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題名：通貨膨脹連動之退休金帳戶保證價值
書刊名：企業管理學報
作者：陳炤良 引用關係
作者(外文)：Chen, Chao-liang
出版日期：2018
卷期：116
頁次：頁53-76
主題關鍵詞：個人退休金帳戶；通貨膨脹連動；保證；Individual pension account；Inflation linked；Guarantee
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:15
本文針對一個通貨膨脹連動之個人退休金帳戶保證，提出條件請求權評價之理論分析，並以蒙地卡羅模擬之數值分析，估計各種情境假設下之保證價值。結果顯示，對於年輕的勞工在保證契約解約率為零假設下，若長期平均無風險利率維持低水準，但通貨膨脹相對利率具高不確定性，且相對於長期平均水準，評價時點通貨膨脹正處高水準時，保證將是特別昂貴的。但只要保證契約解約率大於零或通貨膨脹率之波動性下降，則保證價值將大幅下滑。
This article provides a contingent claims valuation approach to an inflation linked guarantee on individual pension accounts. The guarantee values are numerically estimated by Monte Carlo simulations. The results demonstrate that inflation linked guarantees on individual pension accounts can be especially expensive for young participants in some specified scenarios. Those scenarios include a low long-term average interest rate, high uncertainty of inflation, high inflation at pricing time, and that a lapse will not happen.
期刊論文
1.Sherris, M.(1995)。The Valuation of Option Features in Retirement Benefits。Journal of Risk and Insurance，62，509-534。  new window
2.Shimko, D. C.(1989)。The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time。Journal of Finance，44，1373-1383。  new window
3.Pennacchi, G. G.(1999)。The Value of Guarantees on Pension Fund Returns。Journal of Risk and Insurance，66，219-237。  new window
4.Brennan, M. J.、Xia, Y.(2002)。Dynamic asset allocation under inflation。Journal of Finance，57，1201-1238。  new window
5.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。An Intertemporal General Equilibrium Model of Asset Prices。Econometrica，53(2)，363-384。  new window
6.Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics，3(1/2)，125-144。  new window
7.Shimko, D. C.(1992)。The Valuation of Multiple Claim Insurance Contracts。Journal of Financial and Quantitative Analysis，27(2)，229-246。  new window
8.Pennacchi, G. G.、Lewis, C. M.(1994)。The value of pension benefit guaranty corporation insurance。Journal of Money Credit and Banking，26(3)，735-753。  new window
9.李政峰、連春紅、陳榮方、楊敏里(20060300)。臺灣短期利率模型之預測績效。企業管理學報，68，57-86。new window  延伸查詢new window
10.Chen, C.-L(2016)。Pricing of a resettable guarantee of a salary-connected individual pension account。Journal of Pension Economics and Finance，15(4)，357-378。  new window
11.Feldstein, M.、Samwick, A.(2002)。Potential Paths of Social Security Reform。Tax policy and the Economy，16，181-224。  new window
12.Hsieh, S.-J.、Chen, A. H.、Ferris, K. R.(1994)。The Valuation of PBGC Insurance Premiums using an Option Pricing Model。Journal of Financial and Quantitative Analysis，29(1)，89-99。  new window
13.Smetters, K.(2002)。Controlling the Costs of Minimum Benefit Guarantees in Public Pension Conversions。Journal of Pension Economics and Finance，1，9-34。  new window
14.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy，81(3)，637-654。  new window
15.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica，53(2)，385-407。  new window
16.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics，5(2)，177-188。  new window
17.Merton, Robert C.(1973)。An Intertemporal Capital Asset Pricing Model。Econometrica，41(5)，867-887。  new window
18.Breeden, Douglas T.(1979)。An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities。Journal of Financial Economics，7(3)，265-296。  new window
圖書
1.Hull, John C.(2014)。Options, Futures, and Other Derivatives。Upper Saddle River, NJ：Pearson。  new window
圖書論文
1.Mitchell, Olivia S.、Rappaport, Ann M.(1993)。Innovations and Trends in Pension Plan Coverage, Type, and Design。The Future of Pensions in the United State。Philadelphia：Wharton School Pension Research Council。  new window
2.Bodie, Zvi、Alan, J. M.、Merton, R. C.(1988)。Defined Benefit versus Defined Contribution Pension Plans: What Are the Real Trade-Offs?。Pensions in the U. S. Economy。Chicago, IL：University of Chicago press。  new window
3.Marcus, A. J.(1987)。Corporate pension policy and the value of pbgc insurance。Issues in pension economics。Chicago：University of Chicago Press。  new window
4.Gold, J.(2003)。Risk Transfer in Public Pension Plans。The Pension Challenge。New York：Oxford University Press。  new window
5.Lachance, M.-E.、Mitchell, O. S.(2003)。Understanding Individual Account Guarantees。The Pension Challenge。New York：Oxford University Press。  new window
6.Maurer, R.、Schla, C.(2003)。Money-Back Guarantees in Individual Pension Accounts: Evidence from the German pension Reform。The Pension Challenge。New York：Oxford University Press。  new window
7.Merton, R. C.、Bodie, Z.、Marcus, A. J.(1987)。Pension Plan Integration as Insurance against Social Security Risk。Issues in Pension Economics。Chicago：Chicago Press。  new window
8.Turner, J. A.、Rajnes, D. M.(2003)。Retirement Guarantees in Voluntary Defined Contribution Plans。The Pension Challenge。New York：Oxford University Press。  new window
9.Walliser, J.(2003)。Retirement Guarantees in Mandatory Defined Contribution Systems。The Pension Challenge。New York：Oxford University Press。  new window
 
 
 
 
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