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題名:投資型保險商品於台灣勞退新制退休市場之研究
作者:鄭憲超 引用關係
作者(外文):Hsieh-Chao Cheng
校院名稱:國立高雄第一科技大學
系所名稱:管理研究所
指導教授:周賢榮
蘇恩德
學位類別:博士
出版日期:2011
主題關鍵詞:投資型保險商品退休基金跳躍擴散模型蒙地卡羅模擬法jump-diffusion modelmonte carlo simulationpension fundinvestment-oriented insurance products
原始連結:連回原系統網址new window
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本研究針對代為運用與管理專設帳簿投資型保險商品,由保險公司委託投信公司代為運用資產配置進行模擬評價分析,讓勞工投資人有更多的選擇,作為勞退新制自選方案退休基金市場之選擇工具。
本研究依操作策略模型方法建構保守型、穩健型及積極型基金投資標的投資組合,共同基金股匯價隨機過程以跳躍擴散模型,利率隨機過程以CIR利率模型,經以多變數法模擬進行評價,以衡量評估勞工在規劃勞退新制實際投資退休基金後的績效;最後以蒙地卡羅模擬法進行風險值分析,輔以單位風險(RVAR)的報酬評估其投資風險與績效。
期望台灣勞工,能夠依個人現在的年紀與未來的退休生活的需求,自行決定個人退休基金帳戶的投資標的。
This study focuses on the operated and managed accounting investment-oriented insurance products. The insurance companies entrust the trust companies to operate the asset and impose simulation evaluation analysis to expand the labor investors’ options which they choose market implement of pension fund on their own in the new law of labor retirement.
According to the operation models, we establish conservative, moderate and active portfolios. The price random process of mutual fund bases on jump-diffusion model. And the interest rate bases on CIR model. We evaluate by VULs’ valuations to assess the performance of pension fund of the labors invest in the new law on labor retirement. Finally, we analyze the risk value by monte carlo simulation, and observe reward to variability ratio to assess the risk and performance of investment.
We expect that the labors in Taiwan can decide investment targets of pension fund by themselves according to their ages and demand of future retirement life.
一、中文參考文獻
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2.王儷玲、楊曉文、黃泓智、李永琮(2007) ,「勞退新制下個人帳戶制與年金保險制最適轉換時點與轉換價值分析」,財務金融學刊,15卷1期,1-30頁。new window
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14.張士傑、林威廷、楊尚穎(2009),「變額人壽保險之保證與解約價值」,保險專刊,25卷2期,133-169頁。new window
15.張智凱、陳玉亭(2008),「附保證給付投資型保單之長期資產報酬率模型」,風險管理學報,10卷1期,73頁。
16.陳春希、陳博舜、李雯嘉(2009),「勞退新制實施後員工福利知覺與工作態度關係之研究」,中原企管評論,7卷1期,1-22頁。new window
17.陳森松、吳明政、王南喻(2008),「投資型保單之保戶選取連結基金標的之行為研究:以國內某壽險公司投資型保險商品為例」,風險管理學報,10卷,157-182頁。new window
18.黃玉娟、吳錦文(2007),「外幣計價之台灣連動保本型票券訂價」,台灣金融財務季刊,8卷3期,1-21。new window
19.羅烈明、許和均(2006),「同時附解約權與續約權的變額壽險保單之評價」,保險專刊,22卷2期,91頁。
20.蘇文斌、張元昌、夏光華(2003),「投資型壽險商品購買行為之研究消費者風險價值觀實證」,朝陽學報,81期,33頁。new window
21.蘇恩德、鄭憲超(2007),「變額萬能壽險之評價、績效與風險分析」,保險專刊,23卷2期,129-165頁。new window

Fund DJ-基智網:http://www.funddj.com/y/yFund.htm,搜尋日期:2011年4月
中華民國人壽保險商業同業公會網站(投資型保險商品核保及銷售規範專區):http://www.lia-roc.org.tw/,搜尋日期:2011年4月
中華民國退休基金協會:http://www.pension.org.tw/tc/index.asp,搜尋日期:2011年4月
中華民國證券投資信託暨顧問商業同業公會:http://www.sitca.org.tw/,搜尋日期:2011年4月
台灣經濟新報TEJ(Taiwan Economic Journal),搜尋日期:2011年4月
群益金融網:http://www. cfund.com.tw,搜尋日期:2011年4月

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