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題名 公務人員退休撫卹基金之資產負債管理 作者 彭愛蘋 貢獻者 王儷玲
彭愛蘋關鍵詞 退休基金
資產負債管理
存續期間
利率風險
Pension Plan
Asset Liability Management
Duration
Interest Rate Risk日期 2001 上傳時間 18-Apr-2016 16:28:55 (UTC+8) 摘要 本研究以免疫理論(Immunization Theory)與投資組合理論(Portfolio Theory)來架構退休基金的資產負債管理模型,希望在免除利率風險的情況下,極大化退休基金的投資報酬率。本文以退撫基金86年到88年實際投資的實證資料及其對未來給付支出的預測模擬值,在不同考慮年限與提撥率下,建議其最適投資組合,並計算出資產負債管理的成本。最後,再以84年到88年市場平均資料的實證結果,支持並驗證我們以退撫基金內部資料所做的實證結果。研究發現:
This paper investigates the Asset-Liability Management for pension fund. We utilize Immunization Theory and Portfolio Theory selection model to immunize the surplus of pension funds against interest-rate fluctuations and to maximize expected return of pension fund simultaneously. In addition, we use the public trading data of the investment market in Taiwan from 1995 to1999 and the data from the Taiwan Public Employees Retirement System(TPERS)from1997 to 1999 to demonstrate the implementation of our model. We calculate the optimal asset allocation and the ALM cost under different time horizons and contribution rates. The empirical results from this study show that:參考文獻 中文部分1、 符寶玲,「退休基金制度與管理」,華泰書局,1997年。2、 陳登源,「退撫基金投資哲學與運用概況」,公務人員退休撫卹基金監理委員會,1998年。3、 白郁婷,「退撫基金資產配置之研究」,公務人員退休撫卹基金監理委員會,1998年。4、 楊永芳,「退撫基金精算與財務運用原則淺釋」,公務人員月刊,1998年,第23期,21-27頁。5、 余雪明、何憲章,「軍公教退撫基金如何有效管理運用之研究」,銓敘部委託研究報告,1998年。6、 王儷玲、蘇培雅,「公務人員退休給付之探討」,尚未發表之研究論文,1999年。7、 吳家宏,「免疫理論應用於壽險業資產負債管理之研究」,政治大學風險管理與保險研究所碩士論文,1995年。8、 黃明煜,「公務人員退休撫卹基金管理與運用之研究」,政治大學企業管理研究所碩士論文,1997年。9、 施淑芳,「壽險公司資產負債管理對公司價值影響之研究」,政治大學風險管理與保險研究所碩士論文,1997年。10、劉選隆,「退休金資產配置之模擬研究」,中正大學財務金融研究所碩士論文,1998年。英文部分:1、Ardner, Mona J. and Dixie L. Mills, Managing Financial Institutions: An Asset/Liability Approach, 3rd edition, The Dryden Press, 1994.2、Bierwag,G.O., George G. Kaufman and Alden Toevs(1983), “Duration: Its Development and Use in Bond Portfolio Management.” Financial Analysts Journal, July-August, pp.15-35.3、Bostock, Paul, Paul Woolley and Martin Duffy(1989), ”Duration-Based Asset Allocation.” Financial Analysts Journal, January-February, pp.53-61.4、Bookstaber, Richard and Jeremy Gold(1988), “In Search of the Liability Asset.” Financial Analysts Journal, January-February, pp.70-80.5、Bitner, John W. and Robert A. Goddard, Successful Bank Asset/Liability Management: A Guide to The Future Beyond Gap, John Wiley & Sons, Inc, 19926、Bierwag, Gerald O., Duration Analysis: Managing Interest Rate Risk, The Ballinger Press, 1987.7、Choie, Kenneth S.(1992), ”Caveats in Immunization of Pension Liabilities.” Journal of Portfolio Management, Winter, pp.54-69.8、Gagnon, Louis and Lewis D. Johnson(1994), ”Dynamic Immunization under Stochastic Interest Rates.” Journal of Portfolio Management, Spring, pp.48-54.9、Hull, John C., Options, Futures & other Derivatives, 4th edition, Prentice-Hall International, Inc, 2000.10、Hicks, J.R., Value and Capital, Oxford: Clarendon Press,1939.11、Keintz, Richard J. and Clyde P. Stickney(1980), ”Immunization of Pension Funds and Sensitivity to Actuarial Assumptions.” Journal of Risk and Insurance, Vol.47, pp.222-238.12、Logue, Dennis E. and Jack S. Rader, Managing Pension Plans: A Comprehensive Guide to Improving Plan Performance, Harvard Business School Press, 1998.13、Leibowitz, Martin L.(1986), ”Total Portfolio Duration: A New Perspective on Asset Allocation.” Financial Analysts Journal, September-October, pp. 18-29.14、Leibowitz, Martin L., Eric H. Sorensen, Robert D. Arnott and H. Nicholas Hanson(1989), ”A Total Differential Approach to Equity Duration.”Financial Analysts Journal, September-October, pp.30-37.15、Leibowitz, Martin L.(1987), “Pension Asset Allocation through Surplus Management.” Financial Analysts Journal, March-April, pp.29-41.16、Leibowitz, Martin L. and Roy D. Henriksson(1988), ”Portfolio Optimization Within a Surplus Framework.” Financial Analysts Journal, March-April, pp.43-51.17、Leibowitz, Martin L., Stanley Kogelman and Lawrence N. Bader(1992), “Asset Performance and surplus control:A dual-shortfall approach.” Journal of Portfolio Management, Winter, pp.28-37.18、Macaulay, Frederick R., The Movement of Interest Rates, Bonds, Yields, and Stock Prices in the United States Since 1965, New York: Columbia University Press, 1938.19、Markowitz, Harry, Portfolio Selection, New York: John Wiley & Sons, 1959.20、Pension and Investment(1997), “P & I / InterSec World 300,” Sept.21、Pension and Investment(1997), “P & I / Watson Wyatt World 300,” July.22、Redington, F.M.(1952),”Review of the Principle of Life Office Valuations.” Journal of the Institute of Actuaries 78, pp. 286-340.23、Saunders, Anthony, Financial Institution Management: A Modern Perspective, 3rd edition, Irwin Publishing Co, 2000.24、Samuelson, Paul A.(1945), ” The Effects of Interest Rate Increases on the Banking System.” American Economic Review, March, pp.16-27.25、Tzeng, Larry Y. , Jennifer L. Wang and June H. Soo(2000), ”Surplus Management under A Stochastic Process.” Journal of Risk and Insurance, Vol.67, pp.451-462. 描述 碩士
國立政治大學
風險管理與保險研究所
88358014資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001474 資料類型 thesis dc.contributor.advisor 王儷玲 zh_TW dc.contributor.author (Authors) 彭愛蘋 zh_TW dc.creator (作者) 彭愛蘋 zh_TW dc.date (日期) 2001 en_US dc.date.accessioned 18-Apr-2016 16:28:55 (UTC+8) - dc.date.available 18-Apr-2016 16:28:55 (UTC+8) - dc.date.issued (上傳時間) 18-Apr-2016 16:28:55 (UTC+8) - dc.identifier (Other Identifiers) A2002001474 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85423 - 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) 88358014 zh_TW dc.description.abstract (摘要) 本研究以免疫理論(Immunization Theory)與投資組合理論(Portfolio Theory)來架構退休基金的資產負債管理模型,希望在免除利率風險的情況下,極大化退休基金的投資報酬率。本文以退撫基金86年到88年實際投資的實證資料及其對未來給付支出的預測模擬值,在不同考慮年限與提撥率下,建議其最適投資組合,並計算出資產負債管理的成本。最後,再以84年到88年市場平均資料的實證結果,支持並驗證我們以退撫基金內部資料所做的實證結果。研究發現: zh_TW dc.description.abstract (摘要) This paper investigates the Asset-Liability Management for pension fund. We utilize Immunization Theory and Portfolio Theory selection model to immunize the surplus of pension funds against interest-rate fluctuations and to maximize expected return of pension fund simultaneously. In addition, we use the public trading data of the investment market in Taiwan from 1995 to1999 and the data from the Taiwan Public Employees Retirement System(TPERS)from1997 to 1999 to demonstrate the implementation of our model. We calculate the optimal asset allocation and the ALM cost under different time horizons and contribution rates. The empirical results from this study show that: en_US dc.description.tableofcontents 封面頁證明書致謝詞論文摘要目錄表目錄圖目錄第一章 緒論第一節 研究動機與研究目的第二節 研究方法第三節 研究範圍與研究限制第四節 章節架構第二章 文獻探討第一節 退休基金的資產負債管理第二節 存續期間與免疫理論第三節 退休基金的資產配置第三章 模型架構與實證資料第一節 模型架構第二節 實證資料與研究方法第四章 實證結果第一節 各項資產的存續期間第二節 退撫基金之最適資產配置—退撫基金內部資料第三節 退撫基金之最適資產配置—市場平均資料第五章 結論第一節 實證發現第二節 對退撫基金之建議第三節 後續研究建議附錄參考文獻 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001474 en_US dc.subject (關鍵詞) 退休基金 zh_TW dc.subject (關鍵詞) 資產負債管理 zh_TW dc.subject (關鍵詞) 存續期間 zh_TW dc.subject (關鍵詞) 利率風險 zh_TW dc.subject (關鍵詞) Pension Plan en_US dc.subject (關鍵詞) Asset Liability Management en_US dc.subject (關鍵詞) Duration en_US dc.subject (關鍵詞) Interest Rate Risk en_US dc.title (題名) 公務人員退休撫卹基金之資產負債管理 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分1、 符寶玲,「退休基金制度與管理」,華泰書局,1997年。2、 陳登源,「退撫基金投資哲學與運用概況」,公務人員退休撫卹基金監理委員會,1998年。3、 白郁婷,「退撫基金資產配置之研究」,公務人員退休撫卹基金監理委員會,1998年。4、 楊永芳,「退撫基金精算與財務運用原則淺釋」,公務人員月刊,1998年,第23期,21-27頁。5、 余雪明、何憲章,「軍公教退撫基金如何有效管理運用之研究」,銓敘部委託研究報告,1998年。6、 王儷玲、蘇培雅,「公務人員退休給付之探討」,尚未發表之研究論文,1999年。7、 吳家宏,「免疫理論應用於壽險業資產負債管理之研究」,政治大學風險管理與保險研究所碩士論文,1995年。8、 黃明煜,「公務人員退休撫卹基金管理與運用之研究」,政治大學企業管理研究所碩士論文,1997年。9、 施淑芳,「壽險公司資產負債管理對公司價值影響之研究」,政治大學風險管理與保險研究所碩士論文,1997年。10、劉選隆,「退休金資產配置之模擬研究」,中正大學財務金融研究所碩士論文,1998年。英文部分:1、Ardner, Mona J. and Dixie L. Mills, Managing Financial Institutions: An Asset/Liability Approach, 3rd edition, The Dryden Press, 1994.2、Bierwag,G.O., George G. Kaufman and Alden Toevs(1983), “Duration: Its Development and Use in Bond Portfolio Management.” Financial Analysts Journal, July-August, pp.15-35.3、Bostock, Paul, Paul Woolley and Martin Duffy(1989), ”Duration-Based Asset Allocation.” Financial Analysts Journal, January-February, pp.53-61.4、Bookstaber, Richard and Jeremy Gold(1988), “In Search of the Liability Asset.” Financial Analysts Journal, January-February, pp.70-80.5、Bitner, John W. and Robert A. Goddard, Successful Bank Asset/Liability Management: A Guide to The Future Beyond Gap, John Wiley & Sons, Inc, 19926、Bierwag, Gerald O., Duration Analysis: Managing Interest Rate Risk, The Ballinger Press, 1987.7、Choie, Kenneth S.(1992), ”Caveats in Immunization of Pension Liabilities.” Journal of Portfolio Management, Winter, pp.54-69.8、Gagnon, Louis and Lewis D. Johnson(1994), ”Dynamic Immunization under Stochastic Interest Rates.” Journal of Portfolio Management, Spring, pp.48-54.9、Hull, John C., Options, Futures & other Derivatives, 4th edition, Prentice-Hall International, Inc, 2000.10、Hicks, J.R., Value and Capital, Oxford: Clarendon Press,1939.11、Keintz, Richard J. and Clyde P. Stickney(1980), ”Immunization of Pension Funds and Sensitivity to Actuarial Assumptions.” Journal of Risk and Insurance, Vol.47, pp.222-238.12、Logue, Dennis E. and Jack S. Rader, Managing Pension Plans: A Comprehensive Guide to Improving Plan Performance, Harvard Business School Press, 1998.13、Leibowitz, Martin L.(1986), ”Total Portfolio Duration: A New Perspective on Asset Allocation.” Financial Analysts Journal, September-October, pp. 18-29.14、Leibowitz, Martin L., Eric H. Sorensen, Robert D. Arnott and H. Nicholas Hanson(1989), ”A Total Differential Approach to Equity Duration.”Financial Analysts Journal, September-October, pp.30-37.15、Leibowitz, Martin L.(1987), “Pension Asset Allocation through Surplus Management.” Financial Analysts Journal, March-April, pp.29-41.16、Leibowitz, Martin L. and Roy D. Henriksson(1988), ”Portfolio Optimization Within a Surplus Framework.” Financial Analysts Journal, March-April, pp.43-51.17、Leibowitz, Martin L., Stanley Kogelman and Lawrence N. Bader(1992), “Asset Performance and surplus control:A dual-shortfall approach.” Journal of Portfolio Management, Winter, pp.28-37.18、Macaulay, Frederick R., The Movement of Interest Rates, Bonds, Yields, and Stock Prices in the United States Since 1965, New York: Columbia University Press, 1938.19、Markowitz, Harry, Portfolio Selection, New York: John Wiley & Sons, 1959.20、Pension and Investment(1997), “P & I / InterSec World 300,” Sept.21、Pension and Investment(1997), “P & I / Watson Wyatt World 300,” July.22、Redington, F.M.(1952),”Review of the Principle of Life Office Valuations.” Journal of the Institute of Actuaries 78, pp. 286-340.23、Saunders, Anthony, Financial Institution Management: A Modern Perspective, 3rd edition, Irwin Publishing Co, 2000.24、Samuelson, Paul A.(1945), ” The Effects of Interest Rate Increases on the Banking System.” American Economic Review, March, pp.16-27.25、Tzeng, Larry Y. , Jennifer L. Wang and June H. Soo(2000), ”Surplus Management under A Stochastic Process.” Journal of Risk and Insurance, Vol.67, pp.451-462. zh_TW