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題名 勞工退休金新制下之最適轉換時點與轉換價值評析
作者 紀穎昱
CHI,YING-YU
貢獻者 王儷玲
紀穎昱
CHI,YING-YU
關鍵詞 勞退新制
個人帳戶制
其他年金制
最適轉換時點
轉換選擇權
轉換價值
Newly Labor Pension Act
Individual Account System
Commercial Retirement Plan System
optimal switch time
switch options
converting values
日期 2004
上傳時間 2009-09-18
摘要   勞退新制即將在 94年 7 月 1 日起正式實施,在新的退休金體系下,勞工可由舊制的確定給付制轉換到擁有資產配置與投資決策權利的確定提撥制。台灣的勞退新制可分為兩種退休金制度供勞工選擇-個人帳戶制及其他年金制。確定提撥制與確定給付制在本質上有諸多的差異性,分別具有不同的優缺點,在本文的假設下,轉換選擇權存在於個人帳戶制與其他年金制之間。另外,在期望達到勞工退休金財富極大化的目標下,勞工會選擇在適當的時點,由個人帳戶制轉換到其他年金制。
  雖然本文是採定值模型來分析,但是提供一個直觀上充分的洞悉與表徵,來解釋勞退新制下之個人帳戶制及其他年金制之間,若存在一最適轉換時點,其在經濟意涵中所表示之抵換關係與經濟價值為何。本文建構一個退休金財富極大化之模型,結合數值模擬的方法來分析其要點。研究結果發現,最適轉換時點之衡量,是由兩種制度下的變動率,而非帳戶內金額之大小來決定;此外,年金精算現值計算經折現後的給付率和剩餘工作年數,對於勞動工作者的選擇也屬重要變數之一。另外,本文針對年輕的勞工,在不同投資報酬率環境下,計算出兩種制度間抵換的價值;最後,本文也探討了執行轉換選擇權對於不同年紀的勞動工作者影響的幅度。總而言之,本文希望提供勞動工作者在勞退新制下,一個退休金財富配置最適化的準則,及執行轉換選擇權時參考的方針。
The newly Labor Pension Act will be carried out in 2005 soon. Under this new pension system, employees will be given the choices of converting their traditional defined benefit (DB) pension plan into an individual-account defined contribution (DC) pension plan with full control over assets allocation and investment decisions. Under DC pension plan in Taiwan, there are two types of pension plan- Individual Account System and Commercial Pension Plan System- for employees to choose. DC and DB pension plan are totally different in essences, so on the basis of our assumptions, switch options will exist among Individual Account System and Commercial Retirement Plan System. Thus, in order to maximum employees’ retired wealth, employees might choose the optimal time to convert Individual Account System into Commercial Pension Plan System.
Although our model is deterministic in nature, we believe that it provides an intuitive insight about switch options. We find not only the optimal switch time between Individual Account System and Commercial Retirement Plan System but also the “trade-off” economic values. This paper designs a model of maximizing retired wealth and makes numerical simulation to analyze optimal switch time. We find it is the “rate of change” of these two different pension systems affects the times for employees to exercise switch options. Besides, both the payment-rate scaled present value of the DB pension annuity and the retirement horizon are significant parameters in our analysis. Third, we also calculate the threshold investment returns between Individual Account System and Commercial Pension Plan System under various investment environments. Finally, we also contrast the effects of exercising switch options between younger and older employees. In short, we want to provide some principles for employees to make the optimal retired wealth allocation under Newly Labor Pension Act, then exercise switch options at the proper time.
參考文獻 1.Bertranou, F. M. (2000), “Pension Reform and Gender Gaps in Latin America
: What are the Policy Options? ”World Development, 29(5).
2.Boyle, P. and M. Hardy (2003), “Guaranteed Annuity Options,” Working Paper, Department of Statistics and Actuarial Science, University of Waterloo.
3.Chang, S.C.,1999, Optimal Pension Funding Through Dynamic Simulations: the Case of Taiwan Public Employees Retirement System, Insurance: Mathematics and Economics, 24: 187-199.
4.Chang, S.C., 2000, Realistic Pension Funding: A Stochastic Approach, Journal of Actuarial Practice, 5-42.
5.Childs, P.D., D. Fore, S. H. Ott, and C. C. Lilly, 2002, Defined benefit vs. Defined Contribution? Determining the Optimal Benefit Plan Choice Using a Real Options Framework, TIAA-CREF Institute Working Paper.
6.Haberman, S., and J. H. Sung, 1994, Dynamic Approaches to Pension Funding
Insurance: Mathematics and Economics, 15: 151-162.
7.Lachance, M., O. S. Mitchell, and K. Smetters, 2003, Guaranteeing Defined
Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise, The
Journal of risk and insurance, 70(1):1-16.
8.Magrabe, W., 1978, The Value of an Option to Exchange One Asset for Another, The Journal of Finance, 33(1): 177-186.
9.Moshe a. milevsky, S. David Promislow, 2004, Florida’s Pension Election: From DB to DC and Back, Journal of Risk and Insurance, 71(3):381-404
10.Pennacchi, G., 1999, The Value of Guarantees on Pension Fund Returns, Journal of Risk and Insurance, 66(3): 219-237.
11.Sherris, M., 1995, The Valuation of Option Features in Retirement Benefits, Journal of Risk and Insurance, 62(3):509-535
12.符寶玲,民86年1月,退休基金制度與管理,華泰書局,頁2
13.鄭榮治,民88年7月,壽險數學要義,華泰書局,頁40。
14.繆震宇,2001。台灣退休基金最適提撥與資產配置之研究,證券市場發展季刊,第十三卷第三期:101-130
15.林苡辰,2003,勞工退休金條例草案之轉換選擇權的評價與分析,國立中央大學財務管理研究所 碩士論文
16.陳炤良,2000,退休基金保證成本及正常提撥成本之研究,國立中央大學財務管理研究所 碩士論文
17.勞工保險局網站:http://www.bli.gov.tw/welcome.asp
18.行政院經濟建設委員會網站:http://www.cepd.gov.tw/index.jsp
19.行政院主計處網站:http://www.dgbas.gov.tw/mp.asp?mp=1
20.內政部統計處網站:http://www.moi.gov.tw/stat/index.asp
描述 碩士
國立政治大學
風險管理與保險研究所
92358002
93
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923580021
資料類型 thesis
dc.contributor.advisor 王儷玲zh_TW
dc.contributor.author (Authors) 紀穎昱zh_TW
dc.contributor.author (Authors) CHI,YING-YUen_US
dc.creator (作者) 紀穎昱zh_TW
dc.creator (作者) CHI,YING-YUen_US
dc.date (日期) 2004en_US
dc.date.accessioned 2009-09-18-
dc.date.available 2009-09-18-
dc.date.issued (上傳時間) 2009-09-18-
dc.identifier (Other Identifiers) G0923580021en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34160-
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) 92358002zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (摘要)   勞退新制即將在 94年 7 月 1 日起正式實施,在新的退休金體系下,勞工可由舊制的確定給付制轉換到擁有資產配置與投資決策權利的確定提撥制。台灣的勞退新制可分為兩種退休金制度供勞工選擇-個人帳戶制及其他年金制。確定提撥制與確定給付制在本質上有諸多的差異性,分別具有不同的優缺點,在本文的假設下,轉換選擇權存在於個人帳戶制與其他年金制之間。另外,在期望達到勞工退休金財富極大化的目標下,勞工會選擇在適當的時點,由個人帳戶制轉換到其他年金制。
  雖然本文是採定值模型來分析,但是提供一個直觀上充分的洞悉與表徵,來解釋勞退新制下之個人帳戶制及其他年金制之間,若存在一最適轉換時點,其在經濟意涵中所表示之抵換關係與經濟價值為何。本文建構一個退休金財富極大化之模型,結合數值模擬的方法來分析其要點。研究結果發現,最適轉換時點之衡量,是由兩種制度下的變動率,而非帳戶內金額之大小來決定;此外,年金精算現值計算經折現後的給付率和剩餘工作年數,對於勞動工作者的選擇也屬重要變數之一。另外,本文針對年輕的勞工,在不同投資報酬率環境下,計算出兩種制度間抵換的價值;最後,本文也探討了執行轉換選擇權對於不同年紀的勞動工作者影響的幅度。總而言之,本文希望提供勞動工作者在勞退新制下,一個退休金財富配置最適化的準則,及執行轉換選擇權時參考的方針。
zh_TW
dc.description.abstract (摘要) The newly Labor Pension Act will be carried out in 2005 soon. Under this new pension system, employees will be given the choices of converting their traditional defined benefit (DB) pension plan into an individual-account defined contribution (DC) pension plan with full control over assets allocation and investment decisions. Under DC pension plan in Taiwan, there are two types of pension plan- Individual Account System and Commercial Pension Plan System- for employees to choose. DC and DB pension plan are totally different in essences, so on the basis of our assumptions, switch options will exist among Individual Account System and Commercial Retirement Plan System. Thus, in order to maximum employees’ retired wealth, employees might choose the optimal time to convert Individual Account System into Commercial Pension Plan System.
Although our model is deterministic in nature, we believe that it provides an intuitive insight about switch options. We find not only the optimal switch time between Individual Account System and Commercial Retirement Plan System but also the “trade-off” economic values. This paper designs a model of maximizing retired wealth and makes numerical simulation to analyze optimal switch time. We find it is the “rate of change” of these two different pension systems affects the times for employees to exercise switch options. Besides, both the payment-rate scaled present value of the DB pension annuity and the retirement horizon are significant parameters in our analysis. Third, we also calculate the threshold investment returns between Individual Account System and Commercial Pension Plan System under various investment environments. Finally, we also contrast the effects of exercising switch options between younger and older employees. In short, we want to provide some principles for employees to make the optimal retired wealth allocation under Newly Labor Pension Act, then exercise switch options at the proper time.
en_US
dc.description.tableofcontents 第一章 緒論……………………………………………………………1
第一節 研究動機與研究目的………………………………………1
第二節 研究範圍與研究限制………………………………………5
第三節 研究方法……………………………………………………6
第四節 章節架構……………………………………………………6
第二章 相關制度介紹與文獻探討……………………………………7
第一節 勞工退休金新舊制度之介紹………………………………7
第二節 勞工退休金新舊制度之比較………………………………16
第三節 退休金轉換選擇權之文獻回顧……………………………21
第三章 模型建構………………………………………………………25
第一節 研究假設與退休金財富模型之建立………………………25
第二節 退休金財富極大化模型……………………………………33
第四章 分析結果………………………………………………………39
第一節 投資報酬率之探討…………………………………………39
第二節 剩餘工作年數之探討………………………………………42
第五章 結論與建議……………………………………………………46
第一節 研究結果……………………………………………………46
第二節 後續研究建議………………………………………………47
參考文獻.................................................49
zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923580021en_US
dc.subject (關鍵詞) 勞退新制zh_TW
dc.subject (關鍵詞) 個人帳戶制zh_TW
dc.subject (關鍵詞) 其他年金制zh_TW
dc.subject (關鍵詞) 最適轉換時點zh_TW
dc.subject (關鍵詞) 轉換選擇權zh_TW
dc.subject (關鍵詞) 轉換價值zh_TW
dc.subject (關鍵詞) Newly Labor Pension Acten_US
dc.subject (關鍵詞) Individual Account Systemen_US
dc.subject (關鍵詞) Commercial Retirement Plan Systemen_US
dc.subject (關鍵詞) optimal switch timeen_US
dc.subject (關鍵詞) switch optionsen_US
dc.subject (關鍵詞) converting valuesen_US
dc.title (題名) 勞工退休金新制下之最適轉換時點與轉換價值評析zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1.Bertranou, F. M. (2000), “Pension Reform and Gender Gaps in Latin Americazh_TW
dc.relation.reference (參考文獻) : What are the Policy Options? ”World Development, 29(5).zh_TW
dc.relation.reference (參考文獻) 2.Boyle, P. and M. Hardy (2003), “Guaranteed Annuity Options,” Working Paper, Department of Statistics and Actuarial Science, University of Waterloo.zh_TW
dc.relation.reference (參考文獻) 3.Chang, S.C.,1999, Optimal Pension Funding Through Dynamic Simulations: the Case of Taiwan Public Employees Retirement System, Insurance: Mathematics and Economics, 24: 187-199.zh_TW
dc.relation.reference (參考文獻) 4.Chang, S.C., 2000, Realistic Pension Funding: A Stochastic Approach, Journal of Actuarial Practice, 5-42.zh_TW
dc.relation.reference (參考文獻) 5.Childs, P.D., D. Fore, S. H. Ott, and C. C. Lilly, 2002, Defined benefit vs. Defined Contribution? Determining the Optimal Benefit Plan Choice Using a Real Options Framework, TIAA-CREF Institute Working Paper.zh_TW
dc.relation.reference (參考文獻) 6.Haberman, S., and J. H. Sung, 1994, Dynamic Approaches to Pension Fundingzh_TW
dc.relation.reference (參考文獻) Insurance: Mathematics and Economics, 15: 151-162.zh_TW
dc.relation.reference (參考文獻) 7.Lachance, M., O. S. Mitchell, and K. Smetters, 2003, Guaranteeing Definedzh_TW
dc.relation.reference (參考文獻) Contribution Pensions: The Option to Buy-Back a Defined Benefit Promise, Thezh_TW
dc.relation.reference (參考文獻) Journal of risk and insurance, 70(1):1-16.zh_TW
dc.relation.reference (參考文獻) 8.Magrabe, W., 1978, The Value of an Option to Exchange One Asset for Another, The Journal of Finance, 33(1): 177-186.zh_TW
dc.relation.reference (參考文獻) 9.Moshe a. milevsky, S. David Promislow, 2004, Florida’s Pension Election: From DB to DC and Back, Journal of Risk and Insurance, 71(3):381-404zh_TW
dc.relation.reference (參考文獻) 10.Pennacchi, G., 1999, The Value of Guarantees on Pension Fund Returns, Journal of Risk and Insurance, 66(3): 219-237.zh_TW
dc.relation.reference (參考文獻) 11.Sherris, M., 1995, The Valuation of Option Features in Retirement Benefits, Journal of Risk and Insurance, 62(3):509-535zh_TW
dc.relation.reference (參考文獻) 12.符寶玲,民86年1月,退休基金制度與管理,華泰書局,頁2zh_TW
dc.relation.reference (參考文獻) 13.鄭榮治,民88年7月,壽險數學要義,華泰書局,頁40。zh_TW
dc.relation.reference (參考文獻) 14.繆震宇,2001。台灣退休基金最適提撥與資產配置之研究,證券市場發展季刊,第十三卷第三期:101-130zh_TW
dc.relation.reference (參考文獻) 15.林苡辰,2003,勞工退休金條例草案之轉換選擇權的評價與分析,國立中央大學財務管理研究所 碩士論文zh_TW
dc.relation.reference (參考文獻) 16.陳炤良,2000,退休基金保證成本及正常提撥成本之研究,國立中央大學財務管理研究所 碩士論文zh_TW
dc.relation.reference (參考文獻) 17.勞工保險局網站:http://www.bli.gov.tw/welcome.aspzh_TW
dc.relation.reference (參考文獻) 18.行政院經濟建設委員會網站:http://www.cepd.gov.tw/index.jspzh_TW
dc.relation.reference (參考文獻) 19.行政院主計處網站:http://www.dgbas.gov.tw/mp.asp?mp=1zh_TW
dc.relation.reference (參考文獻) 20.內政部統計處網站:http://www.moi.gov.tw/stat/index.aspzh_TW