中国城乡居民养老制度可持续性的精算研究

围绕我国城乡居民养老保险体系可持续化问题,从中国实际出发,分层次、多角度的分析了当前我国的养老保险制度.首先,针对中国养老保险基金问题,基于当前养老保险体制,分别从三个层次入手,建立中国城乡居民养老保险基金收支模型;其次,基于养老制度的可持续性,建立了养老金缺口模型,并对养老金缺口的未来趋势进行了合理预测;最后,对所建立的模型进行了评价及推广.     

基于模糊收益率的养老保险基金投资研究

结合中国养老保险基金投资现状,考虑预期收益率是模糊数的情形,利用可能性均值和可能性方差作为投资组合的预期收益率和风险,建立均值-方差组合投资模型.最后,利用lingo软件进行数值分析,表明此模型具有一定的实际应用价值.     

企业退休职工养老金模型

本文讨论了目前我国养老保险体制改革的相关问题。首先,通过分析年工资增长趋势,对其数据进行回归分析,构造出工资的Logistic模型,并预测出职工未来年份的年平均年工资;其次构造养老金替代率模型,并得到多种情况下的替代率;再次,建立养老金缺口模型,用来分析养老金缺口情况以及达到平衡时领取养老金的年数;最后分析得出影响养老金替代率和收支平衡的4个因素,即社会统筹基金的缴费比例、基金收益率、退休年龄和开始缴纳养老保险的年龄,对其进行敏感性分析,并提出一些相应的改进建议。     

时变相关Copula模型在基金风格分析中的应用

基金的投资风格是投资者分析基金考虑的关键要素之一,传统的分析工具基本上局限于静态的、线性的分析方法.时变相关Copula模型作为一种新型的分析工具,不仅可以刻画基金和风格指数之间的相关结构,还能描述它们之间相关性的动态变化情况.首先对时变相关Copula模型的理论基础及建模步骤进行了详细阐述,然后随机选取几只市场综合排名靠前的基金,通过实证研究给出模型的参数估计结果,最后重点解释基金的投资风格划分依据.     

基于随机因子模型的增强型指数基金

创新性的假设传统的Fama-French三因素模型中的三因素为服从正态分布的随机变量,进而获得了股票收益随机变量的分布信息.采取部分复制的原则建立增强型指数基金随机投资组合优化模型,通过引入投资组合风险概率约束给出增强型指数基金的绝对风险上限,针对增强型指数基金建立基于VaR的超额收益概率约束.引入最买入门槛限制降低增强型指数基金的管理费用,增强其流动性.最后,根据股票收益的概率分布特征,获得基于上述约束的指数基金和增强型指数基金的确定性优化模型,并同时基于上证A股进行了实证分析.     

风险管理技术(VAR)在养老保险基金管理中的运用

本文分析了VAR测算模型、VAR测算模型的两种特殊情形、固定收入金融工具与VAR关系等 ,就风险管理技术 (VAR)在养老保险基金管理中的运用作了一些有益的探索 ,为实现养老保险基金的保值奠定良好的基础     

中证开放式基金指数和GARCH-M模型

基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用GARCH-M模型进行研究,系统地分析我国不同类型的开放式基金的投资风险.实证分析表明:GARCH-M模型对中证开放式基金指数周收益率的拟合效果较好,并为预测我国开放式基金的投资风险提供了科学依据.     

可控和稳定视阈下城镇职工养老保险发展分析

以上海市老龄化、高龄化和"渐富快老"趋势日益显著为背景,按照基金收支平衡原则,在分析影响上海市城镇职工养老保险基金收入和支出因素基础上,应用灰色关联度方法选取影响因素,通过GM(1, N)模型建立微分方程进行可控性和稳定性分析.结果表明上海市城镇职工养老保险基金收入和支出是可控的和稳定的,要想保证基金在可控性范围内平稳运营,必须遵循系统论的规则,促进系统内各要素优化配置,通过控制人口机械增长率、扩大城镇职工参保率、提高缴费基数、适当降低养老金替代率等途径,实现养老保险制度的可持续发展.     

农村地区社会养老保险基金交付系统的模型

本文建立农村地区社会养老保险基金交付系统的模型,并用该模型对系统作了分析.     

风险投资基金分段投资优化模型

在集结一般合伙人比较矩阵的基础上建立了风险投资基金分段投资非线性规划模型,并给出了分段投资比例的计算方法。     

一类养老金精算成本模型

本文建立了一类养老金精算成本模型．该模型的基本思想是，当雇员加入养老金计划之后，与雇员的未来服务年限有关的养老金利益的精算现值由雇主（或雇主与雇员一起）用拨款的形式缴清，而与雇员在参加养老金计划之前的过去服务年限有关的养老金利益则另行处理．所以称该模型为应计利益精算成本模型．     

中国基本养老保险替代率精算模型及其应用

利用年金理论并结合1997年国务院《关于建立统一的企业职工基本养老保险制度的决定》文件,得到我国职工在不同缴费年限下基本养老保险替代率精算模型,并利用该模型对基本养老保险替代率进行模拟分析.这对于明确我国当前基本养老保险替代率及完善基本养老保险政策具有重要的理论指导意义和实际应用价值.     

可持续的中国城乡居民养老保险体系数学模型

本文从我国现行养老金政策出发,利用灰关联分析得到养老金收支的影响因素的排序,建立中国城乡居民养老金收支模型.然后利用Logistic人口预测模型估计出不同替代率下2013-2035未来23年我国养老金缺口,并利用仿真方法算出保证我国养老保险体系的可持续性的替代率的合理区间为50%-70%.进一步分析影响替代率各因素的灵敏性,并考虑延迟退休、做实个人账户以及市场化投资等因素对模型进行改进.最后以养老金替代率为切入点,对退休年龄等模型参数的调整和有关措施进行了分析与评价.     

可持续的中国城乡居民养老保险体系的数学模型研究

考虑了替代率、缴费率、人口结构、分年龄段死亡率、经济增速、财政补贴、工资水平、投资效益,引入收缴率、通货膨胀率等当今影响养老保险的活跃因素,建立了"城乡结合"的中国城乡基本养老保险收支跨期叠代模型,并在此基础上进行优化.通过仿真,探讨了替代率和缴费率的合理区间.     

Optimal pension fund management under multi-period risk minimization

In this paper, a multi-period stochastic optimization model for solving a problem of optimal selection of a pension fund by a pension plan member is presented. In our model, members of the pension plan are given a possibility to switch periodically between J types of funds with different risk profiles and so actively manage their risk exposure and expected return. Minimization of a multi-period average value-at-risk deviation measure under expected return constraint leads to a large-scale linear program. A theoretical framework and a solution for the case of the pension system of Slovak Republic are presented.     

基于退休金保险的期权定价

本文引入一种基于退休年金的欧式看涨期权 ,它赋予合约持有者在退休年龄或其它年龄以某一约定的价格 (执行价格 )购买一份退休年金受益的机会 .通过建立相关的精算模型对一些特定情形的定价进行了阐述 ,并与传统的退休金合约进行了比较     

Actuarial model and its application for implicit pension debt in China

Whether the pension system transition is successful is closely related to the accurately accounted IPD amount and rationally solved scheme. China faces the problem of IPD with no exception. This paper uses individual cost method theory, combining Chinese pension system and its operation, builds up the implicit pension debt calculation model, then it measures the Chinese IPD quantity by statistical data. The paper finds out that the average IPD per-year is 39.404 billion Yuan in 2013–2050, the maximum is 185.053 in 2022, the minimum is 0.150 in 2050, and the accumulative IPD will sustain growth with annual growth rate of 7.06% in 2013–2050, from 119.787 billion Yuan to 1497.337 billion Yuan. Finally, this paper proposes the government to raise the legal retirement age, reduce the pension substitution rate, expand the coverage of endowment insurance, improve the investment yield of the pension fund, and so on, to compensate the IPD in China.     

Valuation of risk-based premium of DB pension plan with terminations

This paper concentrates on the premium valuation of pension insurance provided by the Pension Benefit Guaranty Corporation (PBGC). The PBGC provides a defined benefit pension sponsor with coverage in case that the pension fund fails to make pension payments as promised or that the plan sponsor does not stay in business any more. In practice, both the pension fund and the sponsor assets play a critical role in fulfilling the commitment of pension payments, and thereby it is not reasonable to isolate the risk of distress termination of the sponsor assets from that of the premature termination of the pension fund. Different from previous works in which the premature termination of the pension fund and the distress termination of the sponsor assets are analyzed separately, our model examines the situation in which retirees suffer the risk of two types of terminations at the same time. We evaluate the risk-based fair premium under the framework that the pension fund and the sponsor assets are correlated and subject to the risk of the involuntary termination (i.e., premature termination) and the distress termination, respectively. In this framework, we manage to obtain closed-form pricing formulas. Our model is more practical because of the realistic design of termination schemes. Numerical simulations are also carried out to demonstrate our findings. Our numerical experiments validate that a variable rate premium is more appropriate for the PBGC to implement.     

Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework

This paper compares the UK and Dutch occupational defined-benefit pension policies using the holistic balance sheet (HBS) framework. The UK DB pension system differs from the Dutch one in terms of the steering tools and adjustment mechanisms. In addition to the sponsor guarantee, the UK system has the protection from the Pension Protection Fund (PPF) that guarantees DB pension schemes’ funding shortfalls if the sponsors of the schemes are insolvent. The paper first introduces a multi-period model called value-based ALM to value the embedded options implied by both UK and Dutch pension policies and build the HBS. The HBS framework allows us to have a holistic view on the real and contingent assets and liabilities of a pension scheme and evaluate the impact of introducing a new policy for the stakeholders of the pension scheme. Then, we compare the results of a typical UK policy with a typical Dutch one. The comparison suggests the UK policy is better for participants but worse for the sponsor compared to the Dutch policy. The UK policy is more generous in indexation and participants do not have the burden to contribute to the funding recovery of the pension scheme. The PPF provides protection of the benefits up to a certain level if the sponsor is insolvent, thus, participants in a scheme with a UK pension policy are exposed to limited downside risk. On the other hand, the sponsor of the pension scheme with the UK policy shoulders a heavier burden to contribute to the recovery of the pension funding shortfalls than that of the pension scheme with the Dutch policy.