| Reference: | 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
Anderson, A. W., Pension Mathematics for Actuaries, 2nd ed. Winsted, Connecticut：Actex Publication, 1992.
Bacinello, A.R., “A stochastic simulation procedure for pension scheme.” Insurance: Mathematics and Economics 7（1988）: 153-161.
Bellman, R., Dynamic Programming, Princeton, N.J.: Princeton University Press, 1957.
Blake, D., “Pension schemes as options on pension fund assets: implications for pension fund management.” Insurance: Mathematics and Economics 23（1998）: 263-286.
Boulier, J. F., Trussant. E. and Florens. D., “A dynamic model for pension funds management.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 361-384.
Boulier, J. F., Trussant. E. and Florens. D., “Optimizing investment and contribution polices of a defined benefit pension fund.” Proceedings of the 6th AFIR International Colloquium 1（1996）: 593-607.
Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. and Nesbitt, C. J. “Notes on the dynamics of pension funding.” Insurance: Mathematics and Economics 1（1982）: 261-270.
Burden R.L. and Faires J. D., Numerical Methods, PWS-KENT publishing company, Boston, 1993.
Cairns, A. J. G., “Pension funding in a stochastic environment: the role of objectives in selecting an asset-allocation strategy.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 429-453.
Cairns, A. J. G., “Continuous-time stochastic pension funding modelling,” Proceedings of the 6th AFIR International Colloquium 1（1996）: 609-624.
Cairns, A. J. G. and Parker, G., “Stochastic pension fund modelling.” Insurance: Mathematics and Economics 21（1997）: 43-79.
Carraro, C. and Sartore, D., Developments of Control Theory for Economic Analysis, Kluwer Academic Publishers, Boston, 1987
Chang, S. C., “Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system.” Insurance: Mathematics and Economics 24（1999）: 187-199.
Chang, S. C., “Stochatic analysis of the solvency risk for TAI-PERS using simulation-based forecast model.” Singapore International Insurance and Actuarial Journal 3（1）,（1999）: 65-81.
Chang, S. C., “Realistic pension funding: a stochastic approach.” Journal of Actuarial Practice (2000)(in press).
Chow, Gregory C., “Optimal stochastic control of linear economic systems.” Journal of Money, Credit and Banking 2（1970）: 291-302.
Chow, Gregory C., “Optimal control of linear econometric systems with finite time horizon.” International Economic Review 13（1）,（1972a）: 16-25.
Chow, Gregory C., “How much could be Gained by optimal stochastic control policies?” Annals of Economic and Social Measurement 1（4）,（1972b）: 391-406.
Daykin, C. D., Pentikainen, T. and Pesonen, M., Practical Risk Theory for Actuaries, Monographs on Statistics and Applied Probability 53, London, U.K.: Chapman and Hall, 1994.
Dufresne, D., “Monents of pension contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115（1988）: 535-544.
Dufresne, D., “Stability of pension systems when rates of return are random.” Insurance: Mathematics and Economics 8（1989）: 71-76.
Fleming W. H. and Rishel R. W., Deterministic and Stochastic Optimal Contro, Springer-Verlag, New York, 1975.
Friedman, Benjamin M., Methods in Optimization for Economic Stabilization Policy, Amsteerdam: North-Holland Publishing Company, 1973.
Gerrard, R. and Haberman, S., “Stability of Pension Systems When Gains/Losses Are amortized and Rates of Return Are Autoregressive.” Insurance: Mathematics and Economics 18（1996）: 59-71.
Haberman, S., “Pension funding with time delays: A stochastic approach.” Insurance: Mathematics and Economics 11（1992）: 179-189.
Haberman, S., “Pension funding with time delays and autoregressive rates of investment return.” Insurance: Mathematics and Economics 13（1993）: 45-56.
Haberman, S., “Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme.” Insurance: Mathematics and Economics 14（1994）: 219-240.
Haberman, S., “Pension funding with time delays and the optimal spread period.” Astin Bulletin, Vol. 25. No. 2（1996）:177-187.
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.
Pindyck, Robert S., Optimal Planning for Economic Stabilization, Amsterdam: North-Holland Publishing Company, 1973.
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.
Simon, H. A., “On the application of servomechanism theory in the study of production control.” Econometrica（1952）: 247-268.
Simon, H. A., “Dynamic programming under uncertainty with a quadratic criterion function. ” Econometrica 24（1957）: 74-81.
Tustin, A., The Mechanism of Economic Systems, Cambridge, Mass: Harvard University Press, 1953.
Voelker, Craig A., “Strategic asset allocation for pension plans.” Record V24n2, Society of Actuaries,1998.
Whittle, P., Prediction and Regulation by Linear Least Square Methods, New York: D. Van Nostrand Company, 1963.
Winklevoss, H. E., Pension Mathematics with Numerical Illustrations, 2nd edition, Pension Research Council Publications, 1993. |
