English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140891 (78%)
Visitors : 46235124      Online Users : 1164
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/84194


    Title: 彙集年金：理論、設計與定價
    Other Titles: Pooled Annuity Scheme: Theory, Design, and Valuation
    Authors: 謝明華
    Contributors: 風險管理與保險學系
    Date: 2012
    Issue Date: 2016-04-12 17:23:18 (UTC+8)
    Abstract: 近年來，通過個人退休儲蓄帳戶的引進,，公司和公共福利年金有一個重大的轉變。 確定給付制 (Defined benefit) 轉換為確定提撥制 (defined contribution)。為確保他們的退 休生活的品質, 個人變得更依賴於其退休儲蓄計畫中累積的資產價值。因此，新的處境 是由退休人員自己承擔長壽和投資風險。經由個人的風險偏好，可控制投資風險的大 小。因此，更重要的問題是解決退休人員的長壽風險。傳統的生存年金提供此問題的 解決方案之一。然而, 此解決方案的主要缺點是生存年金過於昂貴。解決由保險公司因 銷售傳統生存年金而承擔的長壽風險問題的一種可能方法是使用類似唐提聯合年金保 險計畫。然而增加被保險人的人數，通常無法減少系統性的長壽風險。因此，新的彙 集年金設計必須考慮到這些問題，以獲得唐提聯合年金保險計畫 (tontine scheme) 的預 期成效。在此專案中，我們希望提供嚴謹的定量技術分析這些問題。布朗橋近似，蒙 特卡羅模擬和變異數縮減都在技術菜單上。
    In recent years, there has been a big shift from corporate and public defined-benefit (DB) pension plans to a defined-contribution (DC) structure through the introduction of personal savings accounts. Individual become more relies on the value of assets they have accumulated in his/her savings plans to fund their retirement. Therefore, both longevity and investment risks are being borne by the retirees. Investment risks can be controlled by individuals’ risk preference. Thus, it is a more important question to choose the financial arrangements to convert accumulated lump sums into retirement incomes. Traditional life annuities provide one of such solution. The main drawback to this solution is that annuities are expensive. One possible way to alleviate the longevity risk borne by the insurance company that issues traditional life annuities is using tontine-like annuity scheme. With increased pool size, common systematic longevity risk still cannot be reduced. Therefore, new group pooling arrangement must take into account these issues to achieve the effectiveness of tontine-like schemes. In this project, we wish to provide robust quantitative techniques for analyzing these problems. Brownian bridge approximation, Monte Carlo simulation and variance reduction are on the menu.
    Relation: 計畫編號 NSC101-2410-H004-062
    Data Type: report
    Appears in Collections:[風險管理與保險學系] 國科會研究計畫

    Files in This Item:

    File Description SizeFormat
    101-2410-H004-062.pdf1307KbAdobe PDF2393View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback