| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (作者) | 葉倩妏 | zh_TW |
| dc.contributor.author (作者) | Yeh,chien wen | en_US |
| dc.creator (作者) | 葉倩妏 | zh_TW |
| dc.creator (作者) | Yeh,chien wen | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-十二月-2010 01:57:19 (UTC+8) | - |
| dc.date.available | 8-十二月-2010 01:57:19 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-十二月-2010 01:57:19 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0097358021 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49033 | - |
| 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) | 97358021 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本文利用隨機控制理論，延續Chang et al. ( 2002 )，採用總和精算成本法，考慮提撥率風險( Haberman and Sung ( 1994 ) )極小的情況下，推導確定給付退休基金之最適提撥與資產配置策略封閉解，資產配置部分考慮股票市場投資組合、永續債券、現金三種部位。 套用公務人員退撫基金第四次精算報告之數據，透過Matlab重覆模擬1,000次，數值結果如下： 1.正常成本與提撥金額呈遞增趨勢，且兩數據差距甚小，符合風險評估函數所設定之提撥率風險極小化的要求。十年控制期間中，正常成本成長5.32倍，從1.03億增加至5.49億；提撥金額成長16.65倍，從0.33億增加至5.56億。275期以前正常成本大於提撥；275之後提撥大於正常成本。 2.初期提撥金額小於給付金額，且投資報酬不足以彌補其差額，因此造成基金規模縮小，但由於提撥金額成長速率大於給付支出，使得基金規模下降程度趨緩，隨後開始穩定成長。十年控制期間中，基金規模從起始的1,000億下降至840億，再上升至約1,314億。 3.股票與債券之持有或放空的部位越多，基金報酬率波動越大，基金規模越大時，可承擔風險的容量增加，因此傾向高風險投資；基金規模越小時，風險承受度變小，所以投資策略反而趨向保守。股票最多持有99.18%、放空90%；債券最多持有293.5%、放空140.14%。 | zh_TW |
| dc.description.abstract (摘要) | In this study, we continue using the model of Chang et al. ( 2002 ), which is based on stochastic control theory to study the dynamic funding policy and investment strategy for defined benefit pension plans. The model includes three investable assets: stock market portfolio, consol bond, and cash. We apply “Aggregate Actuarial Cost Method,” so only the contribution rate risk proposed in Haberman and Sung ( 1994 ) is considered when measuring the performance. In addition, we analyzed the data from Taiwan Public Employees Retirement System (Tai-PERS) investigate the optimal contribution and asset allocation through the proposed model and arrived at the following conclusion: 1.The trend of increasing normal cost and contribution as well as the small disparity tally with the requirement of minimum contribution risk as defined in the loss function. 2.In the beginning, the return of investment and contribution are insufficient to cover the benefit payment, causing the fund level to shrink; but as the rate of contribution increases over time and surpasses the benefit payments, the fund level will cease to shrink, and start to grow gradually. 3.There is a positive correlation between the fund level and the risk of investment. In other words, the larger the size of the fund level, the higher the possibility of holding or short selling risky assets. | en_US |
| dc.description.tableofcontents | 摘 要 2英文摘要 3目 錄 4圖表目錄 5第一章 緒 論 6第一節 研究動機與目的 6第二節 研究方法 7第三節 台灣退休基金 9第二章 文獻回顧 13第三章 財務模型 16第一節 符號說明 16第二節 模型推導 18第四章 數值結果 29第一節 模擬步驟說明 29第二節 模擬結果 35第三節 小結 39第五章 結論 41參考文獻 43附 錄 48 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097358021 | en_US |
| dc.subject (關鍵詞) | 最適提撥 | zh_TW |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 總和精算成本法 | zh_TW |
| dc.subject (關鍵詞) | optimal contribution | en_US |
| dc.subject (關鍵詞) | asset allocation | en_US |
| dc.subject (關鍵詞) | aggregate actuarial cost method | en_US |
| dc.title (題名) | 確定給付退休金計畫於總和精算成本法之最適控制 | zh_TW |
| dc.title (題名) | Optimal Control of the Defined Benefit Pension Schemes under Aggregate Actuarial Cost Method | en_US |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 中文部分： | zh_TW |
| dc.relation.reference (參考文獻) | 公務人員退撫基金第四次精算報告 | zh_TW |
| dc.relation.reference (參考文獻) | 網頁部分： | zh_TW |
| dc.relation.reference (參考文獻) | 勞工保險局全球資訊網 http://www.bli.gov.tw/ | zh_TW |
| dc.relation.reference (參考文獻) | 公務人員退撫基金 http://www.fund.gov.tw/mp.asp?mp=1 | zh_TW |
