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This thesis studies three asset allocation strategies under a defined-contribution pension plan: Buy-and-hold (BH), constant mix (CM), and time-invariant portfolio protection (TIPP). First in this paper, the actuarial assumptions follow Frees et al (1998), as well as Chang and Lin (1999): the age of the beneficiaries is between 25 to 65 and follows the uniform distribution. As to the investment environment, the portfolio includes a risk-free asset, certificate deposit (CD), and a risky asset--the stock. The interest rate of CD is fixed and the return of stock varies according to 14 scenarios. Then the concept of an open-ended fund is applied to compute the NAV (Net Asset Value) of three strategies for each month and a model of defined-contribution pension funds was developed. Moreover, this thesis also discussed the relationship between the trends of the stock and the changes of stock weights, as well as the terminal wealth of pension fund and the income-replacement ratio under each asset allocation strategy. The characteristics and timing of each strategy can be investigated clearly. Finally, the input parameters derived from the data of historical stock market in Taiwan is used to implement Monte Carlo simulation so that the study of the performance of asset allocation strategies can go more close to reality. The endeavor and results of this thesis will be a useful reference to facilitate both the government and private sector to manage the pension fund.

To establish the pension system is to ensure the life of old men. To compare the other pension systems of main countries, the old-aged economics security should adopt three-pillar system in Taiwan. This thesis puts emphasis on the empirical study of the importance of Taiwan pension fund asset allocation and attempts to develop a proper process of asset allocation decision as the reference of the pension fund sponsors when they are dealing with this task. The process of asset allocation decision could be divided into two parts: forming the efficient frontier and selecting the optimal asset allocation. This research suggests the readers to use quadratic programming techniques, which is introduced by Markowitz in 1956, to calculate the efficient frontier. With the changes in the financial situation and the coming of new information, pension fund sponsors should re-perform the process of asset allocation decision periodically to obtain the updated optimal asset allocation. The result of putting restrictions on the ratio of investment items is that the limited portfolio will reduce the utility and return relatively. As for raising the ratio of current assets, the standard doesn¡¦t increase obviously. To impress that pension fund should be in accordance with its need and object to keep appropriate current assets. Furthermore, pension fund sponsors should raise the weight of stocks and bonds to improve the performance. Pension fund sponsors who entrust risky assets to the professional institutions to manage will enhance the performance of investing, but we can¡¦t obtain the data of risk. In the future, the performance should be measured continually and join the risk to analyze.

Over the past three decades, employer-sponsored 401(k) plans have grown in popularity as they have proved to be a valuable benefit employers can provide to employees and tax-deductible expense that employers can easily account for on their books. However, a major concern around these plans is that they have come to take the place of traditional pension plans offered by employers, forcing employees to assume full responsibility for their retirement savings. This paper evaluates the overall effectiveness of 401(k)s at the top 50 companies in the Fortune 100, examining participation rates, account balances, and employer contributions. It concludes that employees that have 401(k)s at these 50 companies fare much better than the average American with regard to retirement savings. Nonetheless, the substitution of traditional pensions with 401(k) plans by companies in the United States is problematic. Employees, which previously could rely on a company pension in retirement, are unintentionally delaying retirement due to a lack of savings. Furthermore, a growing number of workers without retirement savings will certainly put a strain on Social Security funds in the coming decades.

There are two labor insurance pension systems running in Taiwan at this moment in time; the labor insurance pension runs by the government, and the labor standards law pension system both old and new systems are the responsibility of the private companies. The labor insurance pension was introduced in 1950. Through the years due to the population ageing; people are living longer and having fewer children, the rapid changes of economy and etc. the original lump sum pension is no longer enough to sustain a standard of living for the worker-retirees. Moreover, the rate of the labor turnover is high for the reason that the majority of Taiwanese private companies are small to medium enterprises with the average life expectancy of around 13 years only. Therefore most of the workers who work for the private companies are not qualified to claim pensions after their retirements although they are covered by the labor standards law pension scheme. The pension provision intends to prevent poverty in old age but under this circumstance those retirees are not having their financial security in the old age and are creating social issues. To reinstate this issue, the labor insurance pension system has carried out by the government in January 2009, after a major update of the labor standards law pension system in July 2005, the method of repayment has changed from the defined benefit plan to the defined contribution plan in addition to allowing the qualifying years carry forward to the new employers when the workers change jobs. Furthermore, the pension repayment is revolutionized from a single lump sum payment to an individual retirement account system complemented by monthly repayments. All of these changes are to secure the worker-retirees financially in their old age. The objectives of this study disclose the transformations of the labor retirement insurance pension systems in Taiwan and the existing modification of the Labor Insurance Act, the benefits of the Labor Standards Act pension system along with the revised Labor Pension Act. A few important factors below have been concluded in this study after analysed the revise of pension benefits systems: First of all, the repayment has changed from a single lump sum payment to monthly repayments. Secondly, the method of repayment has changed from the defined benefit plan to the defined contribution plan. Finally is to determine who are safeguarded? The protection of the social insurance is not only for the small specific groups of people but the majority of individuals. As a result, nowadays the labor pension benefits systems in Taiwan have achieved the task of securing a standard living for the retired workers. The concept of this study is to learn the affect of the changing of the economic climate and increased life expectancy on the possible forthcoming pension¡¦s crisis followed by constructive proposals to anticipate the existing labor insurance pension systems meet the needs of the worker-retirees and achieve the objectives of sustainable management of the pension systems and maintain a secured society in Taiwan.

A reforming trend is captured showing that countries are shifting from defined benefit pension systems towards defined contribution systems. The reforms have been justified through predictions that the defined benefit systems will not manage to provide good enough pensions to members in the future. The newer defined contribution pension plans often include individual financial accounts where individuals have the possibility to choose how a part of their pension savings should be invested. Sweden was early to introduce such a system, which at the moment provides more than 800 funds to choose from. The aim of this thesis is to capture the market risk associated with these individual investments and does so by using Monte Carlo simulations for six selected pension funds. The method produces forecasts of replacement ratios, pension as percentage of pre-retirement income, for two hypothetical individuals: one who starts to work right after elementary school and one individual who starts a five year education and after graduation starts to work. The results show a slightly lower replacement ratio for the educated individual, which also is associated with a higher probability of ending up with a low replacement ratio. The market risk also varies between the funds, which implies that the funds should be chosen with great care. The study ends with arguments for an increasing paternalism with a carefully considered fund offering, providing fewer funds to choose from than today.

Due to the combined impact of global population aging, increased life expectancy, fertility decline, and changing family structures, a growing segment of the population facing retirement is in danger of poverty and economic insecurity. As a result of their advanced age many elderly have lost their ability to earn an income, causing some to be penniless the rest of their lives. Therefore, the purpose of a government or a private run pension system is to provide a mechanism using financial tools to protect the entire structure for old age economic security. This paper not only introduces the philosophy and basic concept of a general pension system, but also examines a United States model, providing a closer look at a major developed industrial country’s national social security program, and corporate pension system. It also describes the experience of reforms on the development process of the United States retirement pension system. This paper studies the various corporate pension schemes in the United States and their possible application as models to countries such as Taiwan. In focusing on the United States corporate pension system in private sector, legal and economic issues are scrutinized. Theories which related to the pension system are first analyzed; then the definitions of the various retirement plans are given. The history of private pension schemes of the United States is told, starting with the American Express, then crude railroad retirement plans to the post-war demand to current United States retirement plans. Analysis of the changes in private sector's pension plan participation for defined benefits and defined contribution plans are examined in light of the impact these changes have made upon retirement income resources. Focus on the IBM Corporation is made as an example of a private sector business in the United States, and this study tracks the evolution of the company’s pension schemes from defined benefit pension plans to the newer hybrid cash balance pension plans and the now-popular defined contribution 401(k) pension plans. Findings show that the United States corporate pension system is not feasible as a model at this time because of its many deficiencies in its laws and regulations, and also because of the currently shaky global economy. Suggestions and possible remedies are given on how to strengthen the corporate retirement pension system in United States.

論文摘要: 本研究以現金餘額計劃（Cash Balance Plan）及確定提撥退休金計劃（Defined Contribution Pension Plan）建構出公務人員退撫基金之建議機制，建構之主要目的在於透過第一層現金餘額計劃之利息給付機制降低退休基金利率風險，同時由第二層確定提撥計劃獲取額外退休所得，使雇主與員工在双層式退休金計劃下，同時承擔投資風險，以降低基金利率風險並同時滿足適當退休所得保障。本文在現金餘額計劃不同控管年限及利息給付假設下，模擬超額積蓄（Overfunded）基金與不足額積蓄（Underfunded）基金執行資產負債管理（Asset Liability Management）所需存續期間，同時模擬双層式退休金計劃提供員工之退休所得替代率，研究結果發現： 1、超額積蓄基金及不足額積蓄基金均可以在目前資本市場中找到符合所需存續期間之資產投資。在控管20年限內，超額積蓄基金所需存續期間在-1.71年到0.39年之間；不足額積蓄基金所需存續期間在4.68年到8.31年之間。 2、退休基金越接近超額狀態越有利於資產負債管理。當基金積蓄狀態越接近超額積蓄時，基金負債與資產的比例較不足額積蓄基金低，故資產負債管理所需存續期間較短，對於基金能夠控管的年限也越長。 3、雇主可透過現金餘額計劃利息給付機制執行百分之百免疫策略。雇主可利用現金餘額計劃利息給付依據外部債券利率為參考依據的特性，鎖定債券利率，達到資產負債管理百分之百免疫效果。 4、現金餘額計劃執行百分之百免疫策略情況下，45歲以下公務人員採行自動選擇投資基金（Default Fund）為高風險投資基金，自動選擇提撥率（Default Rate）為每月薪資5.08﹪，可使員工達到適當所得替代率保障水準。 / Abstract This thesis proposes an new alternative two-tier pension composed of Cash Balance Plan (CBP ) and defined contribution pension plan to the traditional defined benefit pension plan of Taiwan Public Employee Retirement System(TPERS). In order to decrease the interest-rate risk of the pension fund and to provide additional retirement income protection, we utilize the credit rate mechanism of CBP and supplement CBP with additional defined contribution plan. We investigate the Asset-Liability Management (ALM) for TPERS and calculate the liability duration under different time horizons, interest credits of CBP. We also simulate the replacement rate of the two-tier pension plan under different contribution rates, and investment returns. The results are as follows: 1、Given the twenty-year time horizons, the asset duration of overfunded plan ranges between –1.71 years and 0.39 years, whereas that of underfunded plan varies from 4.68 years to 8.31 years. In this case, the requirements of asset duration can be satisfied in the Taiwan Capital Market. 2、The overfunded pension plan has higher probabilities to meet the requirements of asset duration. Therefore, we suggest that the fund manager can increase the asset allocation percentage of external fund management in order to improve the long-term returns. 3、Perfect matching of pension fund can be achieved by matching the yield of securities to interest credit under CBP . In addition, we suggest that the interest credit of the new labor contracts should take the trend of the current interest rate into consideration. 4、Replacement rates provided by CBP for woman range from 19.05﹪ to 45.70﹪and from 20.86﹪to 50.05﹪for man assuming the interest credit rate is 5.2%. To increase the retirement income, the defined contribution plan provide additional replacement rate between 13.56﹪and 162.96﹪for woman and between 14.85﹪and 178.42﹪for man assuming the employee can contribute 3.08 percent to 13.37 percent of regular salaries and investment returns are from 4 percent to 8 percent .

摘要 傳統由家庭負責的老年經濟安全在老年人口日益增加，子女數目的減少及產業結構改變的衝擊下已漸漸的暴露出問題的嚴重性。其責任也漸漸地由家庭轉移到整體社會。世界各國政府多將如何確保老年經濟安全列為主要的施政內容，我國自然也不例外。證諸已開發國家的實際情況，大多以多層次的年金體系（multi－tier pension system）提供老年經濟安全完整的保障。近年來也有多位學者發表文章以探討如何利用這種多層次的年金架構達成各種社會及經濟目標。 就我國現行的狀況來看，即將開辦的國民年金由於給付水準偏低，只能對老年生活提供基本的保障，且由於計劃成員包含了全體國民，所規定的內容與給付的年金無法完全滿足個別成員的不同偏好，對採行確定給付制的公共計劃來說，由於給付與提撥之間並沒有明確關聯，若提撥率太高的話，對勞動誘因與產出將會有不利影響，再加上政府財政負擔與政治力干預的考量，在在都顯示出了職業退休金制度在老年生活保障上的不可或缺性。 相對於基礎年金計劃，政府對職業退休金計劃的介入程度通常較淺。政府通常藉著租稅優惠鼓勵企業提供，員工參與退休金計劃。此外，由於計劃中存在著訊息不對稱、外部性與獨占力等會造成市場失靈的因素，這使得政府有必要以管制者的身分對此失靈現象加以矯正。透過政府的管制尚可增進計劃的安全性與公平性。就目前多數OECD國家的管制經驗來看，管制的內容可以區分為資產、負債與其他方面三類。 我國目前雖然已經有完整的規範勞工退休的法令，但由於法規內容陳義過高，在實際情況下，有很多規定並無法落實，有很多規定則不合時宜。例如，我國法令並未強制企業以合理的方法對退休金進行提撥，以致普遍存在著提撥不足的現象。在計劃清償債務能力之保證、賦益權與可攜性與訊息揭露方面之管制現行法令往往不合時宜，甚至沒有規定。這使得大多數勞工退休後的生活無法獲得確實的保障，雇主也因為低估退休金成本而忽略退休金之潛在負擔，以致對將來的營運方針無法作整體的規劃。對於上述這些管制方面的問題，正在行政院審議中的「勞工退休金條例」草案已經為受勞基法規範行業的雇主與本國籍勞工規劃出一個可行的解決方案。但由於該條例尚未生效且適用的對象與範圍皆受限制，因此，並無法完全解決目前的難題。 由於上述的管制對員工退休金權益保障的落實有非常重要的影響，目前國內已有的研究很少且不夠完整，本文的主旨在以OECD選樣國家歷年來在勞工退休所得保障方面所遭遇的困難，及其在解決問題的對策方面所做的努力來作為改善我國勞工退休所得保障制度的借鏡。並透過對現行退休制度與「勞工退休金條例」草案的比較以檢視問題獲得改善的程度。 目錄 第一章 緒論------------------------------------------------------1 第一節 研究動機與研究目的---------------------------------------1 第二節 研究範圍與研究限制---------------------------------------3 第三節 研究大綱-------------------------------------------------4 第二章 職業退休（年）金計劃的必要性--------------------------6 第一節 老人福利需求與經濟安全保障的重要性-----------------------6 第二節 現階段老年經濟安全所面臨的威脅---------------------------7 第三節 老年年金的功能與性質------------------------------------12 第四節 職業退休（年）金制度應該扮演的角色----------------------14 第三章 職業退休（年）金計劃的歷史演進及種類----------------21 第一節 職業退休金的歷史演進與發展-------------------------------21 第二節 職業退休金計劃的種類-------------------------------------22 第三節 確定給付計劃與確定提撥計劃-------------------------------25 第四節 選樣OECD國家之職業退休金現況----------------------------39 第四章 政府對退休金計劃在資產方面的管制--------------------47 第一節 政府對退休金基金加以管制的必要性-------------------------47 第二節 政府在提撥基金方面的管制措施-----------------------------48 第三節 政府對賸餘資產所有權歸屬的管制---------------------------68 第四節 政府對投資組合的管制-------------------------------------70 第五章 政府對退休金計劃在負債及其他方面之管制-------------76 第一節 政府對計劃清償退休金債務的能力保險之管制-----------------76 第二節 政府對退休金計劃在賦益權及可攜性方面之管制---------------85 第三節 政府對退休金給付的指數化之管制---------------------------92 第四節 其他與政府管制有關的問題---------------------------------93 第六章 我國勞工退休（年）金管制問題之檢討-------------------103 第一節 我國勞工退休所得保障制度之沿格-------------------------103 第二節 我國現行勞工退休金制度所面臨之問題---------------------106 第三節 勞工退休金條例草案內容分析-----------------------------121 第七章 結論與建議---------------------------------------------125 參考文獻--------------------------------------------------------128 附表-----------------------------------------------------------------------133 圖表目錄 圖（1-1）本文架構圖------------------------------------------------------------------5 表（2-1）台灣地區人口結構與扶養比之變遷--------------------11 表（2-2）台灣地區勞動人口比例--------------------------------11 表（2-3）職業退休（年）金制度應該扮演的角色---------------20 表（3-1）確定給付計劃與確定提撥計劃之比較------------------36 表（3-2）選樣國家公共年金與職業年金之給付水準-------------39 表（4-1）選樣國家政府對退休金計劃在資產方面管制之比較----74 表（5-1）選樣國家政府對退休金計劃在負債方面管制之比較---100 表（6-1）民國73至87年間我國就業人口之轉業情形----------105 表（6-2）勞基法新增規定之內容-------------------------------105 表（6-3）我國現行退休金計劃的基金提撥方式-----------------107 表（6-4）近年來勞退基金各項用途及獲益情形-----------------117 表（6-5）民國七十六至民國八十四年各基金之績效評估表-----118 表（6-6）勞退基金與壽險業之投資限制比較-------------------118 表（6-7）勞退基金之資金運用比率表--------------------------118 表（6-8）台灣人壽保險資金運用比率表------------------------119 表（6-9）選樣國家與我國對退休金計劃管制之比較------------120 表（6-10）我國之退休金現制與退休金條例草案之比較---------124 附表一-----------------------------------------------------------133 附表二 每年薪資增加率---------------------------------------

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.