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題名 退休後之最適投資策略及年金化時間點 作者 陳俊宇 貢獻者 黃泓智
陳俊宇關鍵詞 退休規劃
靜態資產配置
半動態式資產配置
生命年金
尾端條件期望值日期 2009 上傳時間 9-May-2016 11:51:47 (UTC+8) 摘要 近年來由於醫療技術之進步再加上物價不斷調漲的影響，使得老年人在退休時需要更多的財富來因應及保障基本的生活支出，故退休規劃對於老年人而言是個不可不重視的議題，且年金保險的設計就是在保障老年人的經濟生活不虞匱乏的一種方式，故本文主要採取之策略為自我資產配置一段期間後再將所有的財富轉換成年金。本篇使用靜態及半動態式的資產配置並配合退休者的風險容忍程度，找出退休者在退休後最適的投資策略及最適購買年金保險的時點。本文中，風險控制之設定乃是採用尾端條件期望值(CTE)的概念，且會設定兩種不同的目標函數，一個為有考慮遺產動機之函數，另一個則無考慮，最後再找出各個之結果。最後，本文也有考慮兩個比較符合實務的例子。第一，當保險公司銷售年金商品時加入附加費用率，對於退休者最適年金化年齡之影響。第二，實務上，一般退休者對於自我資金上的運用可能會拆成兩部分，一部分之資產用於購買年金保險，剩下另一部分為自我做資產配置，最後再比較此策略與全部自我資產配置再年金化策略之結果。 參考文獻 1. Albrecht, P., Maurer, R., 2002, “Self-annuitization, consumption shortfall in retirement and asset allocation: The annuity benchmark,” Journal of Pension Economics and Finance 1 (3), 269–288.2. Battocchio, Paolo and Francesco Menoncin, 2004. “Optimal pension management in a stochastic framework.” Insurance: Mathematics and Economics, Vol. 34, p.79-95.3. Brown, J. R., 1999 ,“Private pensions, mortality risk, and the decision to annuitize,” NBER Working Paper #7191.4. Brown, J.R., Poterba, J., 2000, “Joint life annuities and annuity demand by married couples,” Journal of Risk and Insurance 67 (4), 527–554.5. Brown, J.R., 2001a, “Are the elderly really over-annuitized? New evidence on life insurance and bequests,” In: Wise, D. (Ed.), Themes in the Economics of Aging. University of Chicago Press, Chicago, IL, pp. 91–124.6. Brown, J.R., 2001b, “Private pensions, mortality risk, and the decision to annuitize,” Journal of Public Economics 82 (1), 29–62.7. Brown, J.R., Warshawsky, M.J., 2001. “Longevity-insured retirement distributions from pension plans: market and regulatory issues.” NBER Working Paper 8064.8. Dus, I., Maurer, R., Mitchell, O.S., 2005, “Betting on death and capital markets in retirement: A shortfall risk analysis of life annuities versus phased withdrawal plans,” Financial Services Review 14, 169–196.9. Dus, I., Horneff, W.J., Maurer, R., Mitchell, O.S., 2008, “Following the rules: Integrating asset allocation and annuitization in retirement portfolios.” Insurance: Mathematics and Economics 42, 396–408.10. Friedman, B., Warshawsky, M., 1990, “The cost of annuities: implications for saving behavior and Bequests,” Quarterly Journal of Economics 105 (1), 135–154.11. Milevsky, M.A., 1998, “Optimal asset allocation towards the end of the life cycle: To annuitize or not to annuitize?”, Journal of Risk and Insurance 65 (3), 401–426.12. Milevsky, M.A., Young, V.R., 2003, “Annuitization and asset allocation.” Working Paper IFID Centre, The Schulich School of Business, December, York University,13. Milevsky, M.A., Moore, K.S., Young, V., 2006, “Asset allocation and annuity-purchases strategies to minimize the probability of financial ruin.” Mathematical Finance 16 (4), 647–671.14. Mitchell, O.S., Poterba, J.M., Warshawsky, M.J., Brown, J.R., 1999, “New evidence on the moneys worth of individual annuities,” American Economic Review 89 (December 5), 1299–1318.15. Stabile G., “Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem.” International Journal of Theoretical and Applied Finance Vol. 9, No. 2, 151–170 16. T. Davidoff, J. R. Brown and P. Diamond, 2003, “Annuities and individual welfare,” NBER Working Paper #9714.17. Yaari, M.E., 1965, “Uncertain lifetime, life insurance and the theory of the consumer,” Review of Economic Studies 32, 137–150.18. 王曉雲，2007年，「確定提撥制下之投資策略模擬分析」，國立政治大學風險管理與保險學系碩士論文。 描述 碩士
國立政治大學
風險管理與保險研究所
95358026資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095358026 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.author (Authors) 陳俊宇 zh_TW dc.creator (作者) 陳俊宇 zh_TW dc.date (日期) 2009 en_US dc.date.accessioned 9-May-2016 11:51:47 (UTC+8) - dc.date.available 9-May-2016 11:51:47 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 11:51:47 (UTC+8) - dc.identifier (Other Identifiers) G0095358026 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94775 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 95358026 zh_TW dc.description.abstract (摘要) 近年來由於醫療技術之進步再加上物價不斷調漲的影響，使得老年人在退休時需要更多的財富來因應及保障基本的生活支出，故退休規劃對於老年人而言是個不可不重視的議題，且年金保險的設計就是在保障老年人的經濟生活不虞匱乏的一種方式，故本文主要採取之策略為自我資產配置一段期間後再將所有的財富轉換成年金。本篇使用靜態及半動態式的資產配置並配合退休者的風險容忍程度，找出退休者在退休後最適的投資策略及最適購買年金保險的時點。本文中，風險控制之設定乃是採用尾端條件期望值(CTE)的概念，且會設定兩種不同的目標函數，一個為有考慮遺產動機之函數，另一個則無考慮，最後再找出各個之結果。最後，本文也有考慮兩個比較符合實務的例子。第一，當保險公司銷售年金商品時加入附加費用率，對於退休者最適年金化年齡之影響。第二，實務上，一般退休者對於自我資金上的運用可能會拆成兩部分，一部分之資產用於購買年金保險，剩下另一部分為自我做資產配置，最後再比較此策略與全部自我資產配置再年金化策略之結果。 zh_TW dc.description.tableofcontents 第一章 緒論.......................................................1第一節 研究動機 ...............................................1第二節 研究目的 ...............................................2第三節 研究架構 ...............................................3第二章 文獻回顧 ..................................................5第一節 生命年金背景介紹 .......................................5第二節 年金兩難解決方案 .......................................6第三節 方法 ...................................................7第三章 模型架構 .................................................10第一節 投資模型 ..............................................10第二節 生命年金假設 ..........................................12第三節 提領方式 ..............................................13第四節 投資策略 ..............................................14第四章 目標函數介紹 .............................................17第一節 尾端條件期望值 ........................................17第二節 目標函數 ..............................................18第五章 數值結果分析 .............................................24第一節 初步分析 ..............................................24第二節 限制式之調整 ..........................................27第三節 單期與多期結果分析 ....................................29第四節 半動態式調整策略 ......................................33第五節 敏感度分析.............................................38第六章 結論與建議 ...............................................41參考文獻 ..........................................................42附錄 1 固定提領假設下之結果 .......................................44附錄 2 考量通膨之提領方式的結果 ...................................59 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095358026 en_US dc.subject (關鍵詞) 退休規劃 zh_TW dc.subject (關鍵詞) 靜態資產配置 zh_TW dc.subject (關鍵詞) 半動態式資產配置 zh_TW dc.subject (關鍵詞) 生命年金 zh_TW dc.subject (關鍵詞) 尾端條件期望值 zh_TW dc.title (題名) 退休後之最適投資策略及年金化時間點 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Albrecht, P., Maurer, R., 2002, “Self-annuitization, consumption shortfall in retirement and asset allocation: The annuity benchmark,” Journal of Pension Economics and Finance 1 (3), 269–288.2. Battocchio, Paolo and Francesco Menoncin, 2004. “Optimal pension management in a stochastic framework.” Insurance: Mathematics and Economics, Vol. 34, p.79-95.3. Brown, J. R., 1999 ,“Private pensions, mortality risk, and the decision to annuitize,” NBER Working Paper #7191.4. Brown, J.R., Poterba, J., 2000, “Joint life annuities and annuity demand by married couples,” Journal of Risk and Insurance 67 (4), 527–554.5. Brown, J.R., 2001a, “Are the elderly really over-annuitized? New evidence on life insurance and bequests,” In: Wise, D. (Ed.), Themes in the Economics of Aging. University of Chicago Press, Chicago, IL, pp. 91–124.6. Brown, J.R., 2001b, “Private pensions, mortality risk, and the decision to annuitize,” Journal of Public Economics 82 (1), 29–62.7. Brown, J.R., Warshawsky, M.J., 2001. “Longevity-insured retirement distributions from pension plans: market and regulatory issues.” NBER Working Paper 8064.8. Dus, I., Maurer, R., Mitchell, O.S., 2005, “Betting on death and capital markets in retirement: A shortfall risk analysis of life annuities versus phased withdrawal plans,” Financial Services Review 14, 169–196.9. Dus, I., Horneff, W.J., Maurer, R., Mitchell, O.S., 2008, “Following the rules: Integrating asset allocation and annuitization in retirement portfolios.” Insurance: Mathematics and Economics 42, 396–408.10. Friedman, B., Warshawsky, M., 1990, “The cost of annuities: implications for saving behavior and Bequests,” Quarterly Journal of Economics 105 (1), 135–154.11. Milevsky, M.A., 1998, “Optimal asset allocation towards the end of the life cycle: To annuitize or not to annuitize?”, Journal of Risk and Insurance 65 (3), 401–426.12. Milevsky, M.A., Young, V.R., 2003, “Annuitization and asset allocation.” Working Paper IFID Centre, The Schulich School of Business, December, York University,13. Milevsky, M.A., Moore, K.S., Young, V., 2006, “Asset allocation and annuity-purchases strategies to minimize the probability of financial ruin.” Mathematical Finance 16 (4), 647–671.14. Mitchell, O.S., Poterba, J.M., Warshawsky, M.J., Brown, J.R., 1999, “New evidence on the moneys worth of individual annuities,” American Economic Review 89 (December 5), 1299–1318.15. Stabile G., “Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem.” International Journal of Theoretical and Applied Finance Vol. 9, No. 2, 151–170 16. T. Davidoff, J. R. Brown and P. Diamond, 2003, “Annuities and individual welfare,” NBER Working Paper #9714.17. Yaari, M.E., 1965, “Uncertain lifetime, life insurance and the theory of the consumer,” Review of Economic Studies 32, 137–150.18. 王曉雲，2007年，「確定提撥制下之投資策略模擬分析」，國立政治大學風險管理與保險學系碩士論文。 zh_TW
