個別退休金帳戶之實質本金保証

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Title:	個別退休金帳戶之實質本金保証
Other Titles:	The real principal guarantee on individual pension accounts
Authors:	盧厚璟;Lu, Hou-jing
Contributors:	淡江大學經濟學系碩士班陳炤良;Chen, Chao-liang
Keywords:	確定提撥退休金計劃;條件請求權;隨機通貨膨脹率;defined contribution pension plan;contingent claims;stochastic inflation
Date:	2007
Issue Date:	2010-01-11 02:11:37 (UTC+8)
Abstract:	由於各國勞工在退休後所面臨的問題不盡相同，而衍生出了不同的退休金制度，像是美國及世界銀行所實行的三層保障制度、瑞士年金制度、新加坡公基金制、智利強制性個人帳戶制度…等，雖然各國所採行的制度不同，但全世界存在著一種趨勢，逐漸從確定給付制轉為確定提撥制。對確定提撥制而言，退休後可領取多少退休金，得視基金投資績效而定，相對於確定給付制，沒有不足額提撥的問題，而雇主也不負擔投資風險。在確定提撥制度下，為了確保所提撥金額的實質本金，不致於被通貨膨脹所侵蝕，可藉由投保的動作將風險移轉，同時必須支付一筆相當於實質本金保證價值的保費。本文結合條件請求權評價方法與提早退出的考量，提出個人退休金帳戶實質本金保證價值的理論模型，以台灣勞動市場為例，估計在不同進入年齡、死亡頻率和違約頻率下之保證價值。由於退休金帳戶不是一次提足，而是定期依薪資比率提撥，像這種會與歷史薪資相關之路徑相依特性，為了提升效率又不失其準確性，本文利用蒙地卡羅模擬，針對約當證券複製它的現金流量，進而估計證券的價值，可有效評估個人退休金帳戶實質本金保證價值。 There has been a global shift in pension schemes from defined benefit (DB) to defined contribution (DC) plans over the past two decades. A notable distinction between the two schemes is that employers must bear the investment risk in a DB plan, while employees take charge of their own investment decisions and therefore bear the investment risk in a DC plan. This article develops a contingent claims in insurance valuation model to price real principal guarantees on individual pension accounts (IPAs). The stochastic salary, return on assets connected to an IPA, and inflation are incorporated. The up-front guarantee values are numerically estimated for the new Taiwan labor IPAs based on some specified scenarios.
Appears in Collections:	[Graduate Institute & Department of Economics] Thesis

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