This master{\crq}s thesis deals with the issue of the pension system in relation to the demographic development in the Czech Republic. In describes the pension system from its very beginning until the effective legislation regulated by Act No. 155/1995, on Pension Insurance. The Czech pension system is based on two pillars {--} the basic obligatory system of pension insurance where the principle of social solidarity is applied and that is based on continuous funding (PAYG), and the voluntary private pension scheme with a state contribution. The private scheme is conceived as individual savings and is based on capital funding. The financial balance of the pay-as-you-go system where the expenditures on the benefits for current pensioners are immediately paid from the funds of those who are economically active to a critical extent depends on the rate between the number of pensioners and the number of contribution payers. As the expenditure on old-age pension accounts for the highest share in the expenditure on pension insurance, the rate between the number of pensioners and the number of contribution payers is primarily determined by the age structure of the population. Similarly to all developed countries, the development of the age structure of the population of the Czech Republic is marked with ageing of population as a result of the stagnating or decreasing fertility and extension of the lifespan. Benefits derived from the period of insurance and generated earnings are then paid from the pension insurance. They include old-age pension, disability pensions, and survivors{\crq} pensions. The aim of this thesis was not only to map out the current situation, but to define pros and cons of effective legislation related to pension insurance based on interviews with employees of district social security administrations, taking into account the demographic development in the Czech Republic. It also aimed at establishing the opinion of the lay public on the operation of the existing system and providing it within the context of the answers given by the expert public. To achieve these objectives, the qualitative method of document analysis and questioning was applied. Research techniques included a secondary data analysis and a half-standardised interview. The reviewed set comprised 11 officers at pension departments of district social security administrations and 11 respondents from among the lay public. The results of the research show that the current setting of the pension system is regarded as rather negative. The changes that must be made must be comprehensive and going across multiple systems; with a functioning labour market and stable background for families with children being an utmost necessity. It is also necessary to change the thinking of the citizens of the Czech Republic where one should no longer rely on the state only, but build on a responsible approach to one{\crq}s life and provide for oneself with one{\crq}s own founds for any social event, not only including the loss of income due to old age. The opinions of the expert and lay public were the same in more than 80%. With respect to the information obtained, this thesis might be a useful contribution to the discussion on other legislative changes in the pension system with a subsequent positive impact when applied in practice.

本文研究美國退休福利保險公司(PBGC)保險價值的計算,延伸 Marcus (1987)模型,提出狀態轉換過程保險價值模型計算,也就是將市場分為兩種情況,正成長率視為正常狀態,負成長率為衰退狀態,利用狀態轉換過程評價 PBGC 契約在經濟困難而終止和介入終止下合理的保險價值。在參數估計方面,本文以 S&P500股價指數和一年期國庫券資料參數估計值及Marcus(1987)和Pennacchi and Lewis(1994)的方式給定參數,以 EM-PSO-Gradient 延伸 EM-Gradient 方法並以最大概似函數值、AIC 準則和 BIC 準則比較估計結果。最後固定其他參數, 探討狀態轉換過程保險價值模型對參數調整後保險價值的影響之敏感度分析。 / In this paper, we evaluate Pension Benefit Guaranty Corporation insurance values through regime switching models, which is the extension of the models of Marcus (1987). That is, we can separate periods of economy with faster growth from those with slower growth when observing long-term trends in economy and calculate the reasonable PBGC insurance values under distress termination and intervention termination by regime switching processes. We set parameters by estimating S&P 500 index and 1-year treasury bills by EM-PSO-Gradient, which is the extensive method of EM-Gradient and refer the methods of setting parameters from Marcus (1987) and Pennacchi and Lewis (1994). After that, we compare the maximum likelihood estimates, AIC and BIC of the estimative results. Finally, we do sensitivity analysis through given the other parameters and look into what would impact on our models of insurance values when adjusting one parameter.

為因應人口老化及少子化趨勢所帶來之長期經濟生活保障問題，政府於98年1月1日施行新制勞工保險，將年金給付納入保險制度。對於98年1月1日前有勞保年資且年資達十五年以上之勞工，於退休時可選擇舊制下的一次請領老年給付或是新制的老年年金給付。因此，需探討以一次請領或年金給付方式何者對勞工較為有利。本研究以流動性與內部報酬率之角度來分析探討勞工保險新制下一次給付與年金給付之差異，比較年金給付理論上須提供之流動性溢酬(liquidity premium)與勞保新制下年金給付實際上所提供的內部報酬率(隱含長壽收益，ILY)，以提供退休勞工選擇之參考。研究結果發現，在1.5到3的風險趨避係數之間，無論投保年資、平均月投保薪資與性別，年金給付之隱含長壽收益扣除無風險利率後皆高於所應提供之流動性溢酬，比例大約在2到38.9。其中最低投保年資十五年之ILY最高(1,984~2,633 b.p.)，之後隨年資遞減，年資超過三十年以上之ILY又開始遞增。在投保年資二十年以下，最低投保薪資提供較高的ILY。比較男性與女性之差異，女性之流動性溢酬與ILY皆高於男性。由以上結果顯示，勞工於退休時選擇請領老年年金給付方式較佳。 / In order to build up a complete Labor Insurance pension protection system and offer the insured person or insured person’s dependents long term living care, the system has added pension benefits on January 1, 2009. After the implementation of Labor Insurance pension program, the insured that has insurance coverage before January 1, 2009 could select the old-age one-time benefit or monthly pension benefit when they retire. Therefore, which benefit approach is better is an important concern for retiree. In this study, we take the concept of the liquidity premium and the implied longevity yield (ILY) to compare the old-age one-time benefit and pension benefit. The results show the ILY minus the risk-free rate would greater than the liquidity premium no matter what the insurance coverage years, insurance salary, gender, and the coefficient of relative risk aversion from 1.5 to 3, the ratio of the ILY to liquidity premium is about 2 to 38.9. Second, the insured with 15 coverage years has highest ILY (1,984~2,633 b.p.). Then the insured with lowest insurance salary and less than 20 coverage years could earn the highest ILY. Finally, the results indicate the female have higher ILY from annuitized pension benefit than the male. Overall, we find out that the implied longevity yield is higher than the liquidity premium under the old-age pension benefit. It would encourage insured to choose the old-age pension benefit when he/she retires.

Made available in DSpace on 2016-04-26T20:27:11Z (GMT). No. of bitstreams: 1 Marcia Maria Correa Munari.pdf: 437803 bytes, checksum: 6ed793597e77c6e8f0abfa5c74e3fb72 (MD5) Previous issue date: 2008-05-14 / The work establishes an analysis on behalf of the Constitution Law about the public welfare pension benefit. First, it develops the historical evaluation of the Constitutionalism and the death pension in the Brazilians Constitutions. Then, it gives emphasis to the Constitution of 1988 and the right of the integrality of the death pension left by the civil servant, regarding jurisprudence. It deals, afterwards, with the public welfare reforms that turned into the Amendments 20/98 and 41/03, with approach towards the tribute problem and the situations inflicted by the summit wage. At the end, it outlines the relation lead by the principle of Juridical Security and the public death pension / O objeto deste estudo compreende uma investigação, sob a ótica do Direito Constitucional, no regime próprio do funcionalismo público visto pelo prisma da pensão previdenciária por ele deixada. De início, fornecerá um panorama histórico evolutivo do Constitucionalismo, bem como do benefício post-mortem nas Constituições brasileiras. Em seguida, aprofundar-se-á na análise da Carta Maior de 1988, com destaque à disposição constitucional, no tocante ao pagamento da integralidade da pensão por morte e decisões judiciais acerca do tema. Abrangerá, posteriormente, as reformas previdenciárias que culminaram com as inovações introduzidas pelas Emendas Constitucionais 20/98 e 41/03, com aporte no problema das contribuições vertidas para o sistema e nas situações impostas pelo teto remuneratório. Por fim, delineará uma breve abordagem da imbricação do princípio da segurança jurídica, na esfera da pensão previdenciária pública