| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 何嘉綺 | zh_TW |
| dc.creator (作者) | 何嘉綺 | zh_TW |
| dc.date (日期) | 2000 | en_US |
| dc.date.accessioned | 18-Apr-2016 16:31:41 (UTC+8) | - |
| dc.date.available | 18-Apr-2016 16:31:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Apr-2016 16:31:41 (UTC+8) | - |
| dc.identifier (Other Identifiers) | A2002001737 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/85495 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 應用數學系 | zh_TW |
| dc.description (描述) | 87751008 | zh_TW |
| dc.description.abstract (摘要) | 提撥原則是固定給付退休基金所必須特別重視的經營策略，提撥率為基金贊助者定期提撥於未來成員退休給付的準備金。過高的提撥率會造成基金管理上的財務壓力，退休金計劃採行相對提撥方式，將同時加重基金贊助者與基金成員的財務負擔，而過低的提撥率則會造成退休給付的準備金不足，將使退休基金未來面臨無力清償成員退休給付的困境，因此適當且長期穩定的提撥原則成為退休基金決策者的經營目標，而必須特別重視基金的財務風險管理。 | zh_TW |
| dc.description.abstract (摘要) | Funding policy is the crucial management decision in the defined benefit pension schemes. The plan sponsor is required to calculate the contribution rate and accumulate in advance as he reserve for the future contingent retirement and ancillary obligations for the plan members. High contribution results an accelerating financial burden for the plan sponsor, while low contribution might endanger the financial solvency of the plan. The appropriate and stable contributions become the goal of the plan manager in setting up his funding policy. Hence financial risk management in attaining the goal is especially vital to be examined. | en_US |
| dc.description.tableofcontents | 封面頁 證明書 論文摘要 目錄 表目錄 圖目錄 附錄目錄 第一章 緒論 1.1 研究動機與目的 1.2 文章流程 1.3 相關文獻回顧 第二章 理論模型之回顧與探討 2.1 符號定義與說明 2.2模型的建構 第三章 實例分析及數值計算 3.1 精算假設 3.2結果與分析 第四章 結論與建議 參考文獻 附錄 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#A2002001737 | en_US |
| dc.subject (關鍵詞) | 提撥率 | zh_TW |
| dc.subject (關鍵詞) | 退休基金 | zh_TW |
| dc.subject (關鍵詞) | 隨機控制 | zh_TW |
| dc.subject (關鍵詞) | 動態規劃 | zh_TW |
| dc.subject (關鍵詞) | 風險測度 | zh_TW |
| dc.subject (關鍵詞) | contribution rate | en_US |
| dc.subject (關鍵詞) | pension fund | en_US |
| dc.subject (關鍵詞) | stochastic control | en_US |
| dc.subject (關鍵詞) | dynamic programming | en_US |
| dc.subject (關鍵詞) | risk measurement | en_US |
| dc.title (題名) | 隨機控制理論應用於退休基金之研究 | zh_TW |
| dc.title (題名) | Applications of Stochastic Control Theory in Pension Fund Management | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 1. 中文部分 葉錫欽，我國公務人員退撫基金提撥率之研究，私立輔仁大學應用統計研究所碩士論文，1997年6月。 2. 英文部分 Anderson, A W. (1992) Pension Mathematics for Actuaries, ed. Winsted, Connectinct：Actex Publication. Astrom, K. J.（1970）. “Introduction to Stochastic Control Theory.” Academic Press, New York. Chang, S. C. (1999a）.“Optimal pension Funding Through Dynamic Simulations：the Case of Taiwan Public Employees Retirement System.” Insurance：Mathematics and Economics 24：189-199. Chang, S. C. (1999b). “Stochastic analysis of the solvency risk for TAI-PERS using simulation based forecast model.” Singapore International Insurance and Actuarial Journal 3 (1)：65-81. Chang, S. C. (2000). “Realistic pension funding：a stochastic approach.” Journal of Actuarial Practice (in press). Dufresne, D.（1988）. “Moment of pension fund contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115：535-544. Dufresne, D.（1989）. “Stability of Pension Systems When Return Are Random.” Insurance：Mathematics and Economics 8：71-76. Haberman, S.（1994）. “Autoregressive Rates of Return and Variability of Pension Contributions and Fund Levels for a Defined Benefit Pension Scheme.” Insurance：Mathematics and Economics 14：219-240. Haberman, S. and Sung, J. H.（1994）. “Dynamic Approaches to Pension Funding.” Insurance：Mathematics and Economics 15：151-162. Haberman, S. (1997) “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance：Mathematics and Economics 19：127-139. Haberman, S. and Wong, L. Y. (1997). “Moving Average Rates of Return and the Variability of Pension Contributions and Fund Levels for A Defined Benefit Pension Scheme.” Insurance：Mathematics and Economics 20：115-135. O’Brien, T.（1986）.“A Stochastic-Dynamic Approach to Pension Funding.” Insurance：Mathematics and Economics 5：141-146. O’Brien, T.（1987）. “A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization.” Insurance：Mathematics and Economics 6：129-134. | zh_TW |
