企業退休基金之多期最適提撥與資產配置

Abstract

提撥政策與資產配置是退休基金管理的重要議題，本研究應用隨機控制理論，以長期基金規劃的觀點，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，並給定衡量風險的評估測度量化退休基金於管理期間的經營績效，利用Bollman-Dreyfus方程式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，藉以檢視現行固定給付退休基金之最適策略，所討論的方法可作為基金決策者財務規劃與後續研究之參考。

Funding policy and asset allocation are two critical issues in pension fund management. In this study, stochastic differential equations are constructed to describe the dynamics of the fund levels and the accrued liabilities. A stochastic control model with given risk measurement is formulated in a continuous-time framework to investigate the optimal strategy. In our approach, the planes normal costs and accrued liabilities are simulated through plausible scenarios while the optimal contribution and asset allocation are solved through Bellman-Dreyfus equation. A monitoring mechanism linking plausible scenarios and the closed- form solutions are employed to scrutinize the funding policy and asset allocation for the defined benefit pension scheme. The optimal strategies are estimated through dynamic programming for a sample pension scheme under the Taiwan labor standards law to illustrate our proposed methodology. Geometric Brownian motions are used to model the assets held by the fund manager. Constrains and procedures in achieving the optimal solutions are explained and the numerical results are also investigated.