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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/34099


    Title: 公務人員退休制度資產負債管理與退休所得替代率之模擬分析—以双層式現金餘額兼採確定提撥計劃為例
    Authors: 陳麗如
    Chen, Lih-Ru
    Contributors: 王儷玲 博士
    Wang, Jennifer L.
    陳麗如
    Chen, Lih-Ru
    Keywords: 現金餘額計劃
    確定提撥退休金計劃
    資產負債管理
    所得替代率
    Cash Balance Plan
    Defined Contribution Plan
    Asset Liability Management
    Replacement Rate
    Date: 2002
    Issue Date: 2009-09-18
    Abstract: 論文摘要:
    本研究以現金餘額計劃(Cash Balance Plan)及確定提撥退休金計劃(Defined Contribution Pension Plan)建構出公務人員退撫基金之建議機制,建構之主要目的在於透過第一層現金餘額計劃之利息給付機制降低退休基金利率風險,同時由第二層確定提撥計劃獲取額外退休所得,使雇主與員工在双層式退休金計劃下,同時承擔投資風險,以降低基金利率風險並同時滿足適當退休所得保障。本文在現金餘額計劃不同控管年限及利息給付假設下,模擬超額積蓄(Overfunded)基金與不足額積蓄(Underfunded)基金執行資產負債管理(Asset Liability Management)所需存續期間,同時模擬双層式退休金計劃提供員工之退休所得替代率,研究結果發現:
    1、超額積蓄基金及不足額積蓄基金均可以在目前資本市場中找到符合所需存續期間之資產投資。在控管20年限內,超額積蓄基金所需存續期間在-1.71年到0.39年之間;不足額積蓄基金所需存續期間在4.68年到8.31年之間。
    2、退休基金越接近超額狀態越有利於資產負債管理。當基金積蓄狀態越接近超額積蓄時,基金負債與資產的比例較不足額積蓄基金低,故資產負債管理所需存續期間較短,對於基金能夠控管的年限也越長。
    3、雇主可透過現金餘額計劃利息給付機制執行百分之百免疫策略。雇主可利用現金餘額計劃利息給付依據外部債券利率為參考依據的特性,鎖定債券利率,達到資產負債管理百分之百免疫效果。
    4、現金餘額計劃執行百分之百免疫策略情況下,45歲以下公務人員採行自動選擇投資基金(Default Fund)為高風險投資基金,自動選擇提撥率(Default Rate)為每月薪資5.08﹪,可使員工達到適當所得替代率保障水準。
    Abstract
    This thesis proposes an new alternative two-tier pension composed of Cash Balance Plan (CBP ) and defined contribution pension plan to the traditional defined benefit pension plan of Taiwan Public Employee Retirement System(TPERS). In order to decrease the interest-rate risk of the pension fund and to provide additional retirement income protection, we utilize the credit rate mechanism of CBP and supplement CBP with additional defined contribution plan. We investigate the Asset-Liability Management (ALM) for TPERS and calculate the liability duration under different time horizons, interest credits of CBP. We also simulate the replacement rate of the two-tier pension plan under different contribution rates, and investment returns. The results are as follows:
    1、Given the twenty-year time horizons, the asset duration of overfunded plan ranges between –1.71 years and 0.39 years, whereas that of underfunded plan varies from 4.68 years to 8.31 years. In this case, the requirements of asset duration can be satisfied in the Taiwan Capital Market.
    2、The overfunded pension plan has higher probabilities to meet the requirements of asset duration. Therefore, we suggest that the fund manager can increase the asset allocation percentage of external fund management in order to improve the long-term returns.
    3、Perfect matching of pension fund can be achieved by matching the yield of securities to interest credit under CBP . In addition, we suggest that the interest credit of the new labor contracts should take the trend of the current interest rate into consideration.
    4、Replacement rates provided by CBP for woman range from 19.05﹪ to 45.70﹪and from 20.86﹪to 50.05﹪for man assuming the interest credit rate is 5.2%. To increase the retirement income, the defined contribution plan provide additional replacement rate between 13.56﹪and 162.96﹪for woman and between 14.85﹪and 178.42﹪for man assuming the employee can contribute 3.08 percent to 13.37 percent of regular salaries and investment returns are from 4 percent to 8 percent .
    Reference: 參考文獻
    一、中文參考文獻(按姓名筆劃順序排序)
    1、陳仁泓(2001),「退休金個人帳戶下投資決策與所得替代率探討」,政治大學風險管理與保險研究所碩士論文。
    2、陳宏仁(1999),「參數模型與取樣差異於退休金財務評價之研究」,政治大學風險管理與保險研究所碩士論文。
    3、彭愛蘋(2001),「公務人員退休撫卹基金之資產負債管理」,政治大學風險管理與保險研究所碩士論文。
    4、張士傑、鄭欣怡(2000),「公務人員退休撫卹基金之精算評價與長期財務檢視”,退休基金季刊」,第一卷第一期,2000年8月,頁47。
    5、張勝忠(2002),「台灣退休金制度與年金保險之金錢價值與所得替代率探討」,政治大學風險管理與保險研究所碩士論文。
    二、英文參考文獻(按字母順序排序)
    1、Allen, Everett T., Joseph J Melone, Jerry S. Rosenbloom and Jack L. VanderHei (1998), Pension Planning:Pension, Profit-Sharing, and other Deferred Compensation Plans, New York:The Mcgraw-Hill Companies, Inc..
    2、Ando, Albert, and Franco Modigliani(1963),“The Life Cycle Hypothesis of Saving: Aggregate Implications and Tests. ” American Economic Review, 53(1): 53-84 .
    3、Benartzi, Shlomo and Richard Thaler(2001),“Save More Tomorrow: Using Behavioral Economics to Increase Employee Saving,”University of California-Los Angeles Working Paper .
    4、Bodie and Mitchell(1996), .“Pension Security in an Aging World.” In Securing Employer-Based Pensions. Bodie, Mitchell. and Turner .Eds.. pp.1-29.
    5、Boskin, M. J. and J. B. Shoven(1987),”Concept and Measures of Earnings Replacement Rate During Retirement” In Bodie, Shoven, and Wise ed., Pensions and Retirement In the United States. Chicago:University of Chicago press for NBER:113-41 .
    6、Brown, J.R. (2001), ”Private pension, mortality risk and the decision to annuitize” Journal of public Economics. Vol 82, Issue l. pp 29-62.
    7、Choie, Kenneth S. (1992), “Caveats in Immunization of Pension Liabilities.” Journal of Portfolio Management, Winter, pp.54-69.
    8、Clark, Robert L. and Sylvester J. Schieber. (2000), “ Taking the Subsidy Out of Early Retirement: Converting to Hybrid Pensions.” Pension Research Council Working Paper 1000-9. Philadelphia, PA; Wharton School.
    9、Good, Jeremy.(2000), “Some Financial Implications of US Pension Actuarial methods and Assumptions”. Unpublished PhD dissertation, Wharton School. Philadelphia, PA.
    10、Gokhale, Jagadeesh, Laurence J. Kotlikoff, and John Sabelhaus.(1996).“ Understanding the Postwar Decline in U.S. Saving: A Cohort Analysis.” Brookings Papers on Economic Activity,1:315-407.
    11、Gustman, Alan L., Steinmcier, Thomas L(1999), ”Effects of pensions on saving: Analysis with data from the health and retirement study.”Carnegie-Rochester Conference Series on Public policy, 50:271-324 .
    12、Choi, James J., David Laibson, Brigitte Madrian, and Andrew Metrick. (2002).”For Better or For Worse: Default Effects and 401(k) Savings Behavior” Pension Research Council Working Paper 2002-2. Philadelphia, PA: Wharton School.
    13、Kopp, S. J. and L. W. Sher(1998),“A Benefit Value Comparison of a Cash Balance Plan with a Traditional Final Average Pay Defined Benefit Plan,” The Pension Forum 11(1), Society of Actuaries:9.
    14、Kusko, Andrea L., James M. Poterba, and David W. Wilcom.(1998), ”Employee Decisions and 401(k) Plans.” In Living with Defined Contribution Pension. Mitchell, Olivia and Sylvester Scheiber.ed. .Eds. Pension Research Council. University of Pennsylvania.
    15、Lantry, Terry L,(1997), "Defined contribution: Is it right for public pension plans? "Employee Benefits Journal, Brookfield; Dec; Vol. 22, Iss. 4.
    16、Logue and Rader,(1998),“Managing Pension fund Risk.” In Managing Pension Plan. Logue, Dennis E. and Jack S. Rader .Eds. Harvard Business School Press ,pp.201-225.
    17、Macaulay, Frederick R.(1938),The Movement of Interest Rates, Bonds, Yields, and Stock Prices in the United States Since 1965, New York: Columbia University Press.
    18、Mitchell, Olivia S. and Sylvester Schieber.(1998).“Defined Contribution Pensions: New Opportunities, New Risks.”In Living with Defined Contribution Pension. Mitchell, Olivia and Sylvester Sscheiber .Eds. Pension Research Council. University of Pennsylvania.
    19、Mitchell, Olivia S.(2002), ”Redesigning Public Sector Pensions In Developing Countries” Pension Research Council Working Paper 2002-9. Philadelphia, PA: Wharton School.
    20、Modigliani, Franco, and Richard Brumberg.(1954).”Utility Analysis and the Consumption Function: An Interpretation of Cross-section Data.“ In Post Keynesian Economics. Kurihara, Kenneth K. Eds. New Brunswick, NJ: Rutgers University Press.
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    22、Mitchell, Olivia S. and James F. Moore(1998),”Can Americans afford to retire? New evidence on retirement saving adequacy “, Journal of Risk and Insurance, Sep.
    23、Redington, F.M. (1952),”Review of the principle of Life Office Valuations.” Journal of the Institute of Actuaries, 78, pp. 236-340.
    24、Richard and Clyde.(1980).“Immunization of pension funds and Sensitivity to Actuarial Assumptions.” Journal of Risk and Insurance, Vol. 47. Issue 2. pp 55-58.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    90358001
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090358001
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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