| Reference: | 一、 中文部分
1. 白郁婷，退休基金運作意見調查—基金專業經理人部分，退休基金季刊，第二卷第一期，民90年。
2. 林丙輝，投資組合保險，華泰出版社，民84年初版。
3. 林妙姍，確定提撥退休金計劃的應用與相關精算之研究，國立政治大學風險管理與保險研究所碩士論文，民87年。
4. 張士傑與陳絳珠，企業退休基金之多期最適提撥與資產配置，管理評論，民90年七月。
5.張士傑與鄭欣怡，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，民89年。
6. 陳炤良，俞明德，張傳章與張森林，正常提撥成本之估計-針對薪資相關，雇主提撥之確定給付退休金計劃，管理學報，第17卷第1期，民89年。
7. 陳登源，退撫基金投資哲學與運用概況，公務人員退休撫卹基金監理委員會編印，民87年。
8. 陳登源，退休基金制度設計與委託經營及共同基金市場關係之探討，退休基金季刊，第一卷第一期，民89年。
9. 陳絳珠，連續時間模型下退休基金最適策略之研究，國立政治大學風險管理與保險研究所碩士論文，民89年。
二、 英文部分
1. Bellman, R., (1957). Dynamic Programming, Princeton, N.J.：Princeton University Press.
2. Blake, D., (1998), “Pension schemes as options on pension fund assets: implications for pension fund management.” Insurance: Mathematics and Economics 23, 263-286.
3. Boyle, P. and H. Yang, (1997).”Asset allocation with time variation in expected returns.” Insurance：Mathematics and Economics 21, 201-218.
4. Brennan, M.J., E.S. Schwartz and R. Lagnado, (1997). ”Strategic asset allocation.” Journal of Economics, Dynamics and Control 21(8-9), 1377-1403.
5. Brennan, M.J., Schwartz, E.S., (1982). “An equilibrium model of bond pricing and a test of market efficiency.” Journal of Financial and Quantitative Analysis 17, 301-329.
6. Brennan, M.J., Schwartz, E.S., (1998). ”The use of Treasury bill futures in strategic asset allocation programs.” Worldwide Asset And Liability Modeling, 205-230.
7. Cairns, A. J. and Parker, G. (1997), “Stochastic pension fund modelling.”Insurance: Mathematics and Economics 21, pp.43-79.
8. Cairns, A.J.G., (2000), “Some notes on the dynamics and optimal control of stochastic pension fund models in continuous time.” ASTIN Bulletin 30, No1, 19-55.
9. Chang, S.C., (1999), “Optimal pension funding through dynamic simulations: the case of Taiwan public employees retirement system.” Insurance: Mathematics and Economics 24, 187-199.
10. Chang, S.C., (2000), “Realistic pension funding：a stochastic approach.”Journal of Actuarial Practice 8. 5-42.
11. Chang, S.C. and Chen C.C., (2000), “Applications of risk stochastic control to pension fund management.” Proceedings of the 4th Annual Conference of Asia-Pacific Risk and Insurance Association, Australia Perth.
12. Donald, (1988), Portfolio insurance: A guide to dynamic hedging. John Wiley & Sons ,Inc.
13. Daykin, C. D., Pentikainen, T. and Pesonen, M., (1994), Practical Risk Theory for Actuaries, Monographs on Statistics and Applied Probability 53, London, U.K.: Chapman and Hall.
14. Dufresne, D. (1988), “Moments of pension contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115, pp.535-544.
15. Dufresne, D. (1989). “Stability of pension systems when rates of return are random.” Insurance：Mathematics and Economics 8, pp.71-76.
16. Duffie, D. and R. Kan,（1996）.”A yield-factor model of interest rates.” Mathematical Finance 6. 379-406.
17. Fama, E.F., French, K.R., (1988). “Dividend yields and expected stock returns.” Journal of Financial Economics 22, 3-26.
18. Haberman, S. (1993), “Pension funding with time delays and autoregressive rates of investment return.” Insurance: Mathematics and Economics 13, pp. 45-56.
19. Haberman, S. (1994),“Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme.” Insurance: Mathematics and Economics 14, pp.219-240.
20. Haberman, S. (1997), “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance: Mathematic and Economics 19, pp.127-139.
21. Haberman, S. and Patrick, L. Y. (1997), “Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme,” Insurance: Mathematics and Economics 20,pp.115-135.
22. Haberman, S. and Sung, J. H. (1994), “Dynamic approaches to pension funding.” Insurance: Mathematics and Economics 15, 151-162.
23. Keim, D.B., and Stambaugh, R.F., (1986). “Predicting returns in the stock and bond markets.” Journal of Financial Economics, 17, 357-390.
24. Lintner, J., (1975). “Inflation and security returns.” Journal of Finance 30, 259-280.
25. Merton, R.C., (1971). “Optimum consumption and portfolio rules in a continuous time model.” Journal of Economic Theory 3, 373-413.
26. Merton, R.C., (1990). Continuous-Time Finance, Blackwell, Cambridge.
27. Mossin, J., (1968). “Optimal multi-period portfolio policies.” Journal of Finance 41, 215-229.
28. Mulvey, M. John and William T. Ziemba, (1998). “Asset and Liability Management Systems for Long-Term Investors: Discussion of the Issues.”Worldwide Asset and Liability Modeling, Cambridge.
29. O’Brien, T.V. (1986). “A stochastic-dynamic approach to pension funding.” Insurance：Mathematics and Economics 5, 141-146.
30. O’Brien, T.V. (1987). “A two-parameter family of pension contribution functions and stochastic optimization.” Insurance：Mathematics and Economics 6, 129-134.
31. Samuelson, P., (1969), “Lifetime portfolio selection by dynamic stochastic programming.” Review of Economics and Statistics, 239-246.
32. Sorensen, C., (1999) “Dynamic asset allocation and fixed income management.” Journal of financial and quantitative analysis 34, No.4, 513-531.
33. Sherris, M., (1995). “The valuation of option features in retirement benefits.” Journal of Risk and Insurance 62, 509-534.
34. Shimko, D.C., (1992). “The valuation of multiple claim insurance contracts.” Journal of Financial and Quantitative Analysis 27, 229-246. |
