In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to benchmark the return of the underlying fund. In this thesis, we apply multivariate GARCH models with Gaussian and non-Gaussian noise to project the future investment scenarios of the fund. We further conduct a simulation study to investigate the difference, among the proposed multivariate models, in the valuation of the Guaranteed Minimum Maturity Benefit (GMMB) option. Based on the pre-data analysis, the proposed multivariate GARCH models are data driven. The goodness-of-fit for the models is evaluated through formal statistical tests from univariate and multivariate perspectives. The estimation and associated practical issues are discussed in details. The impact from the innovation distributions is addressed. More importantly, we demonstrate an actuarial approach to manage the guarantee liability for complex segregated fund products.

In the context of the guarantee liability valuation, the sophisticated fund-of-funds structure, of some Canadian segregated fund products, often requires us to model multiple market indices simultaneously in order to benchmark the return of the underlying fund. In this thesis, we apply multivariate GARCH models with Gaussian and non-Gaussian noise to project the future investment scenarios of the fund. We further conduct a simulation study to investigate the difference, among the proposed multivariate models, in the valuation of the Guaranteed Minimum Maturity Benefit (GMMB) option. Based on the pre-data analysis, the proposed multivariate GARCH models are data driven. The goodness-of-fit for the models is evaluated through formal statistical tests from univariate and multivariate perspectives. The estimation and associated practical issues are discussed in details. The impact from the innovation distributions is addressed. More importantly, we demonstrate an actuarial approach to manage the guarantee liability for complex segregated fund products.

In this thesis we have studied the relationship between mutual fund size and performance by studying 91 Swedish mutual funds during a six year period (2006-2011). Furthermore, we investigated the relationship between fund size and management fees and fund size and persistence in performance. The fund sample has been divided into five subgroups in order to compare and analyze funds with different fund sizes for the whole six-year period as well as two three-year sub periods. Our results are based on regressions and significance tests and for all the five subgroups and over the whole time period our results indicate that there is no significant relationship between fund size and fund performance that is robust over time. Our findings also show that there is no persistence in performance for any of the size-based fund groups which helps us to draw the conclusion that past performance is not a good measure for predicting future performance regardless of the size of the funds. The results also indicate that mutual funds with a larger asset base tend to have lower management fees than smaller funds.

A lot of relevant literature indicates that stock market returns for the non-linear because the stock market is volatility asymmetry. To explore the impact between the stock and macroeconomic variables, it is necessary to analyze by nonlinear model, otherwise they will be a model set of problems. I adopt a threshold autoregressive modle to analyze the relationship between the ETF return on the exchange rate and economic growth. In this study, the ETF return is the threshold variable. First, in order to rearrange the linear test regression (Arrang Regression) with the F-statistic testing whether the nonlinear effect of the grid search to find the residual sum of squares, determine the optimal threshold of backward and thresholds value. To identify the threshold, it is estimated a two-regime model analysis in positive and negative reward, the correlation between exchange rate and ETF returns Spillover effect to explain economic growth for the ETF returns and how it affects, then the data drawn into a grid map, find the number of possible structural transition point, and finally AIC formula to calculate the value of the two -regime with the three-regime model of AIC and the minimum value is the optimal model.

More and more events and anomalies that have happened in recent years cannot be explained by traditional models, which leads to a pervasive doubt of the effectiveness of the efficient market hypothesis. In particular, over ninety percent of Taiwan¡¦s stock market investors are individuals, and the noise trading phenomenon is very common and has a great effect upon the return of stock. Hence, the measure of investor sentiment formed by noise traders becomes a task for the researcher studying the factors which effect the stock return in Taiwan. The objective of this paper is to find the investor sentiment proxy variables which can be a significant factor in explaining stock return. This analysis adopts the arbitrage pricing model of the macroeconomic factors. The sample contains data for most listed stocks on the Taiwan Stock Exchange from 1984 to 2002. By combining the stock or company characteristic related to the noise traders¡¦ perception, including market value, stock and etc., and phenomenons effect by investor sentiment, including closed-end fund discount, initial returns on IPOs, and number of IPOs to the arbitrage pricing model , we found that closed-end fund discount and initial returns on IPOs are significant and appropriate to investor sentiment proxy variables. However, the number of IPOs is not significant enough

Along with the non-profit organizations¡]NPOs¡^play an important role day by day in Taiwan , people¡¦s regarding of NPOs operation still pause in traditional impression¡Gthe volunteer and the board without pay raise funds. People just don¡¦t know that general middle or large-scale NPOs have set fund-raising department and recruited professional fund-raisers. Thus, it can be seen that fund-raisers are so important to NPOs. But there is a phenomenon of keeping talented persons uneasily. Therefore, investigator tries to cut in the topic of motivation to discuss a problem of changing job incentives of fund-raisers. The research interview managers and fund-raisers of eight middle and large-scale NPOs in Taiwan to comprehend NPOs operation and find relation between job incentives of fund-raisers and organization motivations. Finally, investigator discusses mystifications of fund-raising in NPOs. Now we have the following conclusions¡G 1.The general operation model of NPOs is that starting from organization mission to develop service plans, and then provide to fund-raisers to pack with marketing and public relation strategies to raise funds to support service. And achieve organization missions finally. 2.General job incentives of fund-raisers to enter NPOs are ¡§ideals of helping people¡¨and ¡§seek for a job¡¨.But fund-raisers prefer to choose realizing ideals rather than high-pay. 3.Fund-raisers¡¦ incentives of staying are internal motivations, such as ¡§see service fruition and realize ideals of helping people¡¨,¡§job achievement¡¨, ¡§autonomy¡¨and¡§moved¡¨. 4.During the process of working, the key point of organization motivation is job design¡]job enrichment, job rotation, job enlargement and team work¡^, which make fund-raisers gain mission and recognition. Sometimes leaders use mission leadership strategy to inspire fund-raisers. Most of NPOs apply MBO and performance evaluation to motivate the staff at the same time, but there¡¦s usually no effect. 5.Due to NPOs must compete with non-profit trade generally, there are three mystifications¡G(1) dazzle mission and supremacy of raising funds, (2) over-depend on subvention to aggrandize firm, (3) add service to reflect social needs.

The retirement system for teachers is a return and guarantee educators earn after they have devoted their life to educating young people and retire. The law governing the retirement of school teachers and employees was promulgated by the government in June 1944, in which the government alone paid for the pension for the retirees. In response to the times and changes in social and economic conditions, the law has been revised from time to time and some matching measures have been implemented. In 1995, a retirement system of reserve deposit was adopted, in which the government and teachers should jointly share the burden, indicating that the economic environment had deteriorated and government finance became less desirable. In analyzing the changes in the retirement system for teachers, we have summarized some problems of the retirement system for teachers. Research findings: Only government employees, teachers, military personnel and concerned government agencies join in policy discussions over the retirement system for teachers, which is a policy unique to a closed social environment and lacks a process of public deliberations. As the distributor of benefits, the country should take care of the needs of all walks of society. The country should not make every effort only to increase the benefits for retired government employees, military personnel, and teachers, motivated by vote consideration, at the sacrifice of social equality and justice. The current ¡§Law of Retirement of School Teachers and Employees¡¨ is contradictory to the ¡§Law on Teachers¡¨ promulgated in 1995. The selective value of the government is contradictory to the universality of equality and justice. The premeditated concept of the system deprives teachers of their free will to retire. For the present, 8%-12% of a teacher¡¦s twice base salary is deposited as the retiring fund. In a few years, the fund will be depleted and debts will incur as a consequence. Sustainable operation will be impossible, which is contradictory to the self-sufficient principle of retiring fund deposits. The study came up with the suggestions: relevant legislation, separation of government service and teaching, the retirement system for teachers should be revised so as to agree to the Law of Teacher promulgated in 1995, getting rid of the outdated thinking of government service and teaching as a whole, distinguishing the personnel management system for government service and teaching which are different; integrating the current disorganized retirement payment system so as to plan according to the three-tier retiring payment system put forth by the World Bank in establishing an economic guarantee system for elder people. At the first tier, the government offers subsidy and insurance to achieve the compulsory public retiring allowance plan that is aimed to redistribute the income and eliminate poverty. The second tier refers to the system in which the trade guarantees the retiring allowance of employees, i.e. the ¡§trade annuity.¡¨ The government compels the employers of each trade to provide the retiring allowance for their employees and prepare the retiring allowance for employees through appropriation and savings. The third tier refers to spontaneous personal savings and investment behaviors for retirement finance.

To numerous laborer friends, pension fund is an important foundation which they rely heavily on for living after retirement. Since the start of the new pension fund system, management and manipulation of the fund becomes rather important. This article mainly focuses on the study of explicit delegation for designated management of the pension fund. It refers to relevant standards and probes to see if the management conforms to the requirement of the Constitution based on an explicit principle. Furthermore, it attempts to find out the similarities and dissimilarities between the two systems for law requirement on delegation for designated management. It also looks into the current delegation system to identify existing problems, and whether these problems such as deputy, systematic, and information opaque problems, are the causes of occurrence of unidentified problems. In addition, what is the standard of explicit delegation? What is the clear definition of contents, purpose, and scope of laws and regulations? Why information needed to be made known to the public? How delegation for designated management of the pension fund should be to correspond to the principle of explicit? What will be the consequences if principle of explicit is not corresponded with? These are the questions to be studied and discussed in this paper. This paper refers to and reviews the current operation modes of the United States, Singapore, and Hong Kong, hoping to gain experiences from these countries, and to take the experiences as a reference for Taiwan¡¦s implementation of the system. In conclusion, this paper provides a possible way of pension fund management based on the following premises: 1. establish a clear and definite achievements index system, 2. public information periodically, 3. set up mutual indemnity fund, 4. free selection and free switch, 5. issue index fund for laborers to choose.

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.

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