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題名：Optimal Pension Funding Incorporating Stochastic Simulations and Dynamic Programming
書刊名：亞太管理評論
作者：張士傑 引用關係
作者(外文)：Chang, Shih-chieh
出版日期：1999
卷期：4:1
頁次：頁1-12
主題關鍵詞：退休基金評價；隨機控制；動態規劃；Pension valuation；Stochastic control；Dynamic programming
原始連結：連回原系統網址new window
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　　　　　本文所建立之退休基金隨機模擬系統乃結合動態最適化理論，用以決定固定給付 退休計畫的最適基金提撥策略。結果顯示利用此種方法，較傳統確定性的退休基金評價方法 提供決策者更靈活的運用方式與財務資訊。於本研究中，隨機控制系統用於描述最適化評價 機能，基於隨機模擬的人力結構及所給定的限制條件下，運用動態規劃的方法求得最適提撥 策略，並以臺灣公務人員退休撫卹計畫為實例進行分析。文中將仔細說明模型建構的過程及 討論所得的結果。
　　　　　A simulation-based mechanism combining dynamic optimization is constructed to decide the optimal funding policy of the defined-benefit pension scheme. The results show a significant advantage and flexibility of this approach in projecting the optimal financial status over the traditional deterministic pension valuation. In this study, the valuation mechanism is formulated as a stochastic control system and the optimal funding strategies are calculated through dynamic programming under the simulated workforce ans specified constraints. Taiwan public employees retirement system is studied for illustration. This article outlines the procedure of constructing the proposed mechanism and comments on the empirical findings.
期刊論文
1.Bacinello, A. R.(1988)。A Stochastic Simulation Procedure for Pension Scheme。Insurance: Mathematics and Economics，7，153-161。  new window
2.Bowers, N. L. Jr.、Gerber, H. U.、Hickman, J. C.、Jones, D. A.、Nesbitt, C. J.(1982)。Notes on the Dynamics of Pension Funding。Insurance: Mathematics and Economics，1(4)，261-270。  new window
3.Cairns, A. J. G.、Parker, G.(1997)。Stochastic pension fund modelling。Insurance: Mathematics and Economics，21(1)，43-79。  new window
4.Dufresne, D.(1988)。Moments of Pension Fund Contributions and Fund Levels when Rates of Return are Random。Journal of the Institute of Actuaries，115，535-544。  new window
5.Dufresne, D.(1989)。Stability of Pension Systems when Rates of Return are Random。Insurance: Mathematics and Economics，6，129-134。  new window
6.Frees, E.、Kung, Y. C.、Rosenberg, M.、Young, V.、Lai, S. W.(1997)。Forecasting Social Security Actuarial Assumptions。North American Actuarial Journal，1(4)，49-82。  new window
7.Haberman, S.(1992)。Pension Funding with Time Delays: A Stochastic Approach。Insurance: Mathematics and Economics，11，179-189。  new window
8.Haberman, S.(1993)。Pension Funding with Time Delays and Autoregressive Rates of Investment Return。Insurance: Mathematics and Economics，13，45-56。  new window
9.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，14，219-240。  new window
10.Haberman, S.、Sung, J. H.(1994)。Dynamic Approaches to Pension Funding。Insurance; Mathematics and Economics，15，151-162。  new window
11.Haberman, S.、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。  new window
12.Janssen, J.、Manca, R.(1997)。A Realistic Non-homogeneous Stochastic Pension Fund Model on Scenario Basis。Scandinavian Actuarial Journal，2，113-137。  new window
13.O'Brien, T.(1986)。A Stochastic-dynamic Approach to Pension Funding。Insurance: Mathematics and Economics，5，141-146。  new window
14.O'Brien, T.(1987)。A Two-parameter Family of Pension Contribution Functions and Stochastic Optimization。Insurance: Mathematics and Economics，6，129-134。  new window
15.Runggaldier, W. J.(1998)。Concept and Methods for Discrete and Continuous Time Control under Uncertainty。Insurance: Mathematics and Economics，22，25-39。  new window
16.Schäl, M.(1998)。On piecewise Deterministic Markov Control Processes: Control of Jumps and of Risk Processes in Insurance。Insurance: Mathematics and Economics，22，75-91。  new window
17.Shapiro, A. F.(1985)。Contributions to the Evolution of Pension Cost Analysis。Journal of Risk and Insurance，52，81-99。  new window
會議論文
1.Chang, S. C.(1998)。Building Dynamic Valuation System for Taiwan Public Employees Retirement System。Taiwan Public Employees Pension Fund Symposium，(會議日期: 1998)。Taipei。  new window
圖書
1.Anderson, A. W.(1992)。Pension Mathematics for Actuaries。ACTEX Publications。  new window
2.Bartholomew, D. J.(1982)。Stochastic Models for Social Processes。John Wiley & Sons。  new window
3.Daykin, C. D.、Pentikainen, T.、Pesonen, M.(1994)。Practical Risk Theory for Actuaries。London：Chapman and Hall。  new window
4.Felming, W. H.、Rishel, R. W.(1975)。Deterministic and Stochastic Optimal Control。New York：Springer-Verlag。  new window
5.Taipei Life Insurance Association(1998)。Taiwan Standard Ordinary Experience Mortality and Lapse Rate Report。  new window
6.Merton, Robert C.(1992)。Continuous-Time Finance。Blackwell。  new window
 
 
 
 
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