English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 111314/142224 (78%)
造訪人次 : 48359115      線上人數 : 1024
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/128158


    題名: 考量隨機利率下物價連動保證對退休金制度年金成本評價之分析
    Effect of Inflation on the Cost of Inflation-Linked Annuities Considering Stochastic Interest Rate and Inflation Rate Models
    作者: 黃泓智
    Huan, Hong-Chih
    陳芬英*
    Chen, Fen-Ying
    楊曉文
    Yang, Sharon S.
    貢獻者: 風管系
    關鍵詞: 物價連動年金; 利率風險; 通貨膨脹風險 ; 遠期利率模型 
    inflation-linked annuity; interest rate risk; inflation risk ; forward interest rate model
    日期: 2019-08
    上傳時間: 2020-01-10 11:12:46 (UTC+8)
    摘要: 為保障退休金給付的實質購買力，提供具有物價連動的年金為常見的設計，然而該設計也會增加退休金制度之年金成本，在年金改革因應財務健全性中也是需了解的因素。本研究的主要目的將分析不同年金設計的成本比較，包括普通年金、與物價連動的年金、具上限型的物價連動年金及具下限型的物價連動年金，並導出一理論解模型，該模型為一般化模型，在特定的參數設定下，可以變成與通貨膨脹無關的年金模型、一般與物價連動的年金模型、上限型的物價連動年金模型、下限型的物價連動年金模型。數值結果得知當上限或下限的門檻值提高，年金的價格大多也隨之增加；波動度的敏感度大致比相關係數的敏感度高，本研究的架構可以提供台灣退休金制度及年金改成本分析的參考。
    To protect the real income from retirement pensions against the risk of inflation, developing an annuity model that can be linked to the inflation index is necessary. Although inflation-linked annuities increase the cost of retirement pensions for governments, the risk posed by inflation to retirement annuities must be understood. In this paper, an inflation-linked annuity with a cap and floor model is developed. The model is a general form that can be reduced to special forms such as ordinary annuities, inflation-linked annuities without barriers, inflation-linked annuities with a cap model, and inflation-linked annuities with a floor model. Interest rate risk and inflation risk are considered within the model. Furthermore, we derive a closed-form solution for the model. The valuation framework can benefit annuity providers to understand the cost of inflation-linked annuities. The empirical results indicate that the prices of the annuities with cap and floor generally increase when the cap values increase. In addition, the sensitivities of volatilities are larger than those of the correlation coefficients. The valuation framework can benefit annuity providers to understand the cost of inflation-linked annuities.
    關聯: 臺大管理論叢, Vol.29, No.2, pp.29-59
    資料類型: article
    DOI 連結: https://doi.org/10.6226/NTUMR.201908_29(2).0002
    DOI: 10.6226/NTUMR.201908_29(2).0002
    顯示於類別:[風險管理與保險學系] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML2410檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋