” Statistics & Probability Letters 57 43–52.
    4. John C. Cox; Jonathan E. Ingersoll, Jr.; Stephen A. Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica, Vol. 53, No. 2, 385-408.
    5. Markowitz, H.M., 1952, “Portfolio Selection Journal of Finance, ” March, p77-91.
    6. Merton, R.C., 1971, “Optimal consumption and portfolio rules in a continuous-time model,” Journal of Economic Theory, 3, 373-413. Erratum: ebenda , 6 (1973), 213-214.
    7. Ronald D. Lee and Lawrence R. Carter, 1992, “Modeling and Forecasting U.S. Mortality,” Journal of the American Statistical Association, Vol. 87, No 419, pp. 659-671.
    8. Sharon S. Yang, Hong-Chih Huang, and Yung-Tsung Lee, 2006 ,“Longevity Risk and Optimal Asset Allocation for a Defined Contribution Pension Plan”.
    9. Sharon S. Yang, Hong-Chih Huang, and Yung-Tsung Lee, “An Asset Liability Framework for Managing Longevity Risk in Defined Contribution Pension Plans”
    10. Valeri Zakamouline, Steen Koekebakker, 2009, “Portfolio performance evaluation with generalized Sharpe ratios:Beyond the mean and variance,” Journal of Banking & Finance.
    11. Vigna, E., and Haberman, S., 2001, “Optimal Investment Strategy for defined
    contribution pension schemes.Insurance mathematics and Economics,” 28,
    p233-262.
    12. 廖思孟,2011年,「長壽風險定價-以台灣地區死亡率為例」,國立清華大學計量財務金融系碩士論文。
    13. 黃泓智,楊曉文,林鴻諭,2007年,高齡社會的來臨:為2025 年的台灣社會規劃之整合研究-高齡社會之財富適足性與退休財務規劃之研究成果報告。
    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:[風險管理與保險學系] 學位論文

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