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    政大機構典藏 > 理學院 > 應用數學系 > 學位論文 >  Item 140.119/85495


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85495


    Title: 隨機控制理論應用於退休基金之研究
    Applications of Stochastic Control Theory in Pension Fund Management
    Authors: 何嘉綺
    Contributors: 張士傑
    何嘉綺
    Keywords: 提撥率
    退休基金
    隨機控制
    動態規劃
    風險測度
    contribution rate
    pension fund
    stochastic control
    dynamic programming
    risk measurement
    Date: 2000
    Issue Date: 2016-04-18 16:31:41 (UTC+8)
    Abstract: 提撥原則是固定給付退休基金所必須特別重視的經營策略，提撥率為基金贊助者定期提撥於未來成員退休給付的準備金。過高的提撥率會造成基金管理上的財務壓力，退休金計劃採行相對提撥方式，將同時加重基金贊助者與基金成員的財務負擔，而過低的提撥率則會造成退休給付的準備金不足，將使退休基金未來面臨無力清償成員退休給付的困境，因此適當且長期穩定的提撥原則成為退休基金決策者的經營目標，而必須特別重視基金的財務風險管理。
    Funding policy is the crucial management decision in the defined benefit pension schemes. The plan sponsor is required to calculate the contribution rate and accumulate in advance as he reserve for the future contingent retirement and ancillary obligations for the plan members. High contribution results an accelerating financial burden for the plan sponsor, while low contribution might endanger the financial solvency of the plan. The appropriate and stable contributions become the goal of the plan manager in setting up his funding policy. Hence financial risk management in attaining the goal is especially vital to be examined.
    Reference: 1. 中文部分
    葉錫欽，我國公務人員退撫基金提撥率之研究，私立輔仁大學應用統計研究所碩士論文，1997年6月。
    2. 英文部分
    Anderson, A W. (1992) Pension Mathematics for Actuaries, ed. Winsted, Connectinct：Actex Publication.
    Astrom, K. J.（1970）. “Introduction to Stochastic Control Theory.” Academic Press, New York.
    Chang, S. C. (1999a）.“Optimal pension Funding Through Dynamic Simulations：the Case of Taiwan Public Employees Retirement System.” Insurance：Mathematics and Economics 24：189-199.
    Chang, S. C. (1999b). “Stochastic analysis of the solvency risk for TAI-PERS using simulation based forecast model.” Singapore International Insurance and Actuarial Journal 3 (1)：65-81.
    Chang, S. C. (2000). “Realistic pension funding：a stochastic approach.” Journal of Actuarial Practice (in press).
    Dufresne, D.（1988）. “Moment of pension fund contributions and fund levels when rates of return are random.” Journal of the Institute of Actuaries 115：535-544.
    Dufresne, D.（1989）. “Stability of Pension Systems When Return Are Random.” Insurance：Mathematics and Economics 8：71-76.
    Haberman, S.（1994）. “Autoregressive Rates of Return and Variability of Pension Contributions and Fund Levels for a Defined Benefit Pension Scheme.” Insurance：Mathematics and Economics 14：219-240.
    Haberman, S. and Sung, J. H.（1994）. “Dynamic Approaches to Pension Funding.” Insurance：Mathematics and Economics 15：151-162.
    Haberman, S. (1997) “Stochastic investment returns and contribution rate risk in a defined benefit pension scheme.” Insurance：Mathematics and Economics 19：127-139.
    Haberman, S. and Wong, 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 20：115-135.
    O’Brien, T.（1986）.“A Stochastic-Dynamic Approach to Pension Funding.” Insurance：Mathematics and Economics 5：141-146.
    O’Brien, T.（1987）. “A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization.” Insurance：Mathematics and Economics 6：129-134.
    Description: 碩士
    國立政治大學
    應用數學系
    87751008
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001737
    Data Type: thesis
    Appears in Collections:[應用數學系] 學位論文

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