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題名 唐提年金在長壽風險下之運作
The Role of Tontine Annuity Schemes in Longevity Risk作者 王湘惠
Wang, Hsiang Hui貢獻者 謝明華
Hsieh, Ming Hua
王湘惠
Wang, Hsiang Hui關鍵詞 長壽風險
唐提年金
蒙地卡羅演算法日期 2014 上傳時間 3-Nov-2014 10:09:26 (UTC+8) 摘要 由於人口死亡率的改善，全球人口高齡化現象已成為各國重視的議題，此人口結構的重大改變除了增添國家經濟發展的變量，所導致的長壽風險更衝擊著政府退休基金以及提供年金商品的保險公司。本研究將探討唐提年金制度之運作，期望能以唐提年金作為政府以及保險公司解決長壽風險之工具。引用Piggott et al. (2005)之GSA模型(Group Self-Annuitization)，並以人口資料庫(Human Mortality Database)中之台灣男性死亡率資料進行情境模擬分析。相較于Piggott et al. (2005)，本文為探討未來死亡率改善趨勢對給付之影響，使用Lee-Carter死亡率模型來預估未來死亡率；另外，不同於Piggott et al. (2005)假設固定的投資報酬率，本文考慮每期投資報酬率之波動作為給付計算的重要參數之一。本研究發現(1).不管是哪種投資組合當中，每期的平均年金給付隨著計劃時間增加。(2).每期的平均年金給付以及給付之分配在股票部位越高的投資組合中有越高的波動性。(3).GSA模型當中， 死亡率變數對於平均年金給付的影響較投資報酬率變數為大。另外，本文亦比較唐提年金制度與確定給付制度之不同：(1).唐提年金俱有充分的基金儲備特色，基金破產機率有限。(2). 在唐提年金體制下，退休金計劃提供者無需承擔基金投資風險。
Tontine annuity schemes are introduced as a solution for annuity providers and governments to alleviate longevity risk. Applying Taiwan male mortality data to Group Self-Annuitization (GSA) as proposed in Piggott et al. (2005), this paperuses the Lee-Carter model, which incorporates longevity risk, in a simulation study to demonstrate how benefit payments increase in elder ages underdifferent scenarios. Unlike Piggott et al. (2005), we include deviations in both mortality and rate of return from expectations to compare benefit payments amongdifferent portfolios. Moreover, this paperdescribes the two features by whichtontine annuity schemesprevail overTaiwan’s Labor Insurance Annuity Schemes (LIAS): First, tontine annuity schemes are almost always fully funded. Second, the plan sponsor of tontine annuity schemesdoes not need to bear the investment risk.參考文獻 Blake, D., 2003. Reply to "Survivor Bonds- A Comment on Blake and Burrows". The Journal of Risk and Insurance 70, 349-351Blake, D., Cairns, A., Coughlan, G., Dowd, K., MacMinn, R., 2013. The New Life Market. Journal of Risk and Insurance 80, 501-558Blake, D., Cairns, A.J.G., Dowd, K., 2006. Living with Mortality: Longevity Bonds and other Mortality-Linked Securites. Pensions Institue Discussion Paper 12, 153-228Cairns, A.J.G., Blake, D., and Dowd, K. (2006a) Pricing death: Frameworks for the valuation and securitization of mortality risk.ASTIN Bulletin, 36: 79-120.Cairns, A.J.G., Blake, D., and Dowd, K. (2006b) A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration.Journal of Risk and Insurance, 73: 687-718.Chen, H., Cox, S.H., 2009. Modeling Mortality With Jumps: Applications to Mortality Securitization. Journal of Risk and Insurance 76, 727-751Chen, H., Hsu, W.-Y., Weiss, M.A., 2014. The Pension Option in Labor Insurance and Its Effect on Household Saving and Consumption: Evidence From Taiwan. Journal of Risk and Insurance 9999, 1-30Davidoff, T., Brown, J.R., Diamond, P.A., 2003. Annuities and individual welfare. NBER Working PaperFriedberg, L., Webb, A., 2007. Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk. The B.E. Journal of Economic Analysis & Policy 7Goldsticker, R., 2007. A Mutual Fund to Yield Annuity-Like Benefits. Financial Analysts Journal 63, 63-67Hanewald, K., Piggott, J., Sherris, M., 2013. Individual post-retirement longevity risk management under systematic mortality risk. Insurance: Mathematics and Economics 52, 87-97Lee, Ronald D. 1993. Modeling and Forecasting the Time Series of U.S. Fertility: Age Patterns, Range, and Ultimate Level,” International Journal of Forecasting 9:187-202McKeever, K., 2009. A Short History of Tontines. Mitchell, O.S., 2001. Developments in Decumulation: The Role of Annuity Products in Financing Retirement. The Pensions Institute; NBER Working Paper No.8567Piggott, J., Valdez, E.A., Detzel, B., 2005. The simple analytics of a pooled annuity fund. The Journal of Risk of Insurance 72, 497-520Pitacco, E., Denuit, M., Haberman, S., Olivieri, A., 2009. Modelling Longevity Dynamics for pensions and Annuity Business. OXFORD University Press.Qiao, C., Sherris, M., 2012. Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes. Journal of Risk and Insurance 00, 1-26Renshaw, A. and Haberman, S. 2006, Mortality Reduction Factors Incorporating Cohort Effects, Actuarial Research Paper No. 160Ronald Lee and Timothy Miller, 2000, Evaluating the Performance of Lee-Carter Mortality ForecastsRichter, A., Weber, F., 2011. Mortality-Indexed Annuities Managing Longevity Risk Via Product Design. North American Actuarial Journal 15, 212-236Rotemberg, J.J., 2009. Can a Continuously-Liquidating Tontine (or Mutual Inheritance Fund) succeed where Immediate Annuities Have Floundered? . Harvard Business School Working PaperSabin, M.J., 2010. Fair Tontine Annuity. Stevens, R.S.P., 2011. Longevity Risk in Life Insurane Produts. Valdez, E.A., Piggott, J., Wang, L., 2006. Demand and adverse selection in a pooled annuity fund. Insurance: Mathematics and Economics 39, 251-266Wilmoth, J., 1996, Mortality Projections for Japan: A Comparison of Four Methods, in Caselli, G. and Lopez, A. D., Health and Mortality Among Elderly Populations, New York: Oxford University Press, 266-287.Yaari, M.E., 1965. Uncertain Lifetime, Life Insurance, and the Theory of the Consumer. The Review of Economic Studies 32, 137-150 描述 碩士
國立政治大學
風險管理與保險研究所
101358015
103資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101358015 資料類型 thesis dc.contributor.advisor 謝明華 zh_TW dc.contributor.advisor Hsieh, Ming Hua en_US dc.contributor.author (Authors) 王湘惠 zh_TW dc.contributor.author (Authors) Wang, Hsiang Hui en_US dc.creator (作者) 王湘惠 zh_TW dc.creator (作者) Wang, Hsiang Hui en_US dc.date (日期) 2014 en_US dc.date.accessioned 3-Nov-2014 10:09:26 (UTC+8) - dc.date.available 3-Nov-2014 10:09:26 (UTC+8) - dc.date.issued (上傳時間) 3-Nov-2014 10:09:26 (UTC+8) - dc.identifier (Other Identifiers) G0101358015 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/70981 - 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) 101358015 zh_TW dc.description (描述) 103 zh_TW dc.description.abstract (摘要) 由於人口死亡率的改善，全球人口高齡化現象已成為各國重視的議題，此人口結構的重大改變除了增添國家經濟發展的變量，所導致的長壽風險更衝擊著政府退休基金以及提供年金商品的保險公司。本研究將探討唐提年金制度之運作，期望能以唐提年金作為政府以及保險公司解決長壽風險之工具。引用Piggott et al. (2005)之GSA模型(Group Self-Annuitization)，並以人口資料庫(Human Mortality Database)中之台灣男性死亡率資料進行情境模擬分析。相較于Piggott et al. (2005)，本文為探討未來死亡率改善趨勢對給付之影響，使用Lee-Carter死亡率模型來預估未來死亡率；另外，不同於Piggott et al. (2005)假設固定的投資報酬率，本文考慮每期投資報酬率之波動作為給付計算的重要參數之一。本研究發現(1).不管是哪種投資組合當中，每期的平均年金給付隨著計劃時間增加。(2).每期的平均年金給付以及給付之分配在股票部位越高的投資組合中有越高的波動性。(3).GSA模型當中， 死亡率變數對於平均年金給付的影響較投資報酬率變數為大。另外，本文亦比較唐提年金制度與確定給付制度之不同：(1).唐提年金俱有充分的基金儲備特色，基金破產機率有限。(2). 在唐提年金體制下，退休金計劃提供者無需承擔基金投資風險。 zh_TW dc.description.abstract (摘要) Tontine annuity schemes are introduced as a solution for annuity providers and governments to alleviate longevity risk. Applying Taiwan male mortality data to Group Self-Annuitization (GSA) as proposed in Piggott et al. (2005), this paperuses the Lee-Carter model, which incorporates longevity risk, in a simulation study to demonstrate how benefit payments increase in elder ages underdifferent scenarios. Unlike Piggott et al. (2005), we include deviations in both mortality and rate of return from expectations to compare benefit payments amongdifferent portfolios. Moreover, this paperdescribes the two features by whichtontine annuity schemesprevail overTaiwan’s Labor Insurance Annuity Schemes (LIAS): First, tontine annuity schemes are almost always fully funded. Second, the plan sponsor of tontine annuity schemesdoes not need to bear the investment risk. en_US dc.description.tableofcontents 1. Introduction 12. Variation of Tontine Annuity 52.1 Early History of Tontine 62.2 Traditional Tontine 72.3 Pooled Annuity--- Group Self-Annuitization (GSA) 72.3.1 Single Cohort 82.3.2 Varying Contributions and Annuity Payouts 102.3.3 Multiple Cohorts 132.3.4 Evolving expectations 152.4 Modified GSA plans 173. Modeling Simple Tontine Annuity Schemes 183.1 Simulation Methodology 193.2 Taiwan Database 203.3 Mortality Model Set Up 203.4 Assumption 233.5 Results and Discussion 243.5.1 Single Cohort with Constant Rate of Return 243.5.2 Single Cohort with Evolving Rate of Return 294. Replacing Labor Insurance Annuity Scheme (LIAS) with A Tontine Annuity Scheme 444.1 Background on Labor Insurance Annuity Scheme (LIAS) 444.2 Comparison of Tontine Annuity Scheme with LIAS 465. Conclusion 46Acknowledgments 48References 48 zh_TW dc.format.extent 22767714 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101358015 en_US dc.subject (關鍵詞) 長壽風險 zh_TW dc.subject (關鍵詞) 唐提年金 zh_TW dc.subject (關鍵詞) 蒙地卡羅演算法 zh_TW dc.title (題名) 唐提年金在長壽風險下之運作 zh_TW dc.title (題名) The Role of Tontine Annuity Schemes in Longevity Risk en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Blake, D., 2003. Reply to "Survivor Bonds- A Comment on Blake and Burrows". The Journal of Risk and Insurance 70, 349-351Blake, D., Cairns, A., Coughlan, G., Dowd, K., MacMinn, R., 2013. The New Life Market. Journal of Risk and Insurance 80, 501-558Blake, D., Cairns, A.J.G., Dowd, K., 2006. Living with Mortality: Longevity Bonds and other Mortality-Linked Securites. Pensions Institue Discussion Paper 12, 153-228Cairns, A.J.G., Blake, D., and Dowd, K. (2006a) Pricing death: Frameworks for the valuation and securitization of mortality risk.ASTIN Bulletin, 36: 79-120.Cairns, A.J.G., Blake, D., and Dowd, K. (2006b) A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration.Journal of Risk and Insurance, 73: 687-718.Chen, H., Cox, S.H., 2009. Modeling Mortality With Jumps: Applications to Mortality Securitization. Journal of Risk and Insurance 76, 727-751Chen, H., Hsu, W.-Y., Weiss, M.A., 2014. The Pension Option in Labor Insurance and Its Effect on Household Saving and Consumption: Evidence From Taiwan. Journal of Risk and Insurance 9999, 1-30Davidoff, T., Brown, J.R., Diamond, P.A., 2003. Annuities and individual welfare. NBER Working PaperFriedberg, L., Webb, A., 2007. Life Is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk. The B.E. Journal of Economic Analysis & Policy 7Goldsticker, R., 2007. A Mutual Fund to Yield Annuity-Like Benefits. Financial Analysts Journal 63, 63-67Hanewald, K., Piggott, J., Sherris, M., 2013. Individual post-retirement longevity risk management under systematic mortality risk. Insurance: Mathematics and Economics 52, 87-97Lee, Ronald D. 1993. Modeling and Forecasting the Time Series of U.S. Fertility: Age Patterns, Range, and Ultimate Level,” International Journal of Forecasting 9:187-202McKeever, K., 2009. A Short History of Tontines. Mitchell, O.S., 2001. Developments in Decumulation: The Role of Annuity Products in Financing Retirement. The Pensions Institute; NBER Working Paper No.8567Piggott, J., Valdez, E.A., Detzel, B., 2005. The simple analytics of a pooled annuity fund. The Journal of Risk of Insurance 72, 497-520Pitacco, E., Denuit, M., Haberman, S., Olivieri, A., 2009. Modelling Longevity Dynamics for pensions and Annuity Business. OXFORD University Press.Qiao, C., Sherris, M., 2012. Managing Systematic Mortality Risk With Group Self-Pooling and Annuitization Schemes. Journal of Risk and Insurance 00, 1-26Renshaw, A. and Haberman, S. 2006, Mortality Reduction Factors Incorporating Cohort Effects, Actuarial Research Paper No. 160Ronald Lee and Timothy Miller, 2000, Evaluating the Performance of Lee-Carter Mortality ForecastsRichter, A., Weber, F., 2011. Mortality-Indexed Annuities Managing Longevity Risk Via Product Design. North American Actuarial Journal 15, 212-236Rotemberg, J.J., 2009. Can a Continuously-Liquidating Tontine (or Mutual Inheritance Fund) succeed where Immediate Annuities Have Floundered? . Harvard Business School Working PaperSabin, M.J., 2010. Fair Tontine Annuity. Stevens, R.S.P., 2011. Longevity Risk in Life Insurane Produts. Valdez, E.A., Piggott, J., Wang, L., 2006. Demand and adverse selection in a pooled annuity fund. Insurance: Mathematics and Economics 39, 251-266Wilmoth, J., 1996, Mortality Projections for Japan: A Comparison of Four Methods, in Caselli, G. and Lopez, A. D., Health and Mortality Among Elderly Populations, New York: Oxford University Press, 266-287.Yaari, M.E., 1965. Uncertain Lifetime, Life Insurance, and the Theory of the Consumer. The Review of Economic Studies 32, 137-150 zh_TW
