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題名：勞退保證投資收益率制度及制度轉換選擇權之研究
作者：李翎竹
作者(外文)：Lee, Ling-Chu
校院名稱：國立政治大學
系所名稱：財務管理研究所
指導教授：李志宏
學位類別：博士
出版日期：2006
主題關鍵詞：保證投資收益率制度；制度選擇；個人偏好；選擇權評價；制度轉換選擇權；蒙地卡羅模擬；退休基金；資產配置；Investment return guarantee；Institutional design；Personal preference；Option pricing；Switching option；Monte-Carlo Simulation；Pension fund；Asset allocation
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我國勞工退休金新制自2005年7月1日開始實施，由過去的確定給付制改為具有確定提撥特色的「個人帳戶制」。對於勞工而言，確定提撥制和過去確定給付制不同之處在於承擔退休金投資風險的責任將由雇主轉由個人承擔。如何透過退休機制的設計以降低退休金的投資風險是近年來的重要議題，因此本文主要從個人偏好與風險的觀點探討保證投資收益率制度與制度轉換選擇權等兩個降低確定提撥制投資風險的重要配套措施。
在本論文的第一篇研究中發現，資產配置與國際投資對保證成本的影響頗大，在個人可選擇資產配置的情況下，高投資風險的資產選擇將造成政府未來龐大的或有負債。為了解決政府保證成本過高造成代內與代間的財富移轉，本文從使用者付費與個人效用的觀點探討保證投資收益率制度的設計，發現藉由設立保證投資收益上限可提升風險趨避者、損失趨避者與後悔趨避者等偏好下的預期效用，且能降低個人管理下方風險所需的提撥成本與退休計畫參加者所需繳交的保證費用，故建議政府可將投資收益率上限納入保證投資收益率制度，供退休計畫參加者選擇合於本身偏好的保證收益率上限。
在近來許多國家的公、民營退休體系由過去以確定給付制改為確定提撥制，為了降低在確定提撥制下的退休金投資風險，在美國的佛羅里達州之公務人員退休體系中，存在著可供個人選擇是否轉換到確定給付制的機制。在我國勞退新制中除了從過去的確定給付制改為確定提撥制外，亦輔以「年金保險制」供勞工選擇與轉換，若年金保險制具有確定給付制的特徵，則勞工等於是擁有一個從確定提撥轉換轉到確定給付制的選擇權，因此制度選擇權的探討對我國而言亦是相當地重要。在本論文的第二篇研究中發現，當風險趨避程度越高則轉換至確定給付制的機率越高，轉換到確定給付制的高峰期會出現在開始工作的初期與屆臨退休之際等兩段期間。隨著工作期間的延長，個人轉換到確定給付制的機率越低，但仍可有效地提升退休金的所得替代率與達到降低退休金下方風險的效果，在加入退休制度初期不得轉換的限制之後，會降低轉換到確定給付制的機率。
The Labor Retirement Pension Act enacted in 2005 introduced defined contribution (DC) pension plan for substituting the traditional defined benefit (DB) pension plan. In the defined contribution pension plan, the investment risk is transferred to the participants. However, the design of rate of return guarantee makes the investment risk less severe for participants. In the first essay, we find that the asset allocation and foreign investment have large impact on the guarantee cost: the high risky investment may result in large potential liability of the government in the future if participants have the investment portfolio choice. This study develops a framework to analyze design of rate of return guarantee from the financial engineering and user paid principle view. We find that the cap of investment return guarantee not only increases the expected utility of risk aversion, loss aversion and regret aversion, but also decreases the contribution cost to participant associated with managing the downside risk.
Around the world, the defined contribution (DC) plans have been the primary trend of pension reform in the both public and private sector. In an attempt to decrease the investment risk associated with DC plan, the public employees are provided with an option to buy back DB plan in the Florida State of U.S.A. In the second essay, we find that the higher level of risk aversion is, the higher probability to buy back DB plan is. During the employee’s early years of service and as the employees near retirement, the probability to exercise the option is the highest. The probability to exercise the option is decreasing with the years of service being increasing; the option also increase the pension replacement rate as well as decrease the downside risk of pension. The probability to exercise the option is lower, when the option to buy back the DB plan is prohibited during the employee’s early years of service.
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