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題名 PENSION VALUATION UNDER UNCERTAINTIES: IMPLEMENTATION OF A STOCHASTIC AND DYNAMIC MONITORING SYSTEM
作者 Chang, Shih-Chieh;Cheng, Hsin-Yi
張士傑
貢獻者 風管系
日期 2002-06
上傳時間 2-Sep-2015 17:41:06 (UTC+8)
摘要 Financial soundness and funding stability are two critical issues in pension fund management. First, we construct a generalized stochastic model to monitor the solvency risk and cash flow dynamics of the defined benefit pension plan. A semi-Markov process proposed by Dominicis et al. (1991) and Janssen and Manca (1997) is employed in structuring the transition pattern of the plan’s population, and the economic-based factors are generated through plausible stochastic processes. Modifications according to classification and movements of the plan member and the plan’s turnover pattern are also employed to improve its practical usefulness. Then the actuarial valuations, cash flow analyses, and workforce projection are performed and investigated. Second, we explicitly formulate the plan dynamics and implement the proposed mechanism into a risk management framework for pension management. By employing the stochastic and dynamic approach, the cost factors can be monitored throughout the valuation process. Third, we outline the procedure of implementing the proposed methodology into a monitoring system. Finally, the Taiwan Public Employees Retirement System is simplified to illustrate techniques in achieving risk management goals.
關聯 Journal of Risk & Insurance, 69(2), 171-192
資料類型 article
DOI http://dx.doi.org/10.1111/1539-6975.00013
dc.contributor 風管系
dc.creator (作者) Chang, Shih-Chieh;Cheng, Hsin-Yi
dc.creator (作者) 張士傑zh_TW
dc.date (日期) 2002-06
dc.date.accessioned 2-Sep-2015 17:41:06 (UTC+8)-
dc.date.available 2-Sep-2015 17:41:06 (UTC+8)-
dc.date.issued (上傳時間) 2-Sep-2015 17:41:06 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78220-
dc.description.abstract (摘要) Financial soundness and funding stability are two critical issues in pension fund management. First, we construct a generalized stochastic model to monitor the solvency risk and cash flow dynamics of the defined benefit pension plan. A semi-Markov process proposed by Dominicis et al. (1991) and Janssen and Manca (1997) is employed in structuring the transition pattern of the plan’s population, and the economic-based factors are generated through plausible stochastic processes. Modifications according to classification and movements of the plan member and the plan’s turnover pattern are also employed to improve its practical usefulness. Then the actuarial valuations, cash flow analyses, and workforce projection are performed and investigated. Second, we explicitly formulate the plan dynamics and implement the proposed mechanism into a risk management framework for pension management. By employing the stochastic and dynamic approach, the cost factors can be monitored throughout the valuation process. Third, we outline the procedure of implementing the proposed methodology into a monitoring system. Finally, the Taiwan Public Employees Retirement System is simplified to illustrate techniques in achieving risk management goals.
dc.format.extent 677522 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Journal of Risk & Insurance, 69(2), 171-192
dc.title (題名) PENSION VALUATION UNDER UNCERTAINTIES: IMPLEMENTATION OF A STOCHASTIC AND DYNAMIC MONITORING SYSTEM
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1111/1539-6975.00013
dc.doi.uri (DOI) http://dx.doi.org/10.1111/1539-6975.00013