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題名 連續時間模型下退休基金最適策略之研究
作者 陳絳珠
貢獻者 張士傑
陳絳珠
關鍵詞 提撥政策
資產配置
評估測度
動態規劃
最適策略
finding policy
asset allocation
risk measurement
dynamic programming
optimal strategy
日期 2000
上傳時間 31-Mar-2016 16:36:41 (UTC+8)
摘要 本研究針對退休基金管理的兩項重要議題：提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型，不若多期規劃的效率性，因此，本研究考量連續時間下，利用控制理論觀點，將提撥金額與資產配置視為可調節的因子，以風險最小化為最適定義，提供基金多期管理的有效方法。
This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer`s contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management.
參考文獻 一、 中文部分
林妙姍，確定提撥退休金計劃的應用與相關精算之研究，國立政治大學風險管理與保險研究所碩士論文，民87年。
二、 英文部分
Anderson, A. W., Pension Mathematics for Actuaries, 2nd ed. Winsted, Connecticut：Actex Publication, 1992.
Bacinello, A.R., “A stochastic simulation procedure for pension scheme.” Insurance: Mathematics and Economics 7（1988）: 153-161.
Bellman, R., Dynamic Programming, Princeton, N.J.: Princeton University Press, 1957.
Blake, D., “Pension schemes as options on pension fund assets: implications for pension fund management.” Insurance: Mathematics and Economics 23（1998）: 263-286.
Boulier, J. F., Trussant. E. and Florens. D., “A dynamic model for pension funds management.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 361-384.
Boulier, J. F., Trussant. E. and Florens. D., “Optimizing investment and contribution polices of a defined benefit pension fund.” Proceedings of the 6th AFIR International Colloquium 1（1996）: 593-607.
Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. and Nesbitt, C. J. “Notes on the dynamics of pension funding.” Insurance: Mathematics and Economics 1（1982）: 261-270.
Burden R.L. and Faires J. D., Numerical Methods, PWS-KENT publishing company, Boston, 1993.
Cairns, A. J. G., “Pension funding in a stochastic environment: the role of objectives in selecting an asset-allocation strategy.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 429-453.
Cairns, A. J. G., “Continuous-time stochastic pension funding modelling,” Proceedings of the 6th AFIR International Colloquium 1（1996）: 609-624.
Cairns, A. J. G. and Parker, G., “Stochastic pension fund modelling.” Insurance: Mathematics and Economics 21（1997）: 43-79.
Carraro, C. and Sartore, D., Developments of Control Theory for Economic Analysis, Kluwer Academic Publishers, Boston, 1987
Chang, S. C., “Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system.” Insurance: Mathematics and Economics 24（1999）: 187-199.
Chang, S. C., “Stochatic analysis of the solvency risk for TAI-PERS using simulation-based forecast model.” Singapore International Insurance and Actuarial Journal 3（1）,（1999）: 65-81.
Chang, S. C., “Realistic pension funding: a stochastic approach.” Journal of Actuarial Practice (2000)(in press).
Chow, Gregory C., “Optimal stochastic control of linear economic systems.” Journal of Money, Credit and Banking 2（1970）: 291-302.
Chow, Gregory C., “Optimal control of linear econometric systems with finite time horizon.” International Economic Review 13（1）,（1972a）: 16-25.
Chow, Gregory C., “How much could be Gained by optimal stochastic control policies?” Annals of Economic and Social Measurement 1（4）,（1972b）: 391-406.
Daykin, C. D., Pentikainen, T. and Pesonen, M., Practical Risk Theory for Actuaries, Monographs on Statistics and Applied Probability 53, London, U.K.: Chapman and Hall, 1994.
Dufresne, D., “Monents of pension contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115（1988）: 535-544.
Dufresne, D., “Stability of pension systems when rates of return are random.” Insurance: Mathematics and Economics 8（1989）: 71-76.
Fleming W. H. and Rishel R. W., Deterministic and Stochastic Optimal Contro, Springer-Verlag, New York, 1975.
Friedman, Benjamin M., Methods in Optimization for Economic Stabilization Policy, Amsteerdam: North-Holland Publishing Company, 1973.
Gerrard, R. and Haberman, S., “Stability of Pension Systems When Gains/Losses Are amortized and Rates of Return Are Autoregressive.” Insurance: Mathematics and Economics 18（1996）: 59-71.
Haberman, S., “Pension funding with time delays: A stochastic approach.” Insurance: Mathematics and Economics 11（1992）: 179-189.
Haberman, S., “Pension funding with time delays and autoregressive rates of investment return.” Insurance: Mathematics and Economics 13（1993）: 45-56.
Haberman, S., “Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme.” Insurance: Mathematics and Economics 14（1994）: 219-240.
Haberman, S., “Pension funding with time delays and the optimal spread period.” Astin Bulletin, Vol. 25. No. 2（1996）:177-187.
Haberman, S., “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance: Mathematics and Economics 19（1997）: 127-139.
Haberman, S. and Sung, J. H., “Dynamic approaches to pension funding.” Insurance: Mathematics and Economics 15（1994）: 151-162.
Haberman, S. and Wong, L. Y., “Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme,” Insurance: Mathematics and Economics 20（1997）: 115-135.
Merton, R., Continuous-Time Finance, Blackwell, Cambridge, 1990.
O’Brien, T., “A stochastic-dynamic approach to pension funding.” Insurance: Mathematics and Economics 5（1986）: 141-146.
O’Brien, T., “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance: Mathematics and Economics 6（1987）: 129-134.
Owadally, M. L. and Haberman, S., “Pension fund dynamics and gains/ losses due to random rates of investment return.” North American Actuarial Journal, Vol. 3. No. 3（1999）:105-117.
Petit, M. L., Control Theory and Dynamic Games in Economic Policy Analysis, Cambridge University Press, Cambridge New York, 1990.
Phillips, A. W., “The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957.” Econometrica 25（1958）: 283-299.
Pindyck, Robert S., Optimal Planning for Economic Stabilization, Amsterdam: North-Holland Publishing Company, 1973.
Runggaldier, W. J., “Concept and methods for discrete and continuous time control under uncertainty.” Insurance: Mathematics and Economics 22（1998）: 25-39.
Sch l, M., “On piecewise deterministic Markov control process: Control of jumps and of risk processes in insurance.” Insurance: Mathematics and Economics 22（1998）: 75-91.
Simon, H. A., “On the application of servomechanism theory in the study of production control.” Econometrica（1952）: 247-268.
Simon, H. A., “Dynamic programming under uncertainty with a quadratic criterion function. ” Econometrica 24（1957）: 74-81.
Tustin, A., The Mechanism of Economic Systems, Cambridge, Mass: Harvard University Press, 1953.
Voelker, Craig A., “Strategic asset allocation for pension plans.” Record V24n2, Society of Actuaries,1998.
Whittle, P., Prediction and Regulation by Linear Least Square Methods, New York: D. Van Nostrand Company, 1963.
Winklevoss, H. E., Pension Mathematics with Numerical Illustrations, 2nd edition, Pension Research Council Publications, 1993.
描述 碩士
國立政治大學
風險管理與保險研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002021
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 陳絳珠zh_TW
dc.creator (作者) 陳絳珠zh_TW
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 16:36:41 (UTC+8)-
dc.date.available 31-Mar-2016 16:36:41 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 16:36:41 (UTC+8)-
dc.identifier (Other Identifiers) A2002002021en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83341-
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.abstract (摘要) 本研究針對退休基金管理的兩項重要議題：提撥政策與資產配置作最適規劃之探討。由於傳統退休基金的評價僅考慮單一期間的離散時間模型，不若多期規劃的效率性，因此，本研究考量連續時間下，利用控制理論觀點，將提撥金額與資產配置視為可調節的因子，以風險最小化為最適定義，提供基金多期管理的有效方法。zh_TW
dc.description.abstract (摘要) This study explores two critical issues in pension fund management: funding policy and asset allocation. The traditional valuation of pension fund is restricted in one-period setting under discrete-time framework, and it is not efficient comparing to the continuous-time models. Therefore, in this study, control theory is employed to obtain the optimal strategy based on a specific plan dynamics. Employer`s contributions and investment proportions are treated as the controllers in our model. Optimal solutions are obtained by minimizing the given risk performance in monitoring the multi-period fund management.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
圖目錄
第一章 緒論
1.1 研究背景
1.2 研究動機與目的
1.3 研究範圍與流程
1.4 論文架構
第二章 相關文獻探討
2.1 控制理論在財務領域之應用
2.2 退休金最適化理論的發展
第三章 退休基金之最適財務規劃
3.1 控制理論與動態規劃
3.2 退休金精算之基本概念
3.3 連續時間動態模型之建立
3.4 最適策略之建構
第四章 實證分析—企業退休基金
4.1 實證對象基本統計資料與精算假設
4.2 參數的估計
4.3 數值解之求法
4.4 結果分析
第五章 結論與建議
5.1 結論
5.2 檢討與後續研究之建議
參考文獻
附錄
附錄A 符號表
附錄B 歷年新進成員年齡、平均薪資統計表
附錄C 脫退表
附錄D 數值方法 —Runge Kutta method		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002021en_US
dc.subject (關鍵詞) 提撥政策zh_TW
dc.subject (關鍵詞) 資產配置zh_TW
dc.subject (關鍵詞) 評估測度zh_TW
dc.subject (關鍵詞) 動態規劃zh_TW
dc.subject (關鍵詞) 最適策略zh_TW
dc.subject (關鍵詞) finding policyen_US
dc.subject (關鍵詞) asset allocationen_US
dc.subject (關鍵詞) risk measurementen_US
dc.subject (關鍵詞) dynamic programmingen_US
dc.subject (關鍵詞) optimal strategyen_US
dc.title (題名) 連續時間模型下退休基金最適策略之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、 中文部分
林妙姍，確定提撥退休金計劃的應用與相關精算之研究，國立政治大學風險管理與保險研究所碩士論文，民87年。
二、 英文部分
Anderson, A. W., Pension Mathematics for Actuaries, 2nd ed. Winsted, Connecticut：Actex Publication, 1992.
Bacinello, A.R., “A stochastic simulation procedure for pension scheme.” Insurance: Mathematics and Economics 7（1988）: 153-161.
Bellman, R., Dynamic Programming, Princeton, N.J.: Princeton University Press, 1957.
Blake, D., “Pension schemes as options on pension fund assets: implications for pension fund management.” Insurance: Mathematics and Economics 23（1998）: 263-286.
Boulier, J. F., Trussant. E. and Florens. D., “A dynamic model for pension funds management.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 361-384.
Boulier, J. F., Trussant. E. and Florens. D., “Optimizing investment and contribution polices of a defined benefit pension fund.” Proceedings of the 6th AFIR International Colloquium 1（1996）: 593-607.
Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A. and Nesbitt, C. J. “Notes on the dynamics of pension funding.” Insurance: Mathematics and Economics 1（1982）: 261-270.
Burden R.L. and Faires J. D., Numerical Methods, PWS-KENT publishing company, Boston, 1993.
Cairns, A. J. G., “Pension funding in a stochastic environment: the role of objectives in selecting an asset-allocation strategy.” Proceedings of the 5th AFIR International Colloquium 1（1995）: 429-453.
Cairns, A. J. G., “Continuous-time stochastic pension funding modelling,” Proceedings of the 6th AFIR International Colloquium 1（1996）: 609-624.
Cairns, A. J. G. and Parker, G., “Stochastic pension fund modelling.” Insurance: Mathematics and Economics 21（1997）: 43-79.
Carraro, C. and Sartore, D., Developments of Control Theory for Economic Analysis, Kluwer Academic Publishers, Boston, 1987
Chang, S. C., “Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system.” Insurance: Mathematics and Economics 24（1999）: 187-199.
Chang, S. C., “Stochatic analysis of the solvency risk for TAI-PERS using simulation-based forecast model.” Singapore International Insurance and Actuarial Journal 3（1）,（1999）: 65-81.
Chang, S. C., “Realistic pension funding: a stochastic approach.” Journal of Actuarial Practice (2000)(in press).
Chow, Gregory C., “Optimal stochastic control of linear economic systems.” Journal of Money, Credit and Banking 2（1970）: 291-302.
Chow, Gregory C., “Optimal control of linear econometric systems with finite time horizon.” International Economic Review 13（1）,（1972a）: 16-25.
Chow, Gregory C., “How much could be Gained by optimal stochastic control policies?” Annals of Economic and Social Measurement 1（4）,（1972b）: 391-406.
Daykin, C. D., Pentikainen, T. and Pesonen, M., Practical Risk Theory for Actuaries, Monographs on Statistics and Applied Probability 53, London, U.K.: Chapman and Hall, 1994.
Dufresne, D., “Monents of pension contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115（1988）: 535-544.
Dufresne, D., “Stability of pension systems when rates of return are random.” Insurance: Mathematics and Economics 8（1989）: 71-76.
Fleming W. H. and Rishel R. W., Deterministic and Stochastic Optimal Contro, Springer-Verlag, New York, 1975.
Friedman, Benjamin M., Methods in Optimization for Economic Stabilization Policy, Amsteerdam: North-Holland Publishing Company, 1973.
Gerrard, R. and Haberman, S., “Stability of Pension Systems When Gains/Losses Are amortized and Rates of Return Are Autoregressive.” Insurance: Mathematics and Economics 18（1996）: 59-71.
Haberman, S., “Pension funding with time delays: A stochastic approach.” Insurance: Mathematics and Economics 11（1992）: 179-189.
Haberman, S., “Pension funding with time delays and autoregressive rates of investment return.” Insurance: Mathematics and Economics 13（1993）: 45-56.
Haberman, S., “Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme.” Insurance: Mathematics and Economics 14（1994）: 219-240.
Haberman, S., “Pension funding with time delays and the optimal spread period.” Astin Bulletin, Vol. 25. No. 2（1996）:177-187.
Haberman, S., “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance: Mathematics and Economics 19（1997）: 127-139.
Haberman, S. and Sung, J. H., “Dynamic approaches to pension funding.” Insurance: Mathematics and Economics 15（1994）: 151-162.
Haberman, S. and Wong, L. Y., “Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme,” Insurance: Mathematics and Economics 20（1997）: 115-135.
Merton, R., Continuous-Time Finance, Blackwell, Cambridge, 1990.
O’Brien, T., “A stochastic-dynamic approach to pension funding.” Insurance: Mathematics and Economics 5（1986）: 141-146.
O’Brien, T., “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance: Mathematics and Economics 6（1987）: 129-134.
Owadally, M. L. and Haberman, S., “Pension fund dynamics and gains/ losses due to random rates of investment return.” North American Actuarial Journal, Vol. 3. No. 3（1999）:105-117.
Petit, M. L., Control Theory and Dynamic Games in Economic Policy Analysis, Cambridge University Press, Cambridge New York, 1990.
Phillips, A. W., “The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861-1957.” Econometrica 25（1958）: 283-299.
Pindyck, Robert S., Optimal Planning for Economic Stabilization, Amsterdam: North-Holland Publishing Company, 1973.
Runggaldier, W. J., “Concept and methods for discrete and continuous time control under uncertainty.” Insurance: Mathematics and Economics 22（1998）: 25-39.
Sch l, M., “On piecewise deterministic Markov control process: Control of jumps and of risk processes in insurance.” Insurance: Mathematics and Economics 22（1998）: 75-91.
Simon, H. A., “On the application of servomechanism theory in the study of production control.” Econometrica（1952）: 247-268.
Simon, H. A., “Dynamic programming under uncertainty with a quadratic criterion function. ” Econometrica 24（1957）: 74-81.
Tustin, A., The Mechanism of Economic Systems, Cambridge, Mass: Harvard University Press, 1953.
Voelker, Craig A., “Strategic asset allocation for pension plans.” Record V24n2, Society of Actuaries,1998.
Whittle, P., Prediction and Regulation by Linear Least Square Methods, New York: D. Van Nostrand Company, 1963.
Winklevoss, H. E., Pension Mathematics with Numerical Illustrations, 2nd edition, Pension Research Council Publications, 1993.		zh_TW