1 |
確定提撥制退休金之評價:馬可夫調控跳躍過程模型下股價指數之實證 / Valuation of a defined contribution pension plan: evidence from stock indices under Markov-Modulated jump diffusion model張玉華, Chang, Yu Hua Unknown Date (has links)
退休金是退休人未來生活的依靠,確保在退休後能得到適足的退休給付,政府在退休金上實施保證收益制度,此制度為最低保證利率與投資報酬率連結。本文探討退休金給付標準為確定提撥制,當退休金的投資報酬率是根據其連結之股價指數的表現來計算時,股價指數報酬率的模型假設為馬可夫調控跳躍過程模型,考慮市場狀態與布朗運動項、跳躍項的跳躍頻率相關,即為Elliot et al. (2007) 的模型特例。使用1999年至2012年的道瓊工業指數與S&P 500指數的股價指數對數報酬率作為研究資料,採用EM演算法估計參數及SEM演算法估計參數共變異數矩陣。透過概似比檢定說明馬可夫調控跳躍過程模型比狀態轉換模型、跳躍風險下狀態轉換模型更適合描述股價指數報酬率變動情形,也驗證馬可夫調控跳躍過程模型具有描述報酬率不對稱、高狹峰及波動叢聚的特性。最後,假設最低保證利率為固定下,利用Esscher轉換法計算不同模型下型I保證之確定提撥制退休金的評價公式,從公式中可看出受雇人提領的退休金價值可分為政府補助與個人帳戶擁有之退休金兩部分。以執行敏感度分析探討估計參數對於馬可夫調控跳躍過程模型評價公式的影響,而型II保證之確定提撥制退休金的價值則以蒙地卡羅法模擬並探討其敏感度分析結果。 / Pension plan make people a guarantee life in their retirement. In order to ensure the appropriate amount of pension plan, government guarantees associated with pension plan which ties minimum rate of return guarantees and underlying asset rate of return. In this paper, we discussed the pension plan with defined contribution (DC). When the return of asset is based on the stock indices, the return model was set on the assumption that markov-modulated jump diffusion model (MMJDM) could the Brownian motion term and jump rate be both related to market states. This model is the specific case of Elliot et al. (2007) offering. The sample observations is Dow-Jones industrial average and S&P 500 index from 1999 to 2012 by logarithm return of the stock indices. We estimated the parameters by the Expectation-Maximization (EM) algorithm and calculated the covariance matrix of the estimates by supplemented EM (SEM) algorithm. Through the likelihood ratio test (LRT), the data fitted the MMJDM better than other models. The empirical evidence indicated that the MMJDM could describe the asset return for asymmetric, leptokurtic, volatility clustering particularly. Finally, we derived different model's valuation formula for DC pension plan with type-I guarantee by Esscher transformation under rate of return guarantees is constant. From the formula, the value of the pension plan could divide into two segment: government supplement and employees deposit made pension to their personal bank account. And then, we done sensitivity analysis through the MMJDM valuation formula. We used Monte Carlo simulations to evaluate the valuation of DC pension plan with type-II guarantee and discussed it from sensitivity analysis.
|
2 |
勞退新制下企業年金保險法制之研究---兼論美國ERISA制度 / A Study of Annuity Insurance Scheme under Taiwan Labor Pension Act---with Special Reference to ERISA高安淇 Unknown Date (has links)
本文係在我國勞退新制改以個人帳戶制及年金保險制中併行下,針對其中年金保險制度之爭議、規範缺失做一整理研究,並參酌美國ERISA對於企業退休計畫之相關法制提出相關建議。
自立法機關確定勞退新制將揚棄過去確定給付制之設計,改以確定提撥制作為企業退休制度之主軸起,勞動法學者即針對確定提撥制對勞工之保障不足,新舊制轉換等爭議提出諸多質疑與討論,但對於其中年金保險制之規劃多僅止於條列介紹而未多加著墨。本研究以敘述性、回顧性之方式將我國與美國之退休金制度作歸納探討,針對目前年金保險制中較有疑義之部分,以比較法之方式進一步檢討,最後提出若干建議。
本研究共分為四個部分,第一部份為我國勞工退休制度之變革。針對我國由確定給付制發展為確定提撥制之風險轉換作一分析,次介紹新制之規範內容。第二部分以美國ERISA法案為中心,對美國企業退休計畫之發展及基本實質規範進一步整理探討,以為後續我國年金保險規範分析之參考。第三部份探討我國企業年金保險之法制爭議,以現行之勞工退休金條例年金保險實施辦法及企業年金保險保單示範條款為基礎,剖析其與保險法及相關子法間之互動。並針對其中有關最低保證收益、非退休給付及退休金運用管理人之忠誠義務等議題,參酌美國之規定進行深入探討。第四部份為結論及相關立法建議。 / This thesis analyzes and examines various issues regarding the anuuity insurance scheme under the modified Taiwan Labor Pension Act (hereinafter the “Act”), which together with the individual account scheme forms the keynote of the retirement scheme under the Act. Moreover, this thesis also provides several suggestions on the Act and relevant regulations with special reference to the Employment Retirement Income Security Act of 1974.
Beginning with the announcement that the prevailing defined benefit retirement program previously in effect under the Act would be discarded and replaced by a new retirement program adopting the spirit of the defined contribution program, scholars specializing in labor law ceaselessly questioned and discussed the inherent deficiency of the proposed defined contribution program as well as various issues regarding transitional measures. Most articles pertaining to the newly presented annuity insurance scheme, however, merely introduced its operation mechanism and provided little commentary. This thesis descriptively and retrospectively studies the pension system of Taiwan and the United States and reviews the discrepancy and other issues in a comparative way. Finally, this thesis will provide several suggestions for relevant issues.
This thesis is organized into four parts. First is the reformation of the labor retirement scheme in Taiwan. This section begins with a risk analysis between a defined benefit and defined contribution program and further elaborates on the related content of the Act. The second part introduces the development of the Employee Retirement Income Security Act (ERISA) in the U.S. and discusses the fundamental regulations of the plan. The third portion of this thesis probes into the legal issues arising from the current annuity insurance scheme, mainly the Enforcement Rules of the Annuity Insurance Scheme under the Labor Pension Act and the Example of the Annuity Insurance Clauses, both being promulgated by the Financial Supervisory Commission, Executive Yuan, and how those regulations coordinate with the Insurance Law and its ancillary regulations. Issues arising from guaranteed minimum returns, non-retirement benefits and fiduciary duty were analyzed through comparative research with special reference to the similar provisions under ERISA. The final portion of this thesis contains concluding statements on the above analyses and offers several suggestions with respect to the current regulations of the annuity insurance scheme.
|
Page generated in 0.0186 seconds