城镇职工养老保险随机模型研究

构建了包含个人、企业、政府等市场参与者相互制衡的城镇职工养老保险随机模型,该模型涉及了储蓄、工作期消费、个人养老金账户、工资、退休后消费共5个随机变量;利用ITo引理证明了随机微分方程解的存在性,唯一性,利用2010-2014年中国有关宏观数据,对5个变量进行了动态模拟,并对部分参数变动对模型的影响进行分析,得出了储蓄替代率和人口出生率与两期消费正相关,两者的小范围变动不会影响两期消费的趋势等结论.

A Stochastic Model for Endowment Insurance of Urban Employees

This paper presents a stochastic model for endowment insurance of urban employees by balancing the expenses among individuals,enterprises,governments and so on.To do so,the five stochastic variables-the deposits,the consumptions during work,the individual pension accounts,the wages and the consumptions after retirement-are used to establish a differential equation.Then,existence and uniqueness of the stochastic differential equation are proved by resorting to the Ito's lemma.Thereafter,the relevant macro data of China from 2010 to 2014 is used to dynamically regression as well as sensitivity analysis of the five stochastic variables.The conclusion that the savings replacement rate,the birth rate is positively related to the two-stage consumption,and their small-scale changes do not affect the trend of the two-stage consumption.