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。 本研究著重於探討如何數量化退休基金經營的穩定性與安全性，陳述隨機控制理論的觀點，應用動態規劃的發展結果，建立基金於離散時間的動態回饋控制模型，仔細探討並說明Haberman與Sung (1994)及Chang (1999a)所定義基金管理者的風險測度，使退休基金最主要的兩種經營風險，亦即提撥穩定性的風險（contribution rate risk）和財務清償的風險（solvency risk）能夠於基金財務規劃的期限內達到最小值，風險測度可提供決策者客觀衡量基金經營時的風險指標，表達有別於會計帳面之財務數字外有效的財務資訊。利用最適化的概念與給定參數及遞迴條件的限制下，計算基金於財務規劃期間內的最適提撥金額。 最後，我們以台灣公務人員退撫基金為研究對象進行數值分析，由實例分析的流程我們詳細探討最適化理論與實際財務評估的應用過程，且最適的結果可以提供退休基金決策者更詳盡且及時的財務資訊，輔助退休基金管理者於多期決策的擬定過程。 / 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. The study emphasizes on quantifying the mismanage risks in pension valuation. The stability and solvency issues are included in our financial risk management. Stochastic control is also reviewed and the methodology of the dynamic programming is explored. The performance measure proposed in Haberman and Sung (1994) and Chang (1999a) are employed to scrutinize the contribution rate risk and solvency risk. The risk measurement can provide extra information in disclosing the risk index for the plan sponsor. The results gain operative information besides the traditional accounting reporting. The optimal contribution based on managerial consideration can be implemented through dynamic mechanisms under the given demographic and economic parameters and the plan recursive constraints. Finally, Taiwan public employees retirement system (Tai-PERS) is illustrated to investigate the optimal results and funding levels through the proposed model. The optimal results can response the updated financial information and assist the plan manager in policy making under the multi-frameworks.

本文分析現在的退休金制度和老年經濟安全保障的情形，同時討論家庭所得來源的趨勢，並推估未來退休後所需的費用。最後提供予個人儘早為自己做一些規劃與準備的建議。老年經濟安全保障在台灣地區因為各項因素的影響，顯得十分不足，經由收集資料並分析比較後，以15～64歲的人口來看老年經濟安全三層的保障情況，其中佔4％的軍公教人員有較完整的退休保障制度；佔50％的勞工人口，在第一層的保障中，於2000年平均勞保老年給付每人658,273元。又因為制度未臻完善，第二層之保障只有1～2％的人可以領到退休金。此外，佔有7％的農民在年滿65歲之後，只有不完整的第一層保障，即每月3,000元的老農津貼可領。其他39％的人是未參加公保、勞保或農保等任一項社會保險的。也就是有95％的人是需要儘早規劃退休後的經濟準備。面對大環境中的財政赤字及個人平均壽命的增長，子女親朋經濟支援的減少等等因素，更顯得及早規劃老年經濟安全的迫切性。 關鍵詞：老年經濟安全保障、退休金、國民年金、生活費用推估、所得替代率 / This study focused on investigation and evaluation of the pension system and economic security program in Taiwan. For indviduals, the trend on home income and the required expense for the future retirement were discussed and estimated. Becaurs of several factors, the program of old-age economic security in Taiwan area seems not sound. For this topic, the work force, between 15 and 64 ears old, are taken into account, There are three tiers for the program of old-age economic security, which anr social security and benefit, pension, and individual saving. One of hte finding was that public officials, about four percent of the work force, benefit much more form the pension system and old-age economic security program. The labores, about 50 percent of the work force, have the everage amount NT$658,273 for the 1^st-tier social security and benefit in 2000. Due to the unsound system and the qualiication problem, less than two percent of the laborers can obtain the 2^nd-tier pension. Beside, farmers, about seven percent of the work force, can obtain the 1^st-tier social security and benefit until they are 65 years old or more. Those qualified farmers can obtain NT$3,000 each month. Other individuals are not enrolled in any social insurance and pension program. The public welfare system can hardly cover the economic needs for the aged individuals. Therefore, 95 percent of the work force should plan their own retirement welfare programs in advance to secure thir economic safety. Key words: Old-age Economic Security, Pension, Citizen Beneficiary, Living Expensee Estimate, income replacement rate

本研究主要以Cox 迴歸模型為主軸，以1995年7月1日至1999年5月7日公務人員退撫基金成員:公務人員及教育人員為研究對象，分析影響基金成員各項脫退的個別變數，並量化所擇取之變數的影響，以估計各個基金成員的脫退率。同時針對現有基金成員，評估退撫基金短期現金支出並分析之。實證結果發現：藉由Cox迴歸模型之分析可知，相異的脫退因素，被不同的迴歸變數所影響著，且各個變數對各項脫退的影響程度亦存在著差異。短期現金支出的評估結果顯示，各項給付支出，以退休給付的支出佔最大的比例，次為資遣、死亡及離職給付。而人數比例較少的教育人員，其脫退給付支出金額，高於公務人員之給付支出。 略 / Cox regression model is proposed in this study to investigate the demographic factors (i.e., gender, age, seniority, salary scale and the entry date) that influence the turnover pattern of the plan members. This research has focused on the government employees and public school teachers in Taiwan Public Employees Retirement System (Tai-PERS). Quantitative analyses on turnover are performed through monitoring and selecting the significant factors in Cox regression model. Finally based on the current members in Tai-PERS, the short-term cash outflow is projected. Based on the empirical results, different causes of turnover (i.e., death, withdrawal, layoff and retirernent) are influenced by the selected factors. Significant differences have been found within the various causes of decrements. Result from the short-term cash outflow shows that the payment due to retirement has the largest proportion. Then follows the payment amount due to payoff, death and withdrawal if we rank them in order. In additions, the total payments of the public school teachers are larger than those of the government employees, while the plan members of the public school teachers are comparatively less.

人口高齡化之現象係現代各國所面臨的重要社會問題之一，及政府與民間共同關切之人口發展趨勢，其所引發的社會性、政治性、經濟性、文化性議題，已逐漸成為現代工業化國家公共政策之焦點。由於醫療保健技術進步及生活水準提高，使得人類平均壽命延長，導致老年人口佔總人口的比例逐年遞增，而形成人口老化現象，在世界各國人口逐漸老化之際，我國也面臨相同的問題，據統計資料顯示，臺灣地區在民國82年底已邁入了聯合國所謂的「老人國」(即65歲以上人口占率超過7%)之社會發展階段，且人口老化之現象正不斷地在持續之中，未來人口結構高齡化之現象將直接並持續衝擊我國現有之政經結構，且此在一衝擊下之影響，將會日益擴散至公共事務各層面，形成各種對政府與社會之危機與挑戰。此一人口老化以及平均餘命增加之高齡化社會現象，對我國公共人事行政影響最著者，首推公務人員退休撫卹制度。公共人事行政管理系統，始於公務人員甄選之考試任用，終於退休撫卹之辦理，因此退休撫卹制度自是人事行政的重要環節。本研究擬針對現代社會高齡化之趨勢，就有關退撫制度之理論與公務人員退撫制度相關文獻進行探討，進而檢視我國歷代文官之退撫體制，並比較研究各國退撫制度之內容與實施情形，做為本研究之參考架構，復就我國原退撫制度之內容進行敘述和說明，藉以做為瞭解新制之基礎，另針對新制之建制背景及制度內容進行分析，並論及有關退撫基金管理營收以及制度規畫之議題，最後並檢視我國退撫制度的政策內涵及其相關措施，並提出改進建議，俾以規畫一符合現代社會安全需求與發揮公共人力資源管理效能之公務人員退休撫卹制度，做為發展國家與建立安定和諧之社會的基礎。

本文採用LIBOR市場利率模型評價確定提撥制退休金計畫所附之收益率保證，此保證收益率連結至隨機LIBOR市場利率，在相關的文獻上(特別在隨機利率方面)，尚未有相關的研究。本文同時考慮兩種保證型態：到期日保證與多期保證，運用平賭過程理論，在延伸之LIBOR市場利率模型(ELMM)下推導此兩種保證的理論公式解。相較於其他利率模型或HJM模型，採用ELMM所推得之評價公式更適合於實務運用。為供實務運用，文中並探討如何進行參數校準，亦進行蒙地卡羅模擬以驗證模型理論解的準確性。 / We derive the pricing formulas for the guarantees embedded in defined contribution (DC) pension plans with the guaranteed minimum rate of return set relative to a LIBOR interest rate. The guaranteed rate associated with a stochastic LIBOR interest rate has not yet been studied in the relevant literature, particularly in the presence of stochastic interest rates. An extended LIBOR market model (LMM) is employed to price the interest rate guarantees embedded in DC pension plans under maturity and multi-period guarantees. The pricing formulas derived under the extended LMM are more tractable and feasible for practice than those derived under the instantaneous short rate models or the HJM model. Calibration procedures are also discussed for practical implementation. Monte Carlo simulation is provided to evaluate the accuracy of the theoretical results.

台灣集團企業中到大陸工作的台籍幹部,因就業地點在大陸而需適用大陸基本養老保險制度及勞動合同法下的養老保險金及經濟補償金, 再因台籍幹部的指揮考核權在所謂集團總部的台灣而需適用台灣勞動基準法及勞工退休金條例下的退休金及資遣費,此舉除了加重勞資雙方的負擔外,也直接影響台籍幹部的就業機會.本論文係檢討台籍幹部適用兩岸退休金及資遣費制度而衍生出來的亂象,透過法律層面及實務運作的分析,提出針對台籍幹部職銜,薪酬及勞動契約之合法及合理規劃.

世界各國人口結構持續改變，高齡化社會正逐漸成形，退休金制度的良窳已成為一國人口未來福利是否受到保障的最關鍵因素。各國政府勞退制度之改革最普遍的就是推動以「確定給付制」改為「確定提撥制」。我國勞工退休金政策亦於2005年7月正式實施勞工退休金新制，以「個人退休金專戶」為中心的「確定提撥制」逐漸取代「確定給付制」之勞退舊制。惟與其他國家最大不同是我國退休基金的管理與運用乃由政府統籌辦理，屬於集中管理模式；反觀先進國家勞工退休金其會員則可依個人風險承擔程度自由選擇投資不同類型退休基金，故自我國勞退新制實施以來，勞工是否傾向自行決定退休金運用方式就值得探討。然2008年金融海嘯發生，勞退基金首次發生虧損，勞工退休金開放自行選擇投資組合是否依然可行？ 本研究之研究方法包括文獻分析法，藉由世界主要國家退休金制度的變革，了解國際間對於勞工自行選擇退休金運用方式之概況與趨勢發展，並比較主要各國運用方式，發現目前國際間採用確定提撥制的國家已多數可由勞工自行選擇退休基金方案；另外採行問卷調查，針對全國總工會之勞工代表與幹部以問卷方式調查其對勞工退休基金運用的看法，發現大部分工會代表在金融海嘯前後均傾向選擇自選，而在教育程度與年齡等變項發現達到顯著性之水準。爰依本研究結論，建議勞工主管單位，應研擬逐步開放的方式推行，且儘速使勞工依個人風險承擔程度，自由選擇不同類型退休基金，並適時給予所需之教育訓練。 / The structure of the world population continues to change; an aging society is gradually taking shape. The virtue of the pension system has become the most critical factor in the future welfare of a country's population. The most of the world‘s governments labor pension system of reform is to promote the "defined benefit" to "defined contribution" system. The new labor pension policy in Taiwan was implemented in July 2005. The individual pension accounts "defined benefit" system was gradually replaced by "defined contribution". But the Taiwan's pension fund management belonging to the centralized management model; which was different with the other countries. On the other hand, other advanced countries, labor pension of its members can choose to invest in different types of pension funds according to personal risk degree of freedom. So the Taiwan’s labor whether the tendency to decide pension use since the implementation of the new labor fun system is worth exploring. In this study, literature analysis was used. We find the international workers to choose the pension use of profiles and the trends by reviewing change of the world's major national pension system. We also found that using defined contribution system in the world the pension fund program was chosen freely by the majority workers. In addition, by using the questionnaire survey of labor representatives and cadres of the China Federation of Trade Unions, we found that the majority of union representatives tend to select the optional before and after the financial tsunami. The level of education and age variables to reach a significant level. In accordance with these conclusions, we recommended that the labor unit in charge opening the way to implement should be developed gradually. To bear the degree of labor as soon as possible according to individual risk, freedom to choose different types of pension funds, and timely given the required training.

本研究以2005年勞退新制為例，探討資遣費對資遣率之影響。在勞退新制實施之後，資遣費的給付額度不僅大幅減少，還多了上限，因此，基於資遣費往往被視為雇主所直接面對的資遣成本，資遣率是否會受到勞退新制中資遣費改變的影響，為本研究欲探討分析的議題。本研究資料來源為人力運用擬-追蹤調查資料庫，研究方法使用差異中之差異法(difference in differences)，並依據員工是否適用於勞基法，將樣本劃分為實驗組與對照組進行分析。實證結果顯示，資遣費對於資遣率並無顯著的影響力，因此政府若希望資遣費制度能有預防雇主任意資遣員工的效果，則現行的資遣費制度可能無法達到此目標，而未來是否需要針對資遣費進行修法仍有討論空間。 / This study uses the 2005 Labor Pension Act (LPA) in Taiwan as the quasi-experiment to analyze the impact of severance pay on the layoff rate. After implementation of LPA, severance pay is reduced significantly and constrained by an upper boundary. Since severance pay is often considered as the firing cost, whether the layoff rate is affected by the largely reduced severance pay is what this study expects to analyze. Data used in this study are drawn from the Manpower Utility Quasi – Longitudinal Survey (MUQLS). In order to apply the difference in differences method, the observations are divided into the treatment group and the reference group according to the coverage of the Labor Standards Act (LSA). The empirical results suggest that severance pay has no significant impact on the layoff rate. Therefore, if severance pay is expected to prevent the arbitrary layoff, the current severance pay system might not achieve this goal and some modifications of this system might be necessary.

本論文應用數學規劃建立符合我國法令規範與投資政策說明書之投資政策及風險管理的資產負債管理模型。主要的討論對象為國民年金、公務人員退休撫卹基金與新制勞工退休金。模型中主要透過資產配置的收益與提撥收入維持現金流的平衡，以支應現在或未來的負債。在提出的模型中，採取維持最低基金公積率的策略，以確保長期的償付能力。當償付能力不足時，以政府撥補或是修正提撥率處理巨額的虧損。且使用機率限制式將發生不足的風險控制在可接受的範圍內。因此本論文提出的模型為多階段的有補償的混和整數隨機規劃模型。

University of Macau / Faculty of Social Sciences and Humanities / Department of Government and Public Administration