| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 楊舒涵 | zh_TW |
| dc.contributor.author (Authors) | Yang, Shu Han | en_US |
| dc.creator (作者) | 楊舒涵 | zh_TW |
| dc.creator (作者) | Yang, Shu Han | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 5-Oct-2011 14:33:22 (UTC+8) | - |
| dc.date.available | 5-Oct-2011 14:33:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Oct-2011 14:33:22 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0098358007 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51217 | - |
| 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) | 98358007 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 為因應人口老化及少子化趨勢所帶來之長期經濟生活保障問題，政府於98年1月1日施行新制勞工保險，將年金給付納入保險制度。對於98年1月1日前有勞保年資且年資達十五年以上之勞工，於退休時可選擇舊制下的一次請領老年給付或是新制的老年年金給付。因此，需探討以一次請領或年金給付方式何者對勞工較為有利。本研究以流動性與內部報酬率之角度來分析探討勞工保險新制下一次給付與年金給付之差異，比較年金給付理論上須提供之流動性溢酬(liquidity premium)與勞保新制下年金給付實際上所提供的內部報酬率(隱含長壽收益，ILY)，以提供退休勞工選擇之參考。研究結果發現，在1.5到3的風險趨避係數之間，無論投保年資、平均月投保薪資與性別，年金給付之隱含長壽收益扣除無風險利率後皆高於所應提供之流動性溢酬，比例大約在2到38.9。其中最低投保年資十五年之ILY最高(1,984~2,633 b.p.)，之後隨年資遞減，年資超過三十年以上之ILY又開始遞增。在投保年資二十年以下，最低投保薪資提供較高的ILY。比較男性與女性之差異，女性之流動性溢酬與ILY皆高於男性。由以上結果顯示，勞工於退休時選擇請領老年年金給付方式較佳。 | zh_TW |
| dc.description.abstract (摘要) | In order to build up a complete Labor Insurance pension protection system and offer the insured person or insured person’s dependents long term living care, the system has added pension benefits on January 1, 2009. After the implementation of Labor Insurance pension program, the insured that has insurance coverage before January 1, 2009 could select the old-age one-time benefit or monthly pension benefit when they retire. Therefore, which benefit approach is better is an important concern for retiree. In this study, we take the concept of the liquidity premium and the implied longevity yield (ILY) to compare the old-age one-time benefit and pension benefit. The results show the ILY minus the risk-free rate would greater than the liquidity premium no matter what the insurance coverage years, insurance salary, gender, and the coefficient of relative risk aversion from 1.5 to 3, the ratio of the ILY to liquidity premium is about 2 to 38.9. Second, the insured with 15 coverage years has highest ILY (1,984~2,633 b.p.). Then the insured with lowest insurance salary and less than 20 coverage years could earn the highest ILY. Finally, the results indicate the female have higher ILY from annuitized pension benefit than the male. Overall, we find out that the implied longevity yield is higher than the liquidity premium under the old-age pension benefit. It would encourage insured to choose the old-age pension benefit when he/she retires. | en_US |
| dc.description.tableofcontents | I. Introduction 1II. Literature Review 8III. Methodology 12 3.1 Liquidity premium 12 3.2 Implied longevity yield 14IV. Empirical Results 17V. Conclusion 26Appendix A The 9th Period Taiwan Life Table 28Appendix B Table of Grades of Insurance Salary 30Appendix C Labor Insurance Act 31References 38 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0098358007 | en_US |
| dc.subject (關鍵詞) | 勞工保險 | zh_TW |
| dc.subject (關鍵詞) | 一次給付 | zh_TW |
| dc.subject (關鍵詞) | 年金 | zh_TW |
| dc.subject (關鍵詞) | 流動性溢酬 | zh_TW |
| dc.subject (關鍵詞) | 隱含長壽收益 | zh_TW |
| dc.subject (關鍵詞) | Labor Insurance | en_US |
| dc.subject (關鍵詞) | old-age one-time benefit | en_US |
| dc.subject (關鍵詞) | pension benefit | en_US |
| dc.subject (關鍵詞) | liquidity premium | en_US |
| dc.subject (關鍵詞) | implied longevity yield | en_US |
| dc.title (題名) | 隱含流動性溢酬於退休給付選擇之研究 | zh_TW |
| dc.title (題名) | The study of embedded liquidity premium in pension benefit selections | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Albrecht, P. and R. Maurer, 2002, Self-annuitization, Consumption Shortfall in Retirement and Asset Allocation: The Annuity Benchmark. Journal of Pension Economics and Finance, 1, 269-288. | zh_TW |
| dc.relation.reference (參考文獻) | Boardman, T., 2006, Annuitization Lessons from the UK: Money-Back Annuities and Other Developments. Journal of Risk and Insurance, 73, 633-646 | zh_TW |
| dc.relation.reference (參考文獻) | Brown, J.R., 2001, Private Pensions, Mortality Risk, and the Decision to Annuitize. Journal of Public Economics, 82, 29-62. | zh_TW |
| dc.relation.reference (參考文獻) | Brown, J.R., and J. Poterba, 2000, Joint Life Annuities Demand by Married Couples. Journal of Risk and Insurance, 67, 527-554. | zh_TW |
| dc.relation.reference (參考文獻) | Browne, S., M.A. Milevsky, & T.S. Salisbury, 2003, Asset Allocation and the Liquidity Premium for Illiquid Annuities. Journal of Risk and Insurance, 70, 509-526. | zh_TW |
| dc.relation.reference (參考文獻) | Fischer, S., 1973, A Life Cycle Model of Life Insurance Purchases. International Economic Review, 14, 132-152. | zh_TW |
| dc.relation.reference (參考文獻) | Friedman, B.M. and M.J. Warshawsky, 1990, The Cost of Annuities: Implications for Saving Behavior and Bequests. Quarterly Journal of Economics, 105, 135-154. | zh_TW |
| dc.relation.reference (參考文獻) | Horneff, W.J., R.H. Maurer, O.S. Mitchell, O.S., and I. Dus, 2008, Following the Rules: Integrating Asset Allocation and Annuitization in Retirement Portfolios. Insurance: Mathematics and Economics, 42, 396-408. | zh_TW |
| dc.relation.reference (參考文獻) | Kingston, G., and S. Thorp, 2005, Annuitization and Asset Allocation with HARA Utility. Journal of Pension Economics and Finance, 4, 225-248. | zh_TW |
| dc.relation.reference (參考文獻) | Kotlikoff, L.J., and A. Spivak, 1981, The Family as an Incomplete Annuities Market. Journal of Political Economy, 89, 373-391. | zh_TW |
| dc.relation.reference (參考文獻) | Kotlikoff, L.J., and L.H. Summers, 1981, The Role of Intergenerational Transfers in Aggregate Capital Accumulation. Journal of Political Economy, 89, 706-732. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M.A. and C. Robinson, 2000, Self-annuitization and Ruin in Retirement. North American Actuarial Journal, 4, 113-129. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M.A. and V.R. Young, 2007a, Annuitization and Asset Allocation. Journal of Economic Dynamics and Control, 31, 3138-3177. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M.A. and V.R. Young, 2007b, The Timing of Annuitization: Investment Dominance and Mortality Risk. Insurance: Mathematics and Economics, 40, 135-144. | zh_TW |
| dc.relation.reference (參考文獻) | 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, 401-426. | zh_TW |
| dc.relation.reference (參考文獻) | Mirer, T.W., 1994, The Dissaving of Annuity Wealth and Marketable Wealth in Retirement. Review of Income and Wealth, 40, 87-97. | zh_TW |
| dc.relation.reference (參考文獻) | Mitchell, O.S., J.M. Poterba, M.J. Warshawsky, and J.R. Brown, 1999, New Evidence on the Moneys Worth of Individual Annuities. American Economic Review, 89, 1299-1318. | zh_TW |
| dc.relation.reference (參考文獻) | Modigliani, F., 1986, Life Cycle, Individual Thrift and the Wealth of Nations. American Economic Review, 76(3), 297-313. | zh_TW |
| dc.relation.reference (參考文獻) | Stabile, G., 2006, Optimal Timing of the Annuity Purchase: Combined Stochastic Control and Optimal Stopping Problem. International Journal of Theoretical and Applied Finance, 9, 151-170. | zh_TW |
| dc.relation.reference (參考文獻) | Vidal-Melia, C., Lejarraga-Garcia, A., 2006. Demand for life annuities from married couples with a bequest motive. Journal of Pension Economics and Finance 5 (02), 197-229. | zh_TW |
| dc.relation.reference (參考文獻) | Yaari, M.E., 1965, Uncertain Lifetime, Life Insurance and the Theory of the Consumer. Review of Economic Studies, 32, 137-150. | zh_TW |
