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研究生:陳仁泓
論文名稱:退休金個人帳戶下投資決策與所得替代率之探討
指導教授:王儷玲王儷玲引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:風險管理與保險學系
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2001
畢業學年度:89
語文別:中文
論文頁數:58
中文關鍵詞:退休金計劃確定提撥制所得替代率
外文關鍵詞:Pension PlanDefine Contribution PlanIncome Replacement Rate
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本文主要在探討確定提撥退休金計劃下,投資決策對所得替代率之影響,以提供員工退休規劃及政府政策擬定之參考。首先,我們建構退休金累積模型及所得替代率模型,其中所得替代率之計算是以含通貨膨脹率因子的年金方式給付退休金。然後,將影響退休金累積模型的精算因子:累積期間的投資報酬率,依據過去的月資料配適出其母體分配,以模擬員工未來退休時,使用年金方式給付退休金的所得替代率。本文進一步,提供員工在不同投資報酬下應相對提撥多少百分比,以達到適當的所得替代率水準的參考標準,以滿足員工未來退休時的生活所需。我們以民國87年「勞工退休金條例草案」及台灣投資市場的實証資料進行研究,本研究結果如右:當僱主提撥6%月薪資時,(一)若員工可選擇投資標的,女性、男性員工所得替代率分均值分別介於48%~70%、52%~75%,而且選擇高度風險基金之所得替代率平均值皆較低度風險基金高出45 %,但為了使所得替代率小於60%的機率低於10%,女性、男性員工選擇高度風險基金需較低度風險基金分別多提撥3 %、2 %。(二)若退休基金由勞委會統籌管理,以過去實証平均報酬率8%,計算女性、男性員工所得替代率分別為50%、54%,但為達到60%所得替代率,女性、男性員工需分別相對提撥2 %、1 %。(三)比較「員工可選擇投資標的」與「勞委會統籌分配管理」兩種退休基金管理方式,若員工可選擇投資標的亦有最低保証收益,結果發現員工可選擇投資標的之投資績效及所得替代率皆優於勞委會統籌分配管理。
The thesis investigates the impacts of the employee’s investment decision making on income replacement rate for defined contribution plan. We first construct the pension accumulation model to compute the final retirement benefit under defined contribution plan. Furthermore, the empirical data of the investment returns from mutual fund market and that from Labor Insurance Bureau are utilized to simulate the possible investment returns distribution for employee before retirement. The replacement rate is then calculated by assuming the employee will use his/her final retirement benefit to buy a single premium annuity with inflation index adjustment from the insurance company. Finally, based on simulation results from different scenarios, we suggest a relative employee contribution rate in order for employee to reach his/her objective replacement rate under different risk aversion levels. Our results show:
1.If the employee can make investment decision by investing in the mutual fund market, in average, female employee can have 48~70% replacement rate, while male employee can have 52~75%. We also find the replacement rate for employee selecting the high-risk mutual fund is 45% higher than those for selecting the low-risk mutual fund.
2.If the employee can not make investment decision and Labor Insurance Bureau allocate the pension asset, female employee can have 50% replacement rate, while
male employee can have 54%.
3.Comparing the above two alternatives under the assumption that the employee has minimum guarantee return in both case, we find the first option can generate higher replacement rate for employee.
目 錄
一、研究動機與目的……………………………….………1
二、文獻探討………………………………………….……3
三、模型建構……………………………………….………7
(一)退休金累積模型…………………………….……..…8
(二)所得替代率模型……………………………….…..…9
(三)基金投資報酬率分配………………………….…….10
四、實証研究……………………………………….…..…12
(一)員工可選擇投資標的……………………………..…14
(1)基金淨值平均投資報酬率……………….……….……15
(2)高度、中度、低度風險基金之投資報酬率分配………….…17
(3)模擬投資報酬率及計算所得替代率…...………..…….…18
(4)目標相對提撥率……...…………………………...…18
(二)勞委會統籌管理─委託中信局管理勞退基金………….…21
(三)員工可選擇投資標的與勞委會統籌管理之比較……....28
五、結論與建議……………………………………………32
參考文獻………………………………………….……..…35
附 錄……………………………………………….…..…38
參考文獻
一、中文部份
王琮瑜,1996,”共同基金的類型、規模與其操作績效關係之研究”,交通大學管科所未出版碩士論文。
林妙姍,1998,”確定提撥退休金計劃的應用與相關精算之研究”,政治大學風險管理與保險研究所未出版碩士論文。
唐祖蔭、何憲章,2000,”亞洲國家實質利率均衡及相關模型實證研究”,復華季刊。
陳炳宏,1998,”共同基金投資組合績效之研究”,政治大學企研所未出版碩士論文。
黃鴻文,1999,”共同基金績效評估方法”,政治大學國貿所未出版碩士論文。
二、英文部份
Allen, Everett T., Joseph J. Melone, Jerry S. Rosenbloom and Jack L. Vanderhei, 1997. Pension Planning: Pension, Profit-sharing, and Other Deferred Compensation Plans. New York: The Mcgraw-Hill Companies, Inc.
Bajtelsmit, Vicki L. and Jack L. Vanderhei, 1997. “Risk Aversion and Pension Investment Choices”. Positioning Pensions for the Twenty-First Century. New York: The Mcgraw-Hill Companies, Inc. pp.45-66.
Bernbeim, B. Douglas. 1992. “Is the Baby Boom Generation Preparing Adequately for Retirement?” Technical Report. Princeton, N. J.: Merrill Lynch.
Booth, Philip and Yakoub Yakoubov, 2000. “Investment Policy for Defined- contribution Pension Scheme Members Close to Retirement: an Analysis of the ‘Lifestyle’ Concept”. North American Actuarial Journal, Vol. 4, No. 2.
Chen, R. and K. A. Wong, 1998. “The Adequacy of The CPF Account for Retirement Benefits in Singapore”. Singapore International Insurance & Actuarial Journal Vol. 2, No.1, pp.121-138.
Dufresne, D., 1989. “Stability of pension systems when return are random”. Insurance: Mathematics and Economics, pp.71-76.
Frees, Edward W., Yueh-Chuan Kung, Marjorie A. Rosenberg, Virginia R. Young and Siu-Wai Lai, 1998. “Forecasting Social Security Actuarial Assumptions”. North American Actuarial Journal, Vol. 1, No. 4, pp.49-82.
Gerber, Hans U. and Elias S.W. Shiu, 2000. “Investment for Retirement: Optimal Capital Growth and Dynamic Asset Allocation”. North American Actuarial Journal, Vol. 4, No. 2.
Haberman, S. and Joo-Ho Sung, 1994. “Dynamic Approaches to Pension Funding”. Insurance: Mathematics and Economics, pp.151-162.
Haberman, S., 1994. “Autoregressive Rate of Return and the Variability of Pension Contributions and Fund Levels for a Defined Benefit Pension Scheme”. Insurance: Mathematics and Economics, pp.219-240.
Haberman, S., 1997. “Stochastic Investment Returns and Contribution Rate Risk in a Defined Benefit Pension Scheme”. Insurance: Mathematics and Economics, pp.127-139.
Hu, Wei-Yin and Jason Scott, 2000. “Retirement Planning and Long-Term Risk”. Benefits Quarterly, Brookfield, Fourth Quarter.
Khorasanee, Zaki, 1998, “Deterministic Modeling of Defined-Contribution Pension Funds”. North American Actuarial Journal, Vol. 1, No. 4.
Kleinman, Gary, Asokan Anandarajan and Kenneth Lawrence, 1999. “An analysis of the move toward defined contribution pension plans: Are the rewards commensurate with the risks?”. Journal of Pension Planning and Compliance, Greevale.
Mitchell, Olivia S. and James F. Moore. 1998. “Can Americans Afford to Retire?” New Evidence on Retirement Saving Adequacy. The Journal of Risk and Insurance, Vol. 65, No. 3, pp.371-400.
Moore, James F., and Olivia S. Mitchell. 1997. “Projected Wealth and Savings Adequacy in the Health and Retirement Study”. Working paper 6240, NBER, Cambridge, MA, pp.68-94.
Owadally, I. M. and Steven Haberman, 1999. “Pension Fund Dynamics and Gains/Losses Due Random Rates of Investment Return”. North American Actuarial Journal, Vol.3, No.3.
Palmer, Bruce A., 1988. “The Impact of Tax Reform on Wage Replacement Ratios”. Atlanta: Georgia State University, Center for Risk Management and Insurance Research.
Palmer, Bruce A., 1991. 1991 Georgia State University/Alexander & Alexander Consulting Group RETIRE Project Report. Atlanta: Georgia State University, Center for Risk Management and Insurance Research.
Palmer, Bruce A., 1993. 1993 Georgia State University/Alexander & Alexander Consulting Group RETIRE Project Report. Atlanta: Georgia State University, Center for Risk Management and Insurance Research.
Poterba, James M. and David A. Wise, 1996. “Individual Financial Decisions in Retirement Saving Plans and the Provision of Resources for Retirement”. NBER working paper 5762, pp.1-58.
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